Arizona, USA
Experience: Intermediate
Platform: NinjaTrader
Broker: MB Trading
Trading: Cello
Posts: 116 since Jan 2011
Thanks Given: 321
Thanks Received: 138
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Unless you code your strategy for "intra-bar granularity" (as NT puts it), all your entry orders will occur the start of the next bar (as well as exit orders). Depending on the strategy, this may yield an overly rosy result. It may, as in my case, be overly-pessimistic. Many of my strategies do much better in Market Replay or Live testing than in backtest.
As one poster above mentioned, adding the intrabar granularity makes it easy to lose your strategy in the mishmash of multiple time trames. I have found that backtesting is a good negative test. That is, if it does not work in backtest, it probably will not work in real life.
Big Mike suggests going to the Trades tab, sorting the trades by bar length, and changing all trades of bar length one and positive profit to negative profit. I do something similar. Also, the Monte Carlo tool in the Strategy Analyzer is useful. I like to throuw out good trades until my steategy is breakeven. I use this to monitor the robustness of my system:
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