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Max Bars Back Changing Results Drastically


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Max Bars Back Changing Results Drastically

  #1 (permalink)
djvie11
Chicago, IL
 
Posts: 52 since Jul 2013
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So this is bugging the heck out of me!

I'm running a strategy with 3 data streams. It only references the previous bar of all 3 data streams with a stochastic (normal settings on the stochastic; 14,3,3).

The thing that's getting me is the "max bars back setting." All I need is 14. But, if I go higher the results get better. This past week I traded live alongside my paper account with the same strategy - but one had a max bars back setting of 105 & the other, 200. The one with the 200 setting doubled the profit of the other. Same strategy though!

I would understand if it was an average of sorts or the strategy indeed called upon a bar deep in the past, but it does not. It's also worth mentioning that I have IntraBarOrderGeneration enabled.

I would very much appreciate any insight you guys might have on this!

thanks!
Brandon

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  #3 (permalink)
 kevinkdog   is a Vendor
 
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Are you using an exponential average? That could certainly cause it.

Multiple datastreams can be a challenge to get working correctly - are you sure everything is declared and aliased properly?

IntraBarOrderGeneration is another advanced feature that is easy to get squirrelly results with.

Unless you have been working with Tradestation for at least a few years, I'd personally recommend avoiding both of these features. Heck, I've been using Tradestation for 10 years, and I still never use IBOG.

You can always post your code here - take out secret stuff - and someone can help you.

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  #4 (permalink)
djvie11
Chicago, IL
 
Posts: 52 since Jul 2013
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kevinkdog View Post
Are you using an exponential average? That could certainly cause it.

Multiple datastreams can be a challenge to get working correctly - are you sure everything is declared and aliased properly?

IntraBarOrderGeneration is another advanced feature that is easy to get squirrelly results with.

Unless you have been working with Tradestation for at least a few years, I'd personally recommend avoiding both of these features. Heck, I've been using Tradestation for 10 years, and I still never use IBOG.

You can always post your code here - take out secret stuff - and someone can help you.

Hey Kevin, thanks for the reply!

No exponential averages, just a simple stochastic and references to highs/lows of previous bars. And this is with Multicharts as Tradestation can't handle IBOG with multiple data streams ... but in the end they both work basically the same with EasyLanguage.

I would love to work with a single data stream but there's always small nuances that get lost in translation when converting a multiple data stream strategy into a single data one.

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  #5 (permalink)
 kevinkdog   is a Vendor
 
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djvie11 View Post
Hey Kevin, thanks for the reply!

No exponential averages, just a simple stochastic and references to highs/lows of previous bars. And this is with Multicharts as Tradestation can't handle IBOG with multiple data streams ... but in the end they both work basically the same with EasyLanguage.

I would love to work with a single data stream but there's always small nuances that get lost in translation when converting a multiple data stream strategy into a single data one.

Make sure the stochastics does not reference a series type (infinitely backward looking) function. You can print out values with a single datastream with IBOG off, and at least eliminate that as a cause.

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  #6 (permalink)
 ABCTG   is a Vendor
 
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djvie11,

there is a possibility that the Stochastic is using exponential smoothing in case you are using SmothingType 2 for any of the build in Stochastics.

Assuming you are past the MaxBars back setting on the current bar for both strategies and they still behave differently, I'd assume that there are values different in them and there might be something in your code that is somehow affected by the max bars back settings. You will most likely have to print your values and compare them, if you want to track the issue down.

Regards,
ABCTG

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