Support Board
Date/Time: Wed, 12 Feb 2025 09:51:31 +0000
Post From: How to backtest a strategy with 2 timeframes accurately?
| [2020-10-10 00:52:01] |
| Furinkazan - Posts: 19 |
|
Suppose I have a very simple strategy using only a moving average (MA) on 2 timeframes: Go long if daily MA slopes up while the weekly MA is also sloping up. Here's a simple scenario: In live trading: From Day #1 to Day #6, MA slopes up every day; however, weekly MA slopes down during this entire time, so there’s no trade. On Day #7, both daily and weekly MAs slope up, so we have a long trade. In backtesting, however, we don’t get to see the weekly MA movement on the daily basis. Instead we only get to see a new MA value one week at a time. In this scenario, the weekly MA slopes up from the previous week. This means we go long on Day #1 instead of Day #7. Is there a way to get around this problem in backtesting (using market replay or just eyeballing the chart) so the results match more accurately with live trading? thanks |