Support Board
Date/Time: Mon, 25 Nov 2024 20:22:18 +0000
Post From: Renko Chart Bar Based Backtesting Flattening Issue
| [2024-02-18 16:22:51] |
| User43 - Posts: 101 |
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User431178 and User61168 Thanks for sharing your experience, and I could not agree more, ... Back testing is a pseudo science. Easy to get suckered into results which will not hold up when trading live. Over fitting and forward looking are factors which easily sneak their way into strategy development. Personally I like to trade only closed bars, typically anything between 2 minutes and 10 minutes charts or on volume charts 1000V to 5000V on MES. Often I see good looking patterns at first glance, with the help of back testing I then find that these setups mostly fail more than they win. With that setup and since my strategies only trigger on a close of a bar, I use bar based back test with good results and performance. I can back test even a year without taking too much time. Typically I run my back tests initially for about 10 days to debug my trading study, and then for a month using different months, as well for half a year. But I still learn and develop my back testing process. @User61168 really great pointers on your process, which I'll for sure keep in mind and integrate into my approach. I did try out replay back testing, but that was just too slow for me (Impatient me ;-). Per my understanding you would need that if your system acts on tick by tick price and volume information. Like Bid Ask volume spread, Footprint data, trade price action on a open bar, ... Bar based can't do that. For that I would probably debug using a fast running replay and then test overnight several trading days at slow speeds. On promising candidates I'd let it run at real time speed overnight and observe also during trading session. |