BACKTESTING (3 YEAR PERIOD) WITH MTF (1 MINUTE AND 1 SECOND)

• 11/16/2022 at 4:48 PM #204271
  cmadonar

  Good afternoon

  I have programmed a system (see attachment) in which the entry conditions are calculated in 1 minute timeframe, and the exit conditions are calculated in 1 second timeframe.

  So, for the entry conditions code I wrote TIMEFRAME(1 minute, UpdateOnClose)

  And for the exit conditions I wrote TIMEFRAME(default).

  Now I am trying to run a back test for the last 3 years.

  My question is:

  I wonder if this will this be too much for the processing capacity of the platform, as I want to test my code for three years with part of it in minutes  and part in seconds.

  Should I expect troubles or should I expect the backtest to run smoothly? Can you please give me any comMent?

  Many thanks in advance and best regards,

  Carlos

  

  cmadonar

  Participant

  Topics: 6

  Replies: 13

  Been thanked: 1 time
  11/16/2022 at 4:56 PM #204274
  Nicolas

  If you are able to display a chart of 3 years of data in 1-second timeframe for that specific instrument, then the backtest should run smoothly from start to end.

  1 user thanked author for this post.

  cmadonar

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20863

  Been thanked: 4773 times
  11/16/2022 at 5:15 PM #204276
  PeterSt

  … which won’t happen because e.g. FUTU Holdings is (including Extended Trading Hours) 57600 seconds open per day = 288000 seconds per week. With 1M bars (each bar 1 second) – which is the maximum (for the Premium account) – this gives less than 4 weeks.
  With only Regular Opening Times it is more (5.5 hours = 19800 seconds per day).

  It may run sufficiently smooth for you if you don’t know any better, but in practice it is painfully slow compared to e.g. 1 minute (and again 1M bars). In my experience 5-10 times slower than timeframes based on minutes or higher.

  If my math or otherwise is wrong, I am happy to be overruled. 🙂

  

  PeterSt

  Participant

  Topics: 73

  Replies: 2505

  Been thanked: 806 times
• Author
  Posts