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Maybe in a few years it might catch up to where Trade Station is today but by then Trade Station wont still be where it is today.

.

urma, how TS is in terms of speed and ticks throttling? How would you compare to systems like XTrader and CQG ? would trust TS a system which generates 5k signals a day and the average trade life span is 10s ?

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what are you on about , ts is the worse. please back up your facts. neoticker , ninja trader both have far superior platforms for testing, implemenation and running algorithms.

 

TS may have one advantgae better data handling in intraday , thats all

 

Secondly i think you need to understand the difference between backtesting VS. simualtion really you need to simulate before trading NOt backtest - backtest only proofs your system basics, it doesnt allow for real life trading issues and management as such.

 

you need to read the specs on each platform and work out what you need to do with your plan.... in my exp TS is the worse for seriosu trading :)

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More detail would be helpful if you are interested in learning how to make TS work for you, instead of just complaining about it. Your comment contains no information useful for troubleshooting your issues.

 

Uli,

Sorry for the long delay.

My strat uses a Hull MA's with some other filters.

It buys when a Hull MA is lower than another Hull MA which happens to be the low or close to it of the current bar at market.

It will back test from 80 percent to 100 percent win ratio. In real time it gets eaten alive by trailing stops and poor entry points.

Depending on the filters and chart ticks/shares with one contract it shows about 10K to 40K profit per month just on long entries.

As my coding skill improves so do the results in testing but I need something that works live.

As you can see from the following it tests superb but hemorrhages money live.

This is why I have a problem with TS back testing.

 

TradeStation Performance Summary

 

All Trades Long Trades Short Trades

Total Net Profit $1,200.20 $1,200.20 $0.00

Gross Profit $1,215.10 $1,215.10 $0.00

Gross Loss ($14.90) ($14.90) $0.00

Profit Factor 81.55 81.55 n/a

 

Roll Over Credit $0.00 $0.00 $0.00

Open Position P/L $0.00 $0.00 $0.00

 

Select Total Net Profit $1,105.00 $1,105.00 $0.00

Select Gross Profit $1,119.90 $1,119.90 $0.00

Select Gross Loss ($14.90) ($14.90) $0.00

Select Profit Factor 75.16 75.16 n/a

 

Adjusted Total Net Profit $1,015.15 $1,015.15 $0.00

Adjusted Gross Profit $1,044.95 $1,044.95 $0.00

Adjusted Gross Loss ($29.80) ($29.80) $0.00

Adjusted Profit Factor 35.07 35.07 n/a

 

Total Number of Trades 52 52 0

Percent Profitable 98.08% 98.08% 0.00%

Winning Trades 51 51 0

Losing Trades 1 1 0

Even Trades 0 0 0

 

Avg. Trade Net Profit $23.08 $23.08 $0.00

Avg. Winning Trade $23.83 $23.83 $0.00

Avg. Losing Trade ($14.90) ($14.90) $0.00

Ratio Avg. Win:Avg. Loss 1.6 1.6 n/a

Largest Winning Trade $47.60 $47.60 $0.00

Largest Losing Trade ($14.90) ($14.90) $0.00

Largest Winner as % of Gross Profit 3.92% 3.92% n/a

Largest Loser as % of Gross Loss 100.00% 100.00% n/a

 

Net Profit as % of Largest Loss 8055.03% 8055.03% n/a

Select Net Profit as % of Largest Loss 7416.11% 7416.11% n/a

Adjusted Net Profit as % of Largest Loss 6813.10% 6813.10% n/a

 

Max. Consecutive Winning Trades 26 26 0

Max. Consecutive Losing Trades 1 1 0

Avg. Bars in Total Trades 1.19 1.19 0

Avg. Bars in Winning Trades 1.18 1.18 0

Avg. Bars in Losing Trades 2 2 0

Avg. Bars in Even Trades 0 0 0

 

Max. Shares/Contracts Held 1 1 0

Total Shares/Contracts Held 52 52 0

Account Size Required $14.90 $14.90 $0.00

Total Slippage $0.00 $0.00 $0.00

Total Commission $124.80 $124.80 $0.00

 

Return on Initial Capital 1.20%

Annual Rate of Return 383.09%

Buy & Hold Return 0.81%

Return on Account 8055.03%

Avg. Monthly Return $1,200.20

Std. Deviation of Monthly Return n/a

 

Return Retracement Ratio n/a

RINA Index 161334.91

Sharpe Ratio n/a

K-Ratio n/a

 

Trading Period 1 Dy, 3 Hrs, 18 Mins

Percent of Time in the Market 2.20%

Time in the Market 36 Mins

Longest Flat Period 18 Hrs, 2 Mins

 

Max. Equity Run-up $1,237.70

Date of Max. Equity Run-up 12/24/2009 13:13

Max. Equity Run-up as % of Initial Capital 1.24%

 

Max. Drawdown (Intra-day Peak to Valley)

Value ($62.50) ($62.50) $0.00

Date 12/23/2009 10:15

as % of Initial Capital 0.06% 0.06% 0.00%

Net Profit as % of Drawdown 1920.32% 1920.32% n/a

Select Net Profit as % of Drawdown 1768.00% 1768.00% n/a

Adjusted Net Profit as % of Drawdown 1624.24% 1624.24% n/a

 

Max. Drawdown (Trade Close to Trade Close)

Value ($14.90) ($14.90) $0.00

Date 12/23/2009 13:08

as % of Initial Capital 0.01% 0.01% 0.00%

Net Profit as % of Drawdown 8055.03% 8055.03% n/a

Select Net Profit as % of Drawdown 7416.11% 7416.11% n/a

Adjusted Net Profit as % of Drawdown 6813.10% 6813.10% n/a

 

Max. Trade Drawdown ($12.50) ($12.50) $0.00

 

 

 

All Trades

 

Total Net Profit $1,200.20 Profit Factor 81.55

Gross Profit $1,215.10 Gross Loss ($14.90)

 

Roll Over Credit $0.00

Open Position Profit/Loss $0.00

 

Select Total Net Profit $1,105.00 Select Profit Factor 75.16

Select Gross Profit $1,119.90 Select Gross Loss ($14.90)

 

Adjusted Total Net Profit $1,015.15 Adjusted Profit Factor 35.07

Adjusted Gross Profit $1,044.95 Adjusted Gross Loss ($29.80)

 

Total Number of Trades 52 Percent Profitable 98.08%

Winning Trades 51 Losing Trades 1

Even Trades 0

 

Avg. Trade Net Profit $23.08 Ratio Avg. Win:Avg. Loss 1.6

Avg. Winning Trade $23.83 Avg. Losing Trade ($14.90)

Largest Winning Trade $47.60 Largest Losing Trade ($14.90)

Largest Winner as % of Gross Profit 3.92% Largest Loser as % of Gross Loss 100.00%

 

Net Profit as % of Largest Loss 8055.03%

Slct. Net Profit as % of Largest Loss 7416.11% Adj. Net Profit as % of Largest Loss 6813.10%

 

Max. Consecutive Winning Trades 26 Max. Consecutive Losing Trades 1

Avg. Bars in Winning Trades 1.18 Avg. Bars in Losing Trades 2

Avg. Bars in Total Trades 1.19

 

Max. Shares/Contracts Held 1 Account Size Required $14.90

Total Commission $124.80 Total Slippage $0.00

 

Return on Initial Capital 1.20% Annual Rate of Return 383.09%

Buy and Hold Return 0.81% Return on Account 8055.03%

Avg. Monthly Return $1,200.20 Std. Deviation of Monthly Return n/a

 

Return Retracement Ratio n/a RINA Index 161334.91

Sharpe Ratio n/a K-Ratio n/a

 

Trading Period 1 Dy, 3 Hrs, 18 Mins Percent of Time in the Market 2.20%

Time in the Market 36 Mins Longest Flat Period 18 Hrs, 2 Mins

 

Max. Equity Run-up $1,237.70

Date of Max. E. Run-up 12/24/2009 13:13 Max. E. Run-up as % of Initial Capital 1.24%

 

Max. Drawdown (Intra-day Peak to Valley) Max. Drawdown (Trade Close to Trade Close)

Value ($62.50) Value ($14.90)

Date 12/23/2009 10:15 Date 12/23/2009 13:08

as % of Initial Capital 0.06% as % of Initial Capital 0.01%

Net Profit as % of Drawdown 1920.32% Net Profit as % of Drawdown 8055.03%

Slct. Net Profit as % of Drawdown 1768.00% Slct. Net Profit as % of Drawdown 7416.11%

Adj. Net Prof as % of Drawdown 1624.24% Adj. Net Profit as % of Drawdown 6813.10%

 

Max. Trade Drawdown ($12.50)

 

Long Trades

 

Total Net Profit $1,200.20 Profit Factor 81.55

Gross Profit $1,215.10 Gross Loss ($14.90)

 

Roll Over Credit $0.00

Open Position Profit/Loss $0.00

 

Select Total Net Profit $1,105.00 Select Profit Factor 75.16

Select Gross Profit $1,119.90 Select Gross Loss ($14.90)

 

Adjusted Total Net Profit $1,015.15 Adjusted Profit Factor 35.07

Adjusted Gross Profit $1,044.95 Adjusted Gross Loss ($29.80)

 

Total Number of Trades 52 Percent Profitable 98.08%

Winning Trades 51 Losing Trades 1

Even Trades 0

 

Avg. Trade Net Profit $23.08 Ratio Avg. Win:Avg. Loss 1.6

Avg. Winning Trade $23.83 Avg. Losing Trade ($14.90)

Largest Winning Trade $47.60 Largest Losing Trade ($14.90)

Largest Winner as % of Gross Profit 3.92% Largest Loser as % of Gross Loss 100.00%

 

Max. Consecutive Winning Trades 26 Max. Consecutive Losing Trades 1

Avg. Bars in Winning Trades 1.18 Avg. Bars in Losing Trades 2

Avg. Bars in Total Trades 1.19

 

Max. Shares/Contracts Held 1 Account Size Required $14.90

Total Commission $124.80 Total Slippage $0.00

 

Net Profit as % of Largest Loss 8055.03%

Slct. Net Profit as % of Largest Loss 7416.11% Adj. Net Profit as % of Largest Loss 6813.10%

 

Max. Drawdown (Intra-day Peak to Valley) Max. Drawdown (Trade Close to Trade Close)

Value ($62.50) Value ($14.90)

as % of Initial Capital 0.06% as % of Initial Capital 0.01%

Net Profit as % of Drawdown 1920.32% Net Profit as % of Drawdown 8055.03%

Slct. Net Profit as % of Drawdown 1768.00% Slct. Net Profit as % of Drawdown 7416.11%

Adj. Net Prof as % of Drawdown 1624.24% Adj. Net Profit as % of Drawdown 7416.11%

 

Max. Trade Drawdown ($12.50)

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Estate1997

 

Where do I begin? First of all, a couple very important things:

 

1. Your backtest period is only a little over a day of data

2. Backtesting should always account for slippage, you have none

 

What market are you trading?

What type of charts are you using? Tick, time, momentum, range?

What chart intervals?

Do you understand the difference between optimization and curve-fitting?

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every person in the world tried MA crossover system when 5 yo.... Why do you think not all of them are rich?

 

What a joke. Try horses betting.

 

 

This thread is about backtest, not the strategy.

I won't discount any effort, even a MA cross.

 

What you said can can be applied to backtest as well...

Naive assumptions (e.g. a simple MA cross) will net you predictable naive results,

erroneous methodology (eg. a poorly applied backtest) will net you predictable errors.

 

 

 

p.s. there is a method to everything.

Edited by Tams

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To backtest properly and profitably (I use TS), can you tell me sites, articles, books to learn how to do and why today my backtest highly profitable materialize by systematic loss ...

Thank you in advance!

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To backtest properly and profitably (I use TS), can you tell me sites, articles, books to learn how to do and why today my backtest highly profitable materialize by systematic loss ...

Thank you in advance!

 

 

because... your backtest is blank.

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To backtest properly and profitably (I use TS), can you tell me sites, articles, books to learn how to do and why today my backtest highly profitable materialize by systematic loss ...

Thank you in advance!

 

I would start by getting up to speed on probability and statistics..Probability Without Tears and Statistics Without Tears are great places to start for non math geeks. ...most retail backtesting software and concepts are just a marketting con, bringing a butter knife to a statistical/machine learning nuclear war.

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I just bactest a strategy that runs on the intraday forex unit time 15 minutes.

Without optimization, this strategy shows a profit factor of 5 over the period tested.

I optimized one of the parameters, which improved the profit factor to 7.

I then tested this set of parameters on a new period of data, which confirmed the return.

Finally, I turn left the strategy on a demo account and then the strategy burn the account ...

 

Therefore I would like to know what it is like books and literature on the issue of backtest ...

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I just bactest a strategy that runs on the intraday forex unit time 15 minutes.

Without optimization, this strategy shows a profit factor of 5 over the period tested.

I optimized one of the parameters, which improved the profit factor to 7.

I then tested this set of parameters on a new period of data, which confirmed the return.

Finally, I turn left the strategy on a demo account and then the strategy burn the account ...

 

Therefore I would like to know what it is like books and literature on the issue of backtest ...

 

 

you are telling us what happened to the result,

but you have not said anything about the backtest you've done.

 

from a distance... without knowing the detail, I can tell you there is a missing link between your back test and forward test.

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I just bactest a strategy that runs on the intraday forex unit time 15 minutes.

Without optimization, this strategy shows a profit factor of 5 over the period tested.

I optimized one of the parameters, which improved the profit factor to 7.

 

ok, you have really got mixed up here ... wtf is profit factor 5 ot 7 ? explain

 

most backtests are prototype ! not real systems to trade with, you have to understand this you cannot rely on a backtest to determone real life simulation - i have a backtest that produces a 700% return but its limited by other factors which when "simulated " as real only gives 15% return - pa ( per annum) you have to explain yourself and detials on the backtest. you must know , risk, contract/shares , stops, alocation , money management etc... basically the concept is to work out how to test your system by understanding the losses , dont focus on just profits

 

you must understand what brings a backtest togther to form a simualtion , a simulation allows you to test in a real life scenerio and give you a real look at the system your using, also theonly thing you cant really measure is slippage , yes you can estimate but its only when you actually trade then and only then can say i have _ve slippage or +ve slipage and i loose xxx per trade or i gain xxxx

 

what time frames new period of data? , what did u did with changes ?

 

books well there are some books but its difficult to understadn what you want to do vs. what book to advise you on

 

u need to go simple 1st like a backtest on MA above and below - then ull see the problems with stops and testing it in real life ....

 

anyway add some detials and exlain what your doing so ppl canhelp or at least try

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We use both Tradestation and MultiCharts. Both have their positives and negatives as many people mentioned in their posts above. It just really depends on what you need.

 

On key feature that we use in MultiCharts is their Portfolio Testing which is extremely helpful. Unfortunately Tradestation lacks this type of testing which can make back testing strategies such as Pair Trading really difficult.

 

Although if you have Tradestation and want to keep this platform you can use TS Add-On tools such as Rina and/or Portfolio Merge in order to conduct Portfolio Testing. Although note that you have pay for these systems in addition to your Tradestation Cost.

 

Both MultiCharts and Portfolio Merge offer free trials so you can at least try out their software to see if it meets your needs. Hope this helps.

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As a side note - regards portfolio testing - I am not sure how each system actually manages their portfolio backtesting - but if a system is not doing it correctly then portfolio backtesting is useless.

 

I define correctly as "in a manner that actually replicates real life as close as possible"

 

If you are testing a portfolio system then you need to separate the trade triggers from the portfolio construction and this needs to occur on a daily basis, everytime the system checks the triggers for stops and entries, it then needs to run through and adjust the portfolio based on separate rules.

If the backtesting system does not do it in this manner, and instead uses a lazy way of just adding positions on a day by day basis, then I would suggest you dont use it as it will not give a true representation of what will occur in real life.

A simple portfolio approach whereby the portfolio is not adjusted on a daily basis on separate rules, assumes too many things such as correlation risk, capital restrictions and concentration risks.....in other words not a great measure.

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PTL Builder looks interesting for MQL4 and EasyLanguage back-testing, but I would be interested in hearing about alternative products...

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For multi chart users, how you guys back test intra bar order for day trading strategies? I tried those methods like checking intrabar generation also used within code etc but it never worked for me. Ex. In backtest MC should reflect exact Buy price at the market when high of the current bar > previous high. Strangely unlike market delta, MC doesnt facilitate simple buy order like buy this bar at variable # x where as variable # x holds the value of high of current bar > previous high. Am i missing something obvious in MC ? It restricts market order on next bar only not present bar. :pullhair:

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For multi chart users, how you guys back test intra bar order for day trading strategies? I tried those methods like checking intrabar generation also used within code etc but it never worked for me. Ex. In backtest MC should reflect exact Buy price at the market when high of the current bar > previous high. Strangely unlike market delta, MC doesnt facilitate simple buy order like buy this bar at variable # x where as variable # x holds the value of high of current bar > previous high. Am i missing something obvious in MC ? It restricts market order on next bar only not present bar. :pullhair:

 

yes, you are missing something.

as a matter of fact, you are missing a lot.

 

press the [F1] key to get the MultiCharts User Guide.

Look up

MultiCharts > Strategy Trading > Backtesting

 

pay particular attention to

Bar Magnifier

Understanding Precise Back Testing

 

 

good luck

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yes, you are missing something.

as a matter of fact, you are missing a lot.

 

press the [F1] key to get the MultiCharts User Guide.

Look up

MultiCharts > Strategy Trading > Backtesting

 

pay particular attention to

Bar Magnifier

Understanding Precise Back Testing

 

 

good luck

 

thanks Tams, i think i need to rephrase my question, i did enable bar magnifier under formating my strategy properties but that only helping for solving entry first or exit first on same bar. Where i stuck is how to tell MC to exit at the exact price when my condition becomes true not on close of this bar? Limit order only possible for next bar where as present bar met the condition, i did try to putting value of present bar on next bar but it gave error. Example to make it more clear - say the code is // (intrabarordergeneration = true) condition1 = ( time > 1000 and time <= 1500) and high >= newhd[1] ; if condition1 then buy this bar at close ; // time frame of the chart is say 15 minute, now if value1 = high >= newhd[1] then, how to write the code when condition1 then buy at value1 ?

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sorry if this has been said before - or if it seems obvious....

In order to be able to trade intra day you must have the correct intra day data. (Ideally down to the tick data)

Unfortunately the systems dont have a measure to be able to buy within a bar unless you can further subdivide the bar you are working on into smaller time frame bars.

you need to be able to see the sequence of trades that make up the bar. ie; which came first the high, or the low.

(I used MC for a while and initially missed this point myself when first looking at it). The only other way to do it is via a fudge.

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sorry if this has been said before - or if it seems obvious....

In order to be able to trade intra day you must have the correct intra day data. (Ideally down to the tick data)

Unfortunately the systems dont have a measure to be able to buy within a bar unless you can further subdivide the bar you are working on into smaller time frame bars.

you need to be able to see the sequence of trades that make up the bar. ie; which came first the high, or the low.

(I used MC for a while and initially missed this point myself when first looking at it). The only other way to do it is via a fudge.

thanks for the reply, yes aware of this fact, not with MC but i believe no any software could detect what happened first within bar using historical data, you see, in MarketDelta you can assign value by using variable# and make a code like, when condition is true then buy at variable# . I am sure there must be some way in MC otherwise how one can backtest intraday strategies effectively?

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I maybe wrong here, as they may have upgraded MC. However when I used it the answer was no. you could only do as you suggested which was reference the bars parameters (OHLC) and you could not say something such as "buy at this value"

It was one of the reasons I stopped using MC, as I found this a limiting factor.

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Gold’s Outlook – Uptrend may continue, but US jobs data could trigger profit-taking. Always trade with strict risk management. Your capital is the single most important aspect of your trading business.   Please note that times displayed based on local time zone and are from time of writing this report.   Click HERE to access the full HFM Economic calendar.   Want to learn to trade and analyse the markets? Join our webinars and get analysis and trading ideas combined with better understanding of how markets work. Click HERE to register for FREE!   Click HERE to READ more Market news.   Michalis Efthymiou HFMarkets   Disclaimer: This material is provided as a general marketing communication for information purposes only and does not constitute an independent investment research. 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    • Date: 31st March 2025.   Trump Confirms Tariffs on All Countries, Sending Stocks Lower.   The NASDAQ continues to trade lower due to the US confirming the latest tariffs will be on all countries. In addition to this, bearish volatility also is largely due to the higher inflation data from Friday. The NASDAQ declines to its lowest price since September 11th 2024. Core PCE Price Index - Inflation Increases Again! The PCE Price Index read 2.5% aligning with expert forecasts not triggering any alarm bells. However, the Core PCE Price Index rose from 0.3% to 0.4% MoM and from 2.7% to 2.8% YoY, signalling growing inflationary pressure. This increases the likelihood that the Federal Reserve will maintain elevated interest rates for an extended period. The NASDAQ fell 2.60% due to the higher inflation reading which is known to pressure the stock market due to pressure on consumer demand and a more hawkish Federal Reserve. Boston Fed President Susan Collins recently commented that tariffs could drive up inflation, though the long-term impact remains uncertain. She told journalists that a short-term spike is the most probable outcome but believes the current pause in monetary policy adjustments is appropriate given the prevailing uncertainties. Although, certain investment banks such as JP Morgan actually believe the Federal Reserve will be forced into cutting rates. This is due to expectations that the economy will struggle under the new trade policy. For example, JP Morgan expects the Federal Reserve to delay rate cuts but will quickly cut towards the end of 2025. Market Risk Appetite Takes a Hit! A big factor for the day is the drop in the risk appetite of investors. This can be seen from the VIX which is up almost 6%, Gold which is trading 1.30% higher and the Japanese Yen which is the day’s best performing currency. Most safe haven assets, bar the US Dollar, increase in value. It is also worth noting that all indices are decreasing in value during this morning's Asian session with the Nikkei225 and NASDAQ witnessing the strongest decline. Previously the stock market rose in value as investors heard rumours that tariffs would only be on certain countries. This bullish swing occurred between March 14th and 25th. Over the weekend, President Donald Trump indicated that the upcoming tariffs would apply to all countries, not just those with the largest trade imbalances with the US. NASDAQ - Technical Analysis In terms of technical analysis, the NASDAQ continues to obtain indications that sellers control the price action. The price opens on a bearish price gap measuring 0.30% and trades below all Moving Averages on all timeframes. The NASDAQ also trades below the VWAP and almost 100% of the most influential components (stocks) are declining in value.     The next significant support level is at $18,313, and the resistance level stands at $20,367.95. Key Takeaway Points: NASDAQ falls to its lowest since September 2024 as the US confirms tariffs on all countries, adding to inflation concerns. Core PCE inflation rises to 0.4% MoM and 2.8% YoY, increasing the likelihood of prolonged high interest rates. Investor risk appetite drops as VIX jumps 6%, gold gains 1.3%, and safe-haven assets outperform. NASDAQ shows strong bearish momentum, trading below key technical levels with support at $18,313 and resistance at $20,367.95. Always trade with strict risk management. Your capital is the single most important aspect of your trading business.   Please note that times displayed based on local time zone and are from time of writing this report.   Click HERE to access the full HFM Economic calendar.   Want to learn to trade and analyse the markets? Join our webinars and get analysis and trading ideas combined with better understanding of how markets work. Click HERE to register for FREE!   Click HERE to READ more Market news.   Michalis Efthymiou HFMarkets   Disclaimer: This material is provided as a general marketing communication for information purposes only and does not constitute an independent investment research. Nothing in this communication contains, or should be considered as containing, an investment advice or an investment recommendation or a solicitation for the purpose of buying or selling of any financial instrument. All information provided is gathered from reputable sources and any information containing an indication of past performance is not a guarantee or reliable indicator of future performance. Users acknowledge that any investment in Leveraged Products is characterized by a certain degree of uncertainty and that any investment of this nature involves a high level of risk for which the users are solely responsible and liable. We assume no liability for any loss arising from any investment made based on the information provided in this communication. This communication must not be reproduced or further distributed without our prior written permission.
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