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| Difference in result when back-testing with 1min vs ticks |
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whiletrue
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| Post subject: Difference in result when back-testing with 1min vs ticks |
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Posted: Wed 25 Apr, 2018, 09:29
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User rating: 0
Joined: Fri 17 May, 2013, 06:58
Posts: 76
Location: SwedenSweden
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API Support
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| Post subject: Re: Difference in result when back-testing with 1min vs ticks |
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Posted: Wed 25 Apr, 2018, 15:12
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User rating: ∞
Joined: Fri 31 Aug, 2007, 09:17
Posts: 6139
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Please, provide strategy example
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whiletrue
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| Post subject: Re: Difference in result when back-testing with 1min vs ticks |
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Posted: Thu 26 Apr, 2018, 07:58
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User rating: 0
Joined: Fri 17 May, 2013, 06:58
Posts: 76
Location: SwedenSweden
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Back test based on EUR/SEK, previous week.
Partial strategy that only works with 1h bars and only places long orders with PLACE_BID.
Different fill prices depending on if I run the strategy with 1min bars or with ticks.
1min ask bars output:
2018-04-22 23:30:37 Order filled @ 10.37889, bid was placed @ 10.37944
2018-04-20 08:07:37 Order filled @ 10.37644, bid was placed @ 10.37787
2018-04-19 10:01:37 Order filled @ 10.36809, bid was placed @ 10.36852
2018-04-19 09:05:37 Order filled @ 10.3713, bid was placed @ 10.37307
2018-04-19 04:48:37 Order filled @ 10.395, bid was placed @ 10.39519
2018-04-18 14:01:37 Order filled @ 10.38253, bid was placed @ 10.38316
2018-04-18 13:37:37 Order filled @ 10.38408, bid was placed @ 10.3865
2018-04-17 04:28:37 Order filled @ 10.41172, bid was placed @ 10.41191
2018-04-16 08:00:37 Order filled @ 10.41243, bid was placed @ 10.41248
2018-04-16 07:05:37 Order filled @ 10.42105, bid was placed @ 10.42507
Ticks output:
2018-04-22 23:30:57 Order filled @ 10.37927, bid was placed @ 10.37944
2018-04-20 08:07:29 Order filled @ 10.3778, bid was placed @ 10.37787
2018-04-19 10:01:20 Order filled @ 10.3685, bid was placed @ 10.36852
2018-04-19 09:05:31 Order filled @ 10.37304, bid was placed @ 10.37307
2018-04-19 04:48:34 Order filled @ 10.39518, bid was placed @ 10.39519
2018-04-18 14:01:33 Order filled @ 10.38314, bid was placed @ 10.38316
2018-04-18 13:37:31 Order filled @ 10.38644, bid was placed @ 10.3865
2018-04-17 04:28:47 Order filled @ 10.41172, bid was placed @ 10.41191
2018-04-16 08:00:21 Order filled @ 10.41247, bid was placed @ 10.41248
2018-04-16 07:05:47 Order filled @ 10.4249, bid was placed @ 10.42507
Am I doing something wrong? I would assume to get the same fill price when back testing with both 1min bars and ticks...
| Attachments: |
FooStrategy.java [3.62 KiB]
Downloaded 153 times
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whiletrue
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| Post subject: Re: Difference in result when back-testing with 1min vs ticks |
Post rating: 0
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Posted: Mon 07 May, 2018, 07:53
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User rating: 0
Joined: Fri 17 May, 2013, 06:58
Posts: 76
Location: SwedenSweden
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The same applies to the close price which results in that I can not trust the result of back testing with jforex... =(
Please provide feedback. Am I doing something wrong, or is this a bug in the platform?
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API Support
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| Post subject: Re: Difference in result when back-testing with 1min vs ticks |
Post rating: 0
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Posted: Tue 08 May, 2018, 17:01
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User rating: ∞
Joined: Fri 31 Aug, 2007, 09:17
Posts: 6139
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Thanks for your report. We are currently working on question.
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API Support
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| Post subject: Re: Difference in result when back-testing with 1min vs ticks |
Post rating: 0
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Posted: Thu 10 May, 2018, 13:05
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User rating: ∞
Joined: Fri 31 Aug, 2007, 09:17
Posts: 6139
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For ticks time frame Historical Tester process all available ticks, for 1min HT uses interpolation methods, which generate ticks from candles relying on own logic. More you can read there: https://www.dukascopy.com/wiki/en/forex-cfds/jforex/historical-tester#interpolation-methodsFor high precision you need to use ticks time frame, interpolation methods gives a advantage in speed, but they aren't very good for testing strategies with a high dependence of price.
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