TS backtesting issue

Discussion in 'Strategy Development' started by vanilla2, Jul 19, 2003.

  1. TS backtesters,

    Over several months with TS, I have run into a persistant limitation in my backtesting. In many cases, I want to run a strategy that takes signals off one symbol (data2) and execute on another symbol (data1).

    When you have a strategy that would normally execute next bar with a "+ 1 point stop" order, the only way I know to code this in a multi-symbol situation is executing "this bar" on data1 when a > (or <) condition is met on data2. I then use 1 min look-inside-bar testing to approximate the entry point, but obviously, this is imprecise since it's giving you the close price of a 1 minute bar. I have yet to find a better way to write multi-symbol EL, and haven't had much success with this issue in the support forum.

    Anybody deal with this issue? It's been a major thorn in my testing, and I wonder how WL deals with it. I wish TS had a reserved word to address a stop getting met on data2 and executing immediately on data1 with more resolution than close of bar.

    Thanks,
    Sean
     
  2. Here's what it comes down to, for any backtest where signals are taken from one symbol and executed on another, TS can't give you more than 1 minute resolution.

    This doesn't only apply to my example above, it applies just the same to simple things like penetration of a trailing stop.

    Are there ANY shelf platforms out there that can test with this type of resolution? Is it possible to buy, say, two years of futures tick data and perform a tick resolution test in Wealthlab or any other platform? Anything else involving two symbols seems to be approximate guesswork. I'd love to hear how others have worked around this limitation.

    Thanks
     
  3. size

    size

    Tradestation was apparently not designed with serious active traders in mind. It's shortcomings to active intraday traders are just too numerous for it to even be considered as a viable platform for anything. Omega FALSELY advertises that it has the ability to backtest trading strategies and show results which could have been obtained in real trading. THIS IS A LIE.

    It's backtesting is chart-based, not tick-based. When your conditions are met during backtesting the best it can do is execute a simulated fill at the close of the bar, according to whatever timeframe chart your strategy is running on. This means that if you are backtesting a strategy on 15-minute bars, and your conditions are met in the 1st minute of a new bar, your back-test execution price will be wherever the stock is 14 minutes later. A complete joke.

    I have told them about this flaw and those false claim in their advertising numerous times over the years, to no avail. I spoke with a head developer. I was told that I was the only one who complained about this and that their product was just fine the way it was. I explained to him and numerous people at Omega that they are excluding a large potential customer base of active professional intraday traders by not addressing all of these shortcomings. My words and numerous e-mails were ignored.

    Until Tradestion provides for the ability to "buy at the current ask" or "sell at the current bid" it's backtest results are just fantasy and totally misleading.

    I know nothing of their brokerage business or it's performance, I speak only of the software.
     
  4. Well, I can completely commisserate with your experience. TS is my first charting application, and from the initial research I did when I chose it, it looked like the best beginners option. The major appeal was that it's a one-stop solution. When I was first starting out I didn't want to go hunting down a seperate data feed. And while Wealth-lab sounded more flexible, I didn't want to start off on a relatively new product.

    In economic terms, I can understand why it may not be a good business decision for them to provide tick resolution backtesting. They definitely cache tick data for some length of time because you can bring up a day or two of historical ticks from any period I think... but to deliver a full year of ticks would probably require a significantly higher level of robustness in their data server farm that just isn't currently justifiable. Ultimately, as you said, bid and ask data would be the best, but they don't even deliver every change to bid and ask in charts realtime, only the value at a particular tick, so if the bid moves 5 times between trades, currentbid and currentask don't plot it.

    I would guess that perhaps 80% of the customer base isn't interested in or aware of the importance of this functionality.

    This is all fine. I hope that in less than three years, this functionality becomes standard on several platforms as computing power increases and the products mature. For now, I feel like I've hit a plateau in my capabilities within Tradestation.

    In the meantime, have you found ways to get around this, either in TS, or using another combination of feed/platform? Will Wealth-lab do this if I track down the data?
     
  5. m_c_a98

    m_c_a98

    try pushpop.dll

    It allows you to access other charts in your easy language signals or indicators. So you should be able to access tick resolution charts combined with other higher time frames. search google for this.
     
  6. Very VERY interesting. It begs the question, if it's easy enough for a customer to write a DLL to accomplish multi-chart communication, what the heck is TS doing with their time? If I'm going to stick with TS, maybe I should get the developer kit and learn how to write DLLs.

    I downloaded the pushpop.zip, and am reading the documentation. This looks very cool.

    Are there other DLLs out there written to deal with these issues, or is this sort of a one-off occurence? Did you find this on the omega-list?

    THanks so much for the tip by the way, this looks like it will help.
     
  7. No software currently offers bid/ask testing. You will also hit a plateau in every software u purchase. Actually... Understanding the plateau will lead u to create better systems by accepting the strength and weakness of the software.

    Good Luck.

    trend:D
     
  8. Yes, trend...

    Knowing and understand the limitation comes from experience in real market trading.

    Backtesting is only a tool... in a way it's BS but it works if you make it work.
     
  9. You can do some Bid Ask testing with www.trade-ideas.com

    Here is the link that tells you how to do it.
    http://www.trade-ideas.com/Help.html#history_window


    History Window

    Each alert window has a "History" link at the top. Click on this link to see alerts which you may have missed if you leave your computer unattended for a few minutes. Or click on this link when the market is closed to perform end of day analysis and back testing. Learn about the alerts and optimize your settings when you have more time.

    When you select the "History" link from an alert window, you will start from the most recent alerts. As you go down the page, you can see older alerts. To see more alerts, hit the "Next Page" button. By default, this will pick up where the previous page left off. To view alerts for a specific time, specify the number of minutes back in time that you want to see.

    When you first select the "History" link from an alert window, the history window has the exact same settings as the alert window. Both windows will display the exact same alerts. You can click on the "Configure" link at the bottom of the history window to change this. This allows you to test small changes in your configuration.

    As an alternative to this window, you may prefer the "Show more alerts in the alert window" setting in the Viewing Options section of the configuration window. The history window offers you more options, but the other setting may be easier to use.
     
  10. How would you deal with FIFO... you're missing the point.
     
    #10     Jul 20, 2003