How do I backtest this strategy: using 1min bars, sell any 9+ tick upmove in the mini-dow that occurs only within 1 or 2 bars? I may be willing to pay you to code this strategy in its complete form, but for now, I just want to backtest it and don't understand how to generate the code. Thanks!
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Need quick TS code, simple strategy, I will pay you!
- Thread starter BillySimas
- Start date
So the deal is you pay if the backtesting results show promise and otherwise you don't pay?
I show a 97% win rate with this system. If you are willing to risk 10,000 and are looking to make 2 ticks, is that what you had in mind?
Seriously, What are we pegging the change to? The close of the previous bar, open of current bar, mid of last bar?
More info is needed to develop this strategy.
Seriously, What are we pegging the change to? The close of the previous bar, open of current bar, mid of last bar?
More info is needed to develop this strategy.
Quote from BillySimas:
How do I backtest this strategy: using 1min bars, sell any 9+ tick upmove in the mini-dow that occurs only within 1 or 2 bars? I may be willing to pay you to code this strategy in its complete form, but for now, I just want to backtest it and don't understand how to generate the code. Thanks!
You can make this strategy work in real time through the use of intrabar order generation in TS 8.1.
You cannot, unfortunately, back test intrabar orders beyond the resolution of the time interval you are choosing. In other words, if you are evaluating the strategy on minute bars, the minimum time interval the backtest can resolve a new order generated intrabar is 1 minute, asssuming your time scale is greater than 1 minute and you have enabled the strategy option to evaluate intrabar.
You would need to use Tick bars to achieve your goals.
RoughTrader
Quote from mschey:
I show a 97% win rate with this system. If you are willing to risk 10,000 and are looking to make 2 ticks, is that what you had in mind?
This initial code is the main idea behind the system, but I'm totally unfamiliar with TS. No, the target is a minimum of 7 ticks, and a stop of 10 ticks. I could explain the whole thing but I'm not looking for a critique of the strategy, just the simple code.
Quote from mschey:
I show a 97% win rate with this system. If you are willing to risk 10,000 and are looking to make 2 ticks, is that what you had in mind?
Seriously, What are we pegging the change to? The close of the previous bar, open of current bar, mid of last bar?
More info is needed to develop this strategy.
I am familiar with these types of micro scalping systems, and some people have discussed their own implementation of them on ET.
While the results may look good on paper, you will never achieve the results you are looking for due to slippage or limit orders being touched but not filled.
Thanks for playing, try again.
RoughTrader
Quote from RoughTrader:
You can make this strategy work in real time through the use of intrabar order generation in TS 8.1.
You cannot, unfortunately, back test intrabar orders beyond the resolution of the time interval you are choosing. In other words, if you are evaluating the strategy on minute bars, the minimum time interval the backtest can resolve a new order generated intrabar is 1 minute, asssuming your time scale is greater than 1 minute and you have enabled the strategy option to evaluate intrabar.
You would need to use Tick bars to achieve your goals.
RoughTrader
I THOUGHT THAT WOULD BE THE CASE, THANK YOU. So, if anyone would still like to help me, please simply change the parameters to 9+ ticks within 2 1 min bars, not intrabar. This should actually make it easier.
Quote from mschey:
I show a 97% win rate with this system. If you are willing to risk 10,000 and are looking to make 2 ticks, is that what you had in mind?
Seriously, What are we pegging the change to? The close of the previous bar, open of current bar, mid of last bar?
More info is needed to develop this strategy.
The low of the previous bar. 9+ ticks within 2 min.
Quote from RoughTrader:
I am familiar with these types of micro scalping systems, and some people have discussed their own implementation of them on ET.
While the results may look good on paper, you will never achieve the results you are looking for due to slippage or limit orders being touched but not filled.
Thanks for playing, try again.
RoughTrader
I don't consider this microscalping, if you take a look you're only getting a few signals a day if you ignore consecutive signals. That is, if there's a ridiculous move up you're not shorting 2-3 times in a row. I could talk about this more but it's taking away from the point of this post, which is how do I write the code to backtest it?
Study...maybe?Quote from BillySimas:
I don't consider this microscalping, if you take a look you're only getting a few signals a day if you ignore consecutive signals. That is, if there's a ridiculous move up you're not shorting 2-3 times in a row. I could talk about this more but it's taking away from the point of this post, which is how do I write the code to backtest it?