Profile Picture

Can RightEdge use all tick data when Backtesting and Optimizing?

Posted By mt808 Last Year

Can RightEdge use all tick data when Backtesting and Optimizing?

Message
Posted Monday January 18 2016
Can RightEdge use all tick data when Backtesting and Optimizing?

For instance, will it analyze every tick (Bid tick, Ask tick and Last tick) within a bar during a Backtest and/or Optimization?
Or will it make artificial price assumptions (such as assuming the only prices that happened within a bar were the Open, High, Low and Close)? 

I'm hoping it can hoping it analyzes every tickSmile

thanks!
Posted Tuesday January 19 2016
Yes, if "Tick-level simulation" is enabled in the trading system properties, then RightEdge will use tick data if it is present in your data store.  Of course, this can mean it runs more slowly since there's a lot more data to process.

Without tick data, RightEdge will break each input bar up into ticks based on the open, low, high, and close values.  If the input bars are of a higher frequency than your trading system is operating on (ie you are using 1 minute bars for your bar data but your system runs on 15 minute bars), then this will help capture the price movement inside the bars.

Also, RightEdge doesn't assume that the OHLC prices are the only prices that were traded.  It generally assumes the price moved smoothly between them, so if you have a limit or stop order between two of the prices, and the trading price moves from a price that doesn't fulfill the order to one that does, the order will be filled at the limit or the stop price rather than the exact OHLC price.

Thanks,
Daniel
Posted Wednesday February 03 2016
Great!

Can the  "Tick-level simulation" you mentioended go as far as filling Take Profit orders with the Bid prices that happened in between Last prices?


Posted Thursday February 04 2016
If I'm understanding the question correctly, then yes.  In the paper trader, a trade can occur on a bid, ask, or trade tick.  A bid tick can fill sell or short orders, and an ask tick can fill buy or cover orders.  A trade tick can fill all order types.

Thanks,
Daniel
Posted Monday February 08 2016
Great. Thanks!


Similar Topics


Reading This Topic


2005-2017 © RightEdge Systems