• Registered: 2008-09-03
  • Posts: 3

Topic: Prb : What about the Ticks in intrabars and efficiency of backtstings?

Hello M POPOV,

first of all I would like to thank you for this very interesting soft ! smile

I just wonder how you place the entry/ or exit orders in a bar (for instance in a 1H strategy), whereas ticks or one minute datas are not downloaded in the software ...

This is not disturbing efficiency of bar testings ??

thanks a lot for your reply..

Beno

  • Popov
  • Popov
  • Lead Developer
  • Offline
  • From: Bulgaria
  • Registered: 2006-11-30
  • Posts: 8,026

Re: Prb : What about the Ticks in intrabars and efficiency of backtstings?

Hi Benoit,
There is no any magic in the backtesting algorithm of Forex Strategy builder.
I'm working on it every day during the last 8 years and finally it is more reliable and 1000 times faster than the MetaTraders's one (best regards to it's developers smile).

Actually the algorithm is extremely simple and this fact make it extremely fast. On my laptop the program makes 50 backtests per seconds that means it can generate or optimize a trading strategy for every market tick.

I cannot announce the algorithm now, but probably I'll make the program open source some day. Then I'll explain it to everyone.

If you are in doubt about its correctness use the intrabar scanner. The scanner uses all available shorter periods. The scanning will not show any difference in the backtest's result when there are no ambiguous bars. So the algorithm does no need intrabar data for most of the strategies. When the strategy backtest shows ambiguous bars the scanning improves the reliability. Some times even the shorter periods cannot be enough to precise the price route inside some bars and in these cases FSB uses different interpolation methods (pessimistic, optimistic ...).

That's all for now. If you have more questions I'm here.

Popov's Website

  • Registered: 2008-09-03
  • Posts: 3

Re: Prb : What about the Ticks in intrabars and efficiency of backtstings?

hi Popov

It's ok ! I understood this indeed some minutes after having written my post... I understand now the signification of ambigous bar. And the good news is that I don't have any ambigous bars in the strategy that I have built smile

Someone is trying to programm my strat in mql4 for metatrader in order to backtest in H1 since 2001, and to be able to place orders automatically.

I hope datas from metatrader are quite the same than yours, and that my strat will be as efficient as it appears with your soft  smile

Have you already heard about reactions in comparison datas (forexsb / metatrader) ? are they similar ? (I tried to download datas but date is not the same format, and mu excell don't want to change it Lol I have ti find how to change this...)

One more time congratulations for this extra soft ! fabulous !

have a good day !

Beno

  • Popov
  • Popov
  • Lead Developer
  • Offline
  • From: Bulgaria
  • Registered: 2006-11-30
  • Posts: 8,026

Re: Prb : What about the Ticks in intrabars and efficiency of backtstings?

It is better to load data from your broker. See here how you can do this:

http://forexsb.com/help/guide/metatrder_data
There are no problems with the MT data.

The data of Forex Strategy Builder are from Eastern Europe time zone.

There is no difference between the test results. Be careful abut the "use previous bar value". Meta Trader does not provide this automatically.

Popov's Website