Support Board
Support Board
Search Board
Control Panel
View My Posts / Threads
Direct MessagesDate/Time: Tue, 14 May 2024 11:03:01 +0000
[User Discussion] - How to backtest a strategy with 2 timeframes accurately?
View Count: 690
| [2020-10-10 00:52:01] |
| Furinkazan - Posts: 19 |
|
Suppose I have a very simple strategy using only a moving average (MA) on 2 timeframes: Go long if daily MA slopes up while the weekly MA is also sloping up. Here's a simple scenario: In live trading: From Day #1 to Day #6, MA slopes up every day; however, weekly MA slopes down during this entire time, so there’s no trade. On Day #7, both daily and weekly MAs slope up, so we have a long trade. In backtesting, however, we don’t get to see the weekly MA movement on the daily basis. Instead we only get to see a new MA value one week at a time. In this scenario, the weekly MA slopes up from the previous week. This means we go long on Day #1 instead of Day #7. Is there a way to get around this problem in backtesting (using market replay or just eyeballing the chart) so the results match more accurately with live trading? thanks |
| [2020-10-10 07:35:33] |
| |
|
It sounds as though you just want to replay all of the charts: Auto Trade System Back Testing: Performing Back Testing on a Trading System That Uses Multiple Charts Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
To post a message in this thread, you need to log in with your Sierra Chart account: