NexusFi: Find Your Edge


Home Menu

 





Difference between IntraBarOrderGeneration and Bar Magnifier


Discussion in EasyLanguage Programming

Updated
      Top Posters
    1. looks_one ccfeldt with 5 posts (0 thanks)
    2. looks_two Big Mike with 2 posts (1 thanks)
    3. looks_3 bibulous with 2 posts (0 thanks)
    4. looks_4 arjfca with 2 posts (0 thanks)
    1. trending_up 10,015 views
    2. thumb_up 1 thanks given
    3. group 4 followers
    1. forum 13 posts
    2. attach_file 0 attachments




 
Search this Thread

Difference between IntraBarOrderGeneration and Bar Magnifier

(login for full post details)
  #11 (permalink)
 ccfeldt 
Switzerland
 
Experience: Beginner
Platform: MultiCharts, TradeInterceptor
Trading: Forex
Posts: 13 since Mar 2011
Thanks Given: 0
Thanks Received: 1

Hmmm, actually it's still not making any sense. this is what I'm looking at, at the moment (test indicator and signal)

2011-03-23_1741 - ccfeldt's library

with modified entry condition to simulate the "cross above" (open below, close above for a tick or minimal time period)
I get:

2011-03-23_1743 - ccfeldt's library

I understand the indSymbol and indColor won't be affected my the tick bars, but the entries are also off.
Very grateful for any help, if there's someone here that successfully uses this in a signal.

I've tried with both settings for "Mode Selection" (entry/exit based on broker execution or not) without any different results.

Reply With Quote

Can you help answer these questions
from other members on NexusFi?
The space time continuum and the dynamics of a financial …
Emini and Emicro Index
Trader Dale [email protected] or Scammer Dale
Trading Reviews and Vendors
Volume profile TradeStation
EasyLanguage Programming
Request for MACD with option to use different MAs for fa …
NinjaTrader
IQFeed MBO data experience
The Elite Circle
 
Best Threads (Most Thanked)
in the last 7 days on NexusFi
GFIs1 1 DAX trade per day journal
28 thanks
Supertradersams Thread Journal on NQ/MNQ
18 thanks
Diary of a simple price action trader
17 thanks
Daytrading ES & NQ
14 thanks
Tao te Trade: way of the WLD
13 thanks

(login for full post details)
  #12 (permalink)
 RM99 
Austin, TX
 
Experience: Advanced
Platform: TradeStation
Trading: Futures
Posts: 839 since Mar 2011
Thanks Given: 124
Thanks Received: 704

Not sure if I'm understanding correctly, but I trade tick/tick....

I can use setstopcontract/setprofittarget and setstopcontract/setdollartrailing and it does a fairly good job of assuming the OHLC...obviously it has better precision/resolution with smaller timeframe charts (or the larger your profit-stop bracket is with respect to average bars).

However, as you pointed out, the part where the backtest fails miserably is that without looking inside the bar for entry criteria, I'm stuck using previous bar confirmation of an event and waiting till the next bar to initiate the trade obviously has undesirable consquences on the result of the backtest.

If you wait till the next bar on a 60 minute for an MA triggered entry, many times you've already missed the bus when backtesting.

The only thing I've been able to do is backtest, record the results and then forward test in simulation and do a quantitiative comparison between the results to give a sort of "interpolation factor."

i.e. if I backtest a strategy bar to bar and it yields a 1.05 profit factor and a 56% win rate, then forward test and it yields a 1.5 profit factor and 68%, I can draw linear conclusions (rough) as the the relative conversion rate for similar type strategies.

The problem as you might suspect is that beyond being a "crude" comparison, the relevance goes down with the ratio of period evaluated in backtest compared to period evaluated in forward test.

I can hedge out a little bit of that by simply backtesting the same period I forward tested, getting that ratio and then applying it further back (and further forward).

Reply With Quote
(login for full post details)
  #13 (permalink)
 ccfeldt 
Switzerland
 
Experience: Beginner
Platform: MultiCharts, TradeInterceptor
Trading: Forex
Posts: 13 since Mar 2011
Thanks Given: 0
Thanks Received: 1


Hello RM99 - thanks for taking an interest.
It seems to me that setstopcontract and setdollartrailing is something else. My problem is that I can't seem to get into my desired position in the middle of the candle, even when [IntrabarOrderGeneration = true]; is set.

Reply With Quote
(login for full post details)
  #14 (permalink)
 RM99 
Austin, TX
 
Experience: Advanced
Platform: TradeStation
Trading: Futures
Posts: 839 since Mar 2011
Thanks Given: 124
Thanks Received: 704


ccfeldt View Post
Hello RM99 - thanks for taking an interest.
It seems to me that setstopcontract and setdollartrailing is something else. My problem is that I can't seem to get into my desired position in the middle of the candle, even when [IntrabarOrderGeneration = true]; is set.

Well, I can't even get TradeStation to backtest when IOG is turned on. (or intrabarpersist). I'd be happy if the entry were simply tick/tick....

I use a customized tick/tick money management, but just having the entries correct would be awesome.

I feel your pain....on a large chart, waiting till the next bar really destroys the relevancy of the backtest.

Reply With Quote





Last Updated on March 23, 2011


© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
All information is for educational use only and is not investment advice. There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top
no new posts