Is it possible to back test a strategy based on BidAskVol EFS?

[RRichardson]

I'm considering a strategy based on the BidAskVolume EFS found elsewhere and on the board. A version of it is attached.

Is it possible to develop a back testable strategy using this EFS? The first line of the EFS defends against Bar Indecies less than 0; which is every bar in the past. And the notes that accompany the EFS indicate that the EFS will only begin rendering the results on bars developed after the EFS is loaded.

Can the EFS be modified to work as a strategy?

Is only Bar Data evaluated in backtesting time interval charts or can Strategies also evaluate conditions on every tick (price change). And while I'm on the subject: Can you verify that an EFS is entered only on price change? If "ES #F" has 5 consecutive prints/trades at 1300 is the EFS entered every print/trade?

Thanks!

[ACM]

RRichardson

Is it possible to develop a back testable strategy using this EFS?

It is not possible because the getMostRecentBid() and getMostRecenetAsk() functions used in the script do not have access to historical time and sales data. They only return current market data.

Is only Bar Data evaluated in backtesting time interval charts or can Strategies also evaluate conditions on every tick (price change)

The Back Test module runs on completed bars only (regardless of the interval used)

Can you verify that an EFS is entered only on price change? If "ES #F" has 5 consecutive prints/trades at 1300 is the EFS entered every print/trade?

In general an efs executes on every trade. However with some electronically traded contracts (such as for example ES and NQ) an efs will execute on minute based charts only when
- Current trade price is different than the previous trade price.
- Current trade price is at the bid and previous trade was at the ask or vice versa. The two trade prices can be the same in this instance.
On tick based charts (Tick, Volume, Seconds or Price-change) instead an efs always executes on every trade
Alex

[rdanna]

The simple question is, "Why is that?"

One can open a time & sales box; set up the properties to color code the trades at bid and ask prices, and trades above, below, and within them; and set up filters to then show trades only. The time & sales box only takes a couple moments to fully load all the of data reflecting a full day selected. In order to accomplish this task the trade properties must be accomplished referencing this data.

So, if time and sales can reference this data, why can't the getMostRecentBid() and getMostRecenetAsk() functions? Or for that matter during the course of writing efs script, when trades take place why can't they be referenced directly from the same data collected on a time and sales box?