back testing trades dont match screen indicator

[Gkrabbe]

Hello,

I have recently been working on back testing an indicator that uses a Renko overlay on a bar chart. This indicator displays as a study below the chart, and uses bar colors to indicate the trade status at any time. Strangely, when I back test the study, it adds several trades per day that shoud not be triggered by the indicator and do not show up on the screen. Can someone tell me whats going on? The code is attached.

Greg

[ACM]

Re: back testing trades dont match screen indicator

Greg
FWIW I ran your script on a 1 minute chart of ES #F and it seems that the trades in the strategy analyzer match those displayed in the chart [see the enclosed screenshot which also includes another Renko script for confirmation]. You may want to provide an example [symbol, interval, time template settings, etc] where you are instead seeing discrepancies between what is displayed and the prints in the strategy analyzer
Alex

Originally posted by Gkrabbe
Hello,

I have recently been working on back testing an indicator that uses a Renko overlay on a bar chart. This indicator displays as a study below the chart, and uses bar colors to indicate the trade status at any time. Strangely, when I back test the study, it adds several trades per day that shoud not be triggered by the indicator and do not show up on the screen. Can someone tell me whats going on? The code is attached.

Greg

[Gkrabbe]

Thanks for looking into this so quickly-

If you look at a 10 or 15 minute chart there will be discrepancies on virtually every day. I dont seem to be able to paste an image directly into this text box, but if you run the 15 min chart and back test, you will see what i mean.

Gfk

[ACM]

Greg
I checked the last 30 days on a 10 minute and a 15 minute chart and the trades printed in the Strategy Analyzer seem to match those displayed. I am enclosing an example of both a 10 and 15 minute chart with corresponding Strategy Analyzer report. The back tests were run using version 10.4.1533 currently available as a Release Candidate
You can attach an image as a file
Alex

PS. Note that at this time I am not checking if the values of the entries/exits are correct but only matching by date and time the trades in the Strategy Analyzer with those displayed

Originally posted by Gkrabbe
Thanks for looking into this so quickly-

If you look at a 10 or 15 minute chart there will be discrepancies on virtually every day. I dont seem to be able to paste an image directly into this text box, but if you run the 15 min chart and back test, you will see what i mean.

Gfk

[Gkrabbe]

Wow- your output is significantly different than mine- See attached. Where do I download the more current version you mention?

Gfk

[ACM]

Greg
See this thread
Alex

Originally posted by Gkrabbe
Wow- your output is significantly different than mine- See attached. Where do I download the more current version you mention?

Gfk

[Gkrabbe]

Alexis,

Things are defineatly improving, but there are still bugs; take a look at a 15 min chart, ES #F, review 3/18/09 as an example- the chart indicates a 7:45 trade, but the back testing output indicates an 8:45 trade. See attached-

Thanks for your help

Gfk

[ACM]

Greg
In comparing charts it seems to me that you are located in a different timezone from mine [Eastern US] and my guess would be that you are on Pacific Time. So I set up my computer to that time and then ran the script and back test with the following results



As you can see the times in the Strategy Analyzer and the chart are matching at my end
I do notice that you are using a Time Template set to Dynamic which means that the application will request only a number of bars sufficient to fill a chart [minimum default is 300]. Then as you scroll back the application makes additional requests for data. Keep in mind though that while the formula does reprocess the chart data when these events occur the global variables do not get reinitialized which could skew the results you are getting. BTW this is not a bug but an intentional behavior
Remove the script from the chart then try setting the chart to load a fixed number of bars [for example 20 days as shown in my screenshot] and then repeat your tests [using the same Time Template in the chart and Back Tester] and see if that corrects the discrepancies you are seeing
Alex

Originally posted by Gkrabbe
Alexis,

Things are defineatly improving, but there are still bugs; take a look at a 15 min chart, ES #F, review 3/18/09 as an example- the chart indicates a 7:45 trade, but the back testing output indicates an 8:45 trade. See attached-

Thanks for your help

Gfk

[Gkrabbe]

That's it! From now on I will set up my backtesting chart time setting to match the strategy analyzers.

Thanks for your help.

Gfk

[ACM]

Greg
You are most welcome and I am glad to hear that resolved the problem you were having
Alex

Originally posted by Gkrabbe
That's it! From now on I will set up my backtesting chart time setting to match the strategy analyzers.

Thanks for your help.

Gfk

[demarcog]

I tried downloading the code Alex referred to in the "this" link but receive a permission problem. Is the code still available as I am looking for a workable Renko strategy.

thanks,

Glen

[ACM]

Glen
That link was not referencing any code but a version of eSignal
Alex

Originally posted by demarcog
I tried downloading the code Alex referred to in the "this" link but receive a permission problem. Is the code still available as I am looking for a workable Renko strategy.

thanks,

Glen