New RT test
9 replies
Patrick
8 years ago #114969
Does it make sense to have variable bar option (50min, 70 min candles for H1 and 25min and 35 min candles for M30 strategies) to see how robust is the strategy?
Patrick
8 years ago #136200
*timescale analysis
tomas262
8 years ago #136201
Hi Patrick, that sounds interesting. Will notice Mark about this to consider
tnickel
8 years ago #136213
Hi, I think it made sense.
I know some other people who do this.
thomas
https://monitortool.jimdofree.com/
geektrader
8 years ago #136214
Personally I am doing this too, H1 tested on M30, H4, etc. Should at least give a positive slope. What I am looking for though is shifted timeframe test. E.g. build the H1 bars for the backtest with a shift of +5 +10 or +15 etc minutes. As long as we have 1 minute data, that would be absolutely easy to do for SQ. E.g. don´t start the 1H bar at 13:00, but at 13:05 or 13:06 and keep that 6 minutes shift form there on – this will result in completely new H1 bars for a stability test, yet they are still build exactly from your 1M data that you used to create the main strategy without time-shifted bars.
Mark Fric
8 years ago #136232
yes, it is possible to do this manually as geektrader describes it, and I think I recommended it in some article. H1 strategy should work on M30 and H4 as well at least to some extent – it could be losing, but not a freefall.
But it is a good idea to add this to robustness tests as well.
Mark
StrategyQuant architect
Patrick
8 years ago #136236
geektrader
8 years ago #136240
The shifted H1 candles will do wonders for stability testing (e.g. from 13:06 to 14:06 instead of 13:00 to 14:00). I am currently generating these bars with a own MQ4 script and import them into SQ, but would be cool if SQ would have it out of the box.
Patrick
8 years ago #136242
The shifted H1 candles will do wonders for stability testing (e.g. from 13:06 to 14:06 instead of 13:00 to 14:00). I am currently generating these bars with a own MQ4 script and import them into SQ, but would be cool if SQ would have it out of the box.
It would be nice to have both test, one with shifted open of the bar (from 13:06 – to 14:06) and another one for changing candles from 60 min to 70 min
geektrader
8 years ago #136249
Yes, and another really nice option would be:
“Reverse data”. That´s simply nothing more than using the data in reverse for a backtest. E.g., if original data is from 1.1.2000 to 1.1.2016, SQ simply builds the bars the other way around, 1.1.2016 becomes 1.1.2000 and 1.1.2000 becomes 1.1.2016, all data in-between is reversed too of course. Which is another nice way to test the stability.
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