Support Board
Date/Time: Mon, 25 Nov 2024 20:29:51 +0000
Post From: Renko Chart Bar Based Backtesting Flattening Issue
| [2024-02-18 22:26:00] |
| Sawtooth - Posts: 4120 |
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"Also internally time values are floating point variables.
64 bit diminished floating point imprecision, but did not eliminate it.Therefore they suffer from precision issues when comparing them." This is not true, they used to be, but since more than 3 years have been 64-bit int. 1. Is this problem due to the Renko charts (or any other non-time-based charts)?
1. sc.LatestDateTimeForLastBar.GetTime(); is the same as J41 in a spreadsheet study, and it updates intrabar, assuming there are trades.2. Can we do something to remedy it while continue using Bar Based Backtesting? 3. Would it be the same if I did a full Replay Backtest? So you could use this for intrabar times to flatten, in non-timebased bars. 2. The Bar Based Backtesting only works on close of bar signals, and not with multiple charts, and other limitations: Auto Trade System Back Testing: Bar Based Back Testing 3. IMO, a Replay Chart backtest is the only valid method. It offer the most flexibility and accuracy. The trade-off is it's very slow. I have developed and tested over 500+ strategies and they all have one thing in common….. the work great for first 2-3 months and then start to decay and results become unpredictable once the symbol changes or change in fundamentals or seasonality or for some unknown reason.
This is my experience also. Except the 'unknown reason' is the market is way too dynamic for an autotrader to be perpetually profitable.Therefore one must continually tweak it, which at best is only quasi-automatic. Here is matrix in Excel of Sierra Chart's backtesting choices and their features and limitations: https://www.sawtoothtrade.com/blog.html Date Time Of Last Edit: 2024-02-19 17:23:49
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