question re back testing

[amclister]

Hi,

I have a question related to this thread.

I was wondering when an indicator is calculated.
What I mean is that if I were to put a 60 min interval MACD on a 1 min period chart and backtest it, when will the MACD be calculated?

Is it every new bar, so in this case every 1 minute?
or
Is it every interval of the indicator, so in this case every 60 minutes?

I know that in real time the calculations are done every trade.

From comparison of my backtested results and the graphs the strategy is loaded on it seems to me that the 60 minute indictor is calculated every bar (in my case every 1 minute).

Can anyone confirm this please?

What I am worried about is false signals in real time which make my backtesting rubbish.

Thanks

Aengus

[ACM]

Re: Backtesting vs Realtime

Aengus
In real time an indicator is calculated on every tick [ie trade] unless otherwise set in the code.
On historical bars an indicator is calculated once per bar depending on the interval on which it is based.
That said if your concern is matching real time and back testing signals using multiple intervals you may want to read my reply in this thread
Alex

Originally posted by amclister
Hi,

I have a question related to this thread.

I was wondering when an indicator is calculated.
What I mean is that if I were to put a 60 min interval MACD on a 1 min period chart and backtest it, when will the MACD be calculated?

Is it every new bar, so in this case every 1 minute?
or
Is it every interval of the indicator, so in this case every 60 minutes?

I know that in real time the calculations are done every trade.

From comparison of my backtested results and the graphs the strategy is loaded on it seems to me that the 60 minute indictor is calculated every bar (in my case every 1 minute).

Can anyone confirm this please?

What I am worried about is false signals in real time which make my backtesting rubbish.

Thanks

Aengus

[amclister]

Alex,

Thanks for the reply.

Can you point me in the right direction to be able to change the compute source value from close to open of every bar on a MACD.

I have tried this:

macd(5,13,5,"Open",inv(15)).getValue(0)

but its not working.

I have also tried setting up a MACD study:

var vMACD5_13 = new MACDStudy(5, 13, 5, "Open", false)

and then referencing it like so:

vMACD5_13,inv(60).getValue(MACDStudy.SIGNAL)

but this isn’t working either.

Any help would be greatly appreciated.

Yours sincerely
Aengus

[amclister]

I have solved the problem with:

macd(5,13,5).getValue(open(0, inv("60")))


Thanks
Aengus

[amclister]

That hasnt worked - Im still stuck.

[amclister]

Changing both the source and interval of a macd:

Does anyone know how to change both the source and interval of a macd?

Im going nuts with a trial and error approach and am getting nowhere.

Im looking for something like this:

Macd(5,21,13,inv(5),”open”)

If anyone can point me in the right direction it would be greatly appreciated.

Thanks
Aengus

[ACM]

Aengus
See this thread for a complete set of examples on the syntax required by the efs2 functions
Alex

Originally posted by amclister
Alex,

Thanks for the reply.

Can you point me in the right direction to be able to change the compute source value from close to open of every bar on a MACD.

I have tried this:

macd(5,13,5,"Open",inv(15)).getValue(0)

but its not working.

I have also tried setting up a MACD study:

var vMACD5_13 = new MACDStudy(5, 13, 5, "Open", false)

and then referencing it like so:

vMACD5_13,inv(60).getValue(MACDStudy.SIGNAL)

but this isn’t working either.

Any help would be greatly appreciated.

Yours sincerely
Aengus

[amclister]

Thanks Alex,