Tick data backtesting

• 06/03/2016 at 12:09 AM #8695
  K12AN

  Hello all

  Its very frustrating to see excellent backtest results behave very differently in demo or real trading due to limitations. I appreciate the difficulty when back testing using static historical data, but feel that giving the best case scenario/outcome is not correct. Using a trailing stop on a daily strategy will always give excellent backtest results but can be disastrous in real.

  Are there plans to introduce tick data backtesting? If not, what other options are available to test our strategies more thoroughly before committing real money.

  For example, Can we download tick data files from another source and test our PRT strategies?

  thanks

  

  K12AN

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  06/03/2016 at 3:44 AM #8696
  grizzly

  Hi K12AN,

  Would be useful to have the tick by tick data for testing.

  I have found the easiest workaround to this problem is coding Systems on the 1 minute timeframe ; then adjusting the parameters to suit a larger timeframe to see if the outcome is largely in line. If that makes sense.

   

  Cheers

  

  grizzly

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  06/03/2016 at 7:25 AM #8699
  GraHal

  For all its good points, this major failing makes PRT seem like a total joke doesn’t it!

  Beats me why PRT Techie Team spend all the time they do coming out with loads of little ‘nice to have tweaks here and there’ while making us suffer on with the fundamental essential / major issue of a backtested result being soooo different in Demo / Live trade due to SL and TP failing / inadequacy.

  Whats even worse is that the PRT instruction manual doesn’t even point this out and so newbie coders get duped by this major flaw.

  I’ll stop the rant now else it will ruin my day again! ha

  How do other platforms approach this issue?

  Do other platforms check for Indicator conditions etc at the end of each bar but Stop Losses are checked at each tick or what??

  GraHal

  

  GraHal

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  06/03/2016 at 10:00 AM #8712
  K12AN

  Are there any plans for PRT to implement tick data back testing functionality?

  If not, is there any way of using our exported strategies on another platform specifically for backtesting?

  Backtesting using tick data is invaluable and I am surprised a PRT does not have this feature – even at a cost.

  Shame really, as the simple strategy creation tool is very useful for traders who want to try out a few trading ideas…but will then be frustrated by the back testing reliability.

   

  

  K12AN

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  09/30/2016 at 12:32 AM #13948
  jbf

  This is so annoying… I have just wasted days on this and now I discover that the stops and limits are inaccurate. They don’t take into account tock data and as someone else has mentioned, PRT makes no effort to let unsuspecting uses be aware of this.

  A backtesting platform that does not take into account tick data (that being the movement of price during the Bar duration) is pointless!

  I am frustrated with PRT because they don’t make this clear.

  PRT, when will tick data be taking effect in backtesting?

  

  jbf

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  09/30/2016 at 7:28 AM #13957
  Nicolas

  Tick backtesting is coming to us, I opened a thread about this:

  http://www.prorealcode.com/topic/tick-per-tick-backtest-to-come-soon/

  

  Nicolas

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  10/01/2016 at 12:58 PM #14021
  GraHal

  Yaaay about flippin time!!

  2 years ago I ranted (loads of emails) about this direct with PRT and since then I have not done any Live Trading with an Auto-System / Bot because of distrust of Backtest compared to Live. I even said that PRT are misleading / frauding users and that, at a minimum, the definition of Stops in the Backtester should clearly state the shortcomings / limitations on useage.

  Even if ‘Stops don’t get hit in zero / 0 bars’ how do you know that the same illogical posting of ‘unreal profit’ hasn’t occured in bar 2 or bar 3 of the trade as posted in the results table (unless one laboriously checks out each bar tick by tick … as I did 2 years ago).

  ‘Tick by Tick’ is likely to adversely affect Backtest results of many Bots on here (will Library posts be revised?) … but least we can then move forward with a (otherwise excellent) Platform that was rapidly going down in everybody’s esteem due to this one main weakness!

  Other areas of weakness remain, but least we know / can see the weakness for what it is … unlike the ‘zero /0 bars Stops’ issue … which was hidden and duped unsuspecting users (most)!

  There I hope that’s my last ever rant on this issue … onward and upward!! 🙂

  GraHal

  

  GraHal

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