Strategy produces too many trades closing on the same bar

皆さん、こんにちは,

I was wondering if anyone has ever ran a strategy live or on demo after getting the warning of Strategy produces too many trades closing on the same bar during creation.  When I look at the list of trades for some of these strategies I don’t see anything too peculiar and wonder if it would run alright live or not.  At first I steered clear of these strategies as the warning scared me away but I’m having second thoughts on if they will still be suitable or not.

Thanks in advance for any input.

こんにちは,

the message just warns a trader that a strategy generates trades (fills) on “intra-bar” basis.. Generally it can be reliable as soon as tick precision backtesting is used. For higher timeframes like daily or H4, even 1-minute precision could be sufficient. With insufficient precision profit-target & stop-loss hit could be evaluated incorrectly (what happened first really) and backtest cannot be reliable.

Still such strategy should be working properly if you verify the backtest

tomas262 wrote:

Hello, the message just warns a trader that a strategy generates trades (fills) on “intra-bar” basis.. Generally it can be reliable as soon as tick precision backtesting is used. For higher timeframes like daily or H4, even 1-minute precision could be sufficient.

i also got on some final generated strategies, a red exclamation mark next to the strategy name with this issue.

regarding backtest precision, you recommend 1 minute data tick simulation on H4 and D1 and real tick custom/real spread on H1 and lower ?

by backtest you mean Cross checks (robustness) ? or the group of different timeframe and market?

ありがとう

It does not necessarily depend on timeframe but mainly how the strategy operates. I mean whether it uses trading on bar close / open or limit order, whether it evaluates intra-bar fills and many other factors … but (very) generally the lower timeframe you test better precision you need to have

TICK precision backtest is the same as 1M at 99.9% for STOP and LIMIT strategies