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Lookback in backtesting

Posted By vanSant 9 Years Ago
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Posted Wednesday July 16 2008
Is it possible to let user make some kind of "peeking" (while backtesting). I mean the possibility of use negative parameter in Lookback property ( after setting SystemData.TradeInsideBars to true, for example).
Without this 'feature" some kind of systems are very hard to write or are not possible to write at all.
Like dr Koch wrote in one of his posts: "Yes, I know this is not realistic, but it is a quick way to backtest strategies which otherwise would need much more and much more complex programming"
Posted Wednesday July 16 2008
Not really.  We make it a point not to do this.  The only peeking allowed is the TradeInsideBars flag which will allow your backtesting to see the close value of the current bar which is technically cheating.

vanSant (7/16/2008)
Is it possible to let user make some kind of "peeking" (while backtesting). I mean the possibility of use negative parameter in Lookback property ( after setting SystemData.TradeInsideBars to true, for example).
Without this 'feature" some kind of systems are very hard to write or are not possible to write at all.
Like dr Koch wrote in one of his posts: "Yes, I know this is not realistic, but it is a quick way to backtest strategies which otherwise would need much more and much more complex programming"
Posted Wednesday July 16 2008
OK, but please take into account that to solve this problem I need to add the code with text file reading (with price data) which will substantially slow down the execution of the backtest (or make a collection in memory which will increase the memory usage).
It is not possible to avoid peeking if someone wants this- so why not to make the things easiest?

Edited: Wednesday July 16 2008 by vanSant
Posted Monday July 21 2008
It's not so much as us trying to maintain purity, but the fact that our pipeline was written to be able to stream data in the same way for both real time and backtest scenarios.  It would be quite some effort to go back and make this sort of change. 

I am curious about where this need comes from in backtesting?



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