1 (edited by GD 2015-06-03 16:28:00)

Topic: Number of Bars, Intrabars and Backtesting

Dear Dr. Popov

I use FSB Demo Data for analysis. During import of Data I received the following...

Please see image

http://s14.postimg.org/66y6vfs3h/2015_06_03.jpg

It looks intrabars cover more dense the Horizon Area going from Area 1 to Area 2 to Area 3.

1> I think that  in order to receive better results, it is good to have more M1 and M5 bars than M15 bars to have the same density in all the Horizon.

2> In this case, the maximum number of bars used for each TimeFrame should be increased to more than 50,000.

Please

1> comment on the need of equal density

2> explain if there is a way to increase Maximum Numbers Limit. I tried to change it inside json file using Notepad but after running FSB, the changes did not stay permanent.

3> What is the meaning of Maximum Intrabars under the Line Maximum Intrabars Section in picture. I cannot clearly understand it. This number is relative to what Timeframe?

Thanks in Advance

Re: Number of Bars, Intrabars and Backtesting

I think that  to receive better results, it is better to have more M1 and M5 bars than M15 bars to cover the same density all the horizon.

Normally the result must be the same with or without intrabar (shorter periods) data. The intrabar scanning serves to reduce the Ambiguous bars when the strategy has tight buy-sell levels.

2> Also, the maximum number of bars used should be increased to more than 50,000.

FSB is designed to calculate strategies in real time and this is achievable only when the data series length is limited. The other variant wold be the MT backtester - more data and no strategy generator.

1> comment on the need of equal density

If you don't receive ambiguous bars, you don't need intrabar data at all. However it mostly depend on the strategy design.

2> explain if there is a way to increase Maximum Numbers Limit. I tried to change it inside json file but
changes did not stay permanent.

I'll check that. If it doesn't work, I'll fix ir. This is the way to increase the number of bars.

3> What is the meaning of Maximum Intrabars under the Line Maximum Intrabars Section in picture.

This is the maximum length of the data series of shorter periods. You currently have 72718 bars and that means the limit is not reached. If the shorter period data series was longer, than FSB would cut it off to 100 000 bars.

3 (edited by GD 2015-06-03 17:50:49)

Re: Number of Bars, Intrabars and Backtesting

Dear Dr. Popov

You say

FSB is designed to calculate strategies in real time and this is achievable only when the data series length is limited".

Yes in general I understand it.  But does it need that, in all kind of EAs?

I hope soon to add a button for editing for cs indicators together with a Refresh or else inside the boxes of Strategy software. It can help development of the product and make fast some changes. Just a recommendation...

The name of file I use to change maximum number of bars was a similar to DataSource_FSB Demo data.json I use inside SYSTEM dir. As I said after save and run FSB the file return to initial state.

Thanks again.

4 (edited by GD 2015-06-04 01:44:44)

Re: Number of Bars, Intrabars and Backtesting

I think it could be nice to have something like that for cs indicators editing using even a simple editor or calling a linked Notepad, save, compile and refresh



http://s8.postimg.org/nuszozngh/2015_06_04.jpg

5 (edited by GD 2015-06-05 08:35:10)

Re: Number of Bars, Intrabars and Backtesting

Dear Dr. Popov

Even I change number of bars

Still in Horizon I can not read more than 50,000 bars

http://s24.postimg.org/my88vaio1/2015_06_05.jpg

http://s24.postimg.org/g91pf9xc1/2015_06_05_ww.jpg

UPDATE: Finally the problem was that...


http://s22.postimg.org/nzhzwrh19/image.jpg

http://s22.postimg.org/7d0fnoo3h/image.jpg

Can you make me some comments please?

Now there is NO problem to keep values in json file BUT I will further check this Weekend

Re: Number of Bars, Intrabars and Backtesting

I am certainly not an expert on the topic but I am curious. It looks to me like putting more historical data into FSB will not generate much different results, not to say no better results. So if more bars doesn't mean more accurate calculation or better result, why would you at all want to put them there?

7 (edited by GD 2015-06-05 11:29:21)

Re: Number of Bars, Intrabars and Backtesting

FSB is a nice tool. I recognized it from the first moment. It gives many possibilities. So it is good to use. any offer it gives.

Sometimes we expect something as "logical" but after that, there is sometimes a cost because we had not the knowledge we need. Nobody knows every aspect of everything...

It is not bad i.e. to recognize that in practice the best time window using same timeframe indicators is the last i.e. 50,000 bars or the last 60,000 bars or the last 40,000 bars for a  specific advisor. More bars with EA success and same parameters mean more expectations for an EA even if the fit is not perfect.

This is one reason to have the ability to change the number of max of bars with the cost of calculation time. Even to try it  few times.

Sometimes you need to have except the H1 behavior OCHL prices for 50,000 bars and the M1 or M5 prices to create an EA to play inside the bar for the same time with H1 bars. Then you need a lot of M5 prices...

I would like to treat some such cases with FSB. Simple EA needs more bars. Best fit EA needs lower number of bars. Hyper fitting is not good.

Re: Number of Bars, Intrabars and Backtesting

So you want to reduce curve-fitting by using more bars? That sounds like a good idea.

Re: Number of Bars, Intrabars and Backtesting

I fixed the issue with the max bars limit in the config file. It will be available with the next update and it'll be possible to set max bars  limit up to 100000000.

10 (edited by GD 2015-06-05 14:27:13)

Re: Number of Bars, Intrabars and Backtesting

yavor99 wrote:

So you want to reduce curve-fitting by using more bars? That sounds like a good idea.

The search for Grail is open here.

There are and other possibilities i.e. treating the behavior of indicators. It depends on approach of trading, which is limited by the kind of indicators used to see success or not.

The search for Grail is open and here and I did not discover it myself.

Generally speaking indicators help to see a situation better. EAs use that to extend a situation to the future.
How lucky they can be it depends on their "stability" behavior. There are theories speaking on that. Μonte Carlo is one example of it.

I would like to see indicators applied to the Balance Data by Popov. Anyway...

Re: Number of Bars, Intrabars and Backtesting

I would like to see indicators applied to the Balance Data by Popov. Anyway...

I have heard that before. Do you have more info? What indicators can be applied and what is the purpose?

12 (edited by GD 2015-06-05 15:04:09)

Re: Number of Bars, Intrabars and Backtesting

Trend Lines, EMAs and more.

The main  idea is  to leave EA to run only when trend of wins exists (the easy part). Just an idea.
This part means some restrictions. But it does not look difficult to be selected.

In Electronics is the feedback signal. Which is used to correct the EA appropriately.

Re: Number of Bars, Intrabars and Backtesting

Popov wrote:

I would like to see indicators applied to the Balance Data by Popov. Anyway...

I have heard that before. Do you have more info? What indicators can be applied and what is the purpose?

This was tested out at Hopwood's forum some time ago, turned out to be not profitable according to Garyfritz.

14 (edited by GD 2015-06-06 02:34:32)

Re: Number of Bars, Intrabars and Backtesting

I do not agreed on that. A major impact is impossible to do not be applied. Something was not made well.

15 (edited by GD 2015-06-06 10:59:59)

Re: Number of Bars, Intrabars and Backtesting

Today Popov has made a script to permit using of MT5 Data in FSB. This is Great.

See here

http://forexsb.com/forum/topic/5379/met … ta-export/.

Re: Number of Bars, Intrabars and Backtesting

I have software that applies some indicators to the balance of the results in a report, that might be good if using it for daily trading, I have not seen anything that would work with intraday trading. For measuring the equity line. looks good.

17 (edited by GD 2015-06-06 14:05:28)

Re: Number of Bars, Intrabars and Backtesting

Blaiserboy wrote:

I have software that applies some indicators to the balance of the results in a report, that might be good if using it for daily trading, I have not seen anything that would work with intraday trading. For measuring the equity line. looks good.

Hi BlaiserBoy, please make any comments in the following

1> I think there are statistics packages which can be used with End Of Day data.
We need to collect the data of the balance (even if the EA i.e.  works virtually for loss times) each day. Any idea?

=====

By the way, I succeeded to download tick data CSV file using Tickstory for a small period.

2> MT5 and MT4 cannot use Tick Data. Right?

3> FSB it can import, if the data have the format of Jforex.
     Do you know this format or suggest special selection in Tickstory?

4> Can you recommend an easy way to do it?

http://s9.postimg.org/ivh9puafv/2015_06_06.jpg

Thanks in Advance.

Re: Number of Bars, Intrabars and Backtesting

Best to ask Tickstory on the Tickstory site as they are the ones that have the knowledge.

You can browse the documentation to learn of the JForex qualities and requirements.

Myself, I just use the data provided in FSBPro as it comes from the same place as Tickstory and seems to be satisfactory for my purpose.

I think that Tickstory when configured to do so will enable MT4 to use tickdata.

I usually work with higher time frames and do not see any need for tickdata.

I am not really the one to ask advanced questions of, I use FSBPro 'out of the box' and am not really interested in sophistication, FSBPro offers a heck of a lot as it is.

Re: Number of Bars, Intrabars and Backtesting

100000000 is enough.
To prevent curvefitting it is good that strategies must have more than 100000 bars.
H1 = 8760 * 12 years
M30= 6 years
M15= 3 years

The problem if you generate H1 with 12 years the generation is very slow.
Better is to generate for 4 years and check für 12 years.

The biggest problem is we have to check strategy by strategy seperately. It will be good if the Strategie builder will support this test.
thomas

Re: Number of Bars, Intrabars and Backtesting

Currently, under the 1 min period, the available data in FSB is about 1.5 months which is very short and hence, generate a lot of curve fitting outcome.

I use a lot of  1min and 5 min period, hence, how many years or bars are sufficient to prevent curve fitting?  And what adjustments do I need to do to my FSB in order to obtain more historical data or bars?  I'm totally ignorant in this area, please help and give step by step instructions.

21

Re: Number of Bars, Intrabars and Backtesting

FSB has inside OOS Try to test it even with 50000 bars.

Re: Number of Bars, Intrabars and Backtesting

I'm totally ignorant in this area, please help and give step by step instructions.

Search the forum for "MaximumBarsLimit" and you'll find the solution in several places: http://forexsb.com/forum/search/579440013/