1minute OHLC vs every tick - opposite results - page 3

Florent  
laplacianlab:

Where do you see the only support point in the figures you send?


The figure show one of the pattern below (we haven't the scale candle to know exactly which one).

The opening price is not included in counting the number of support points thus opening shadow and closing shadow is 1.

1 - 4 - 1
1 - 3 - 1
1 - 2 - 1
1 - 1 - 1

Jordi Bassaganas  
Florew:


Not sure to understand your point. In my opinion it must be possible to reproduce le 1 minute OHLC mode simulation. 

I don't quite understand you!

It seems that you have obtained very good results in "1 minute OHLC" mode and very poorly in "Every tick" mode. Then you say "I want Every tick mode to perform like 1 minute OHLC". Is this what you're trying to do?

I think that this is not possible. The ticks can not be predicted! "1 minute OHLC" mode is a simplification of "Every tick" mode a posteriori. This simplification can't be made a priori while your terminal is receiving the ticks. When you are in a new bar (when 1 minute time has expired) you don't know what you're receiving in the future!

I'm not sure if I understand your point, but I believe that is not a good approach trying to reproduce 1 minute OHLC in Every Tick mode. Any tip from an expert is welcome, or maybe we have to thoroughly read the manual.

Jordi Bassaganas  
angevoyageur:

I really not understand your discussion. It seems to me that you turn something quite simple in a complicated hyper stuff.

For reference, here the documentation about different strategy tester modes. What are you discussing about ?

This discussion raises two "very simple" fundamental questions.

1. Why the "1 minute OHLC" mode is able to produce such good results?

2. Is it possible to approximate real trading (or "Every tick" mode, for me both are the sime right now) to "1 minute OHLC"?

3. When should you test your trading strategies under "1 minute OHLC"?

The questions are very clear and simple.. Who can answer them? The most important is 1.

Thank you very much! 

P.S.: Anyway you're right, everything is in the manual but there are many things to read, study and master. Thanks for the links about the 1 minute OHLC algorithm, which is not very very trivial at a first glance. 

Florent  
laplacianlab:

I don't quite understand you!

It seems that you have obtained very good results in "1 minute OHLC" mode and very poorly in "Every tick" mode. Then you say "I want Every tick mode to perform like 1 minute OHLC". Is this what you're trying to do?

I think that this is not possible. The ticks can not be predicted! "1 minute OHLC" mode is a simplification of "Every tick" mode a posteriori. This simplification can't be made a priori while your terminal is receiving the ticks. When you are in a new bar (when 1 minute time has expired) you don't know what you're receiving in the future!

I'm not sure if I understand your point, but I believe that is not a good approach trying to reproduce 1 minute OHLC in Every Tick mode. Any tip from an expert is welcome, or maybe we have to thoroughly read the manual.


Hi, yes 1 minute OHLC simulation give very good result. $100 turns into $7-8Mo in less than a year - LOL

My strategy does not use OHLC candle prices of any timeframe. Only indicators values to decide orders.

I'm not trying to predict future price of a bar as you mention, but calculate 1 minute OHLC prices with something like Tick Candles indicator. Goal is to have condition similar to the 1 minute OHLC simulation mode. Hope it is clearer. Could we have expert view on this ?

Jordi Bassaganas  
Florew:

Goal is to have condition similar to the 1 minute OHLC simulation mode. Hope it is clearer. Could we have expert view on this ?

Ok, so you thought so, you said "I want Every tick mode to perform like 1 minute OHLC". Don't waste your time, I think it's not possible!, I would say that the best thing is forgetting "1 minute OHLC" mode, and/or reconsider your strategy. I think it's not a good approach, this is my opinion right now. Good luck and keep us informed.
Alain Verleyen  
laplacianlab:

This discussion raises two "very simple" fundamental questions.

1. Why the "1 minute OHLC" mode is able to produce such good results?

2. Is it possible to approximate real trading (or "Every tick" mode, for me both are the sime right now) to "1 minute OHLC"?

3. When should you test your trading strategies under "1 minute OHLC"?

The questions are very clear and simple.. Who can answer them? The most important is 1.

Thank you very much! 

P.S.: Anyway you're right, everything is in the manual but there are many things to read, study and master. Thanks for the links about the 1 minute OHLC algorithm, which is not very very trivial at a first glance. 

Seems to me these questions have already been answered, anyway I can try to resume how I understand all of that :

Some strategies do not care about ticks, they "work" on bar level (S1). Others strategies, use ticks in one way or another, it doesn't matter how (S2). OHLC mode can give you a realistic result for strategy of type S1. For S2 strategy this mode is unreliable. Every tick mode must be reliable for both S1 and S2 (in theory). For S1 strategy, results of both mode should be similar. So to answer your questions :

1. Difference in results show that the tested strategy is of type S2. The OHLC mode result is unreliable in this case.

2. It depends on strategy, for S1 yes, for S2 no.

3. For S1 strategy only.

All of this with the restriction that strategy tester is never the same as forward test, it CAN'T be the same.

Alain Verleyen  
Florew:


Hi, yes 1 minute OHLC simulation give very good result. $100 turns into $7-8Mo in less than a year - LOL

My strategy does not use OHLC candle prices of any timeframe. Only indicators values to decide orders.

I'm not trying to predict future price of a bar as you mention, but calculate 1 minute OHLC prices with something like Tick Candles indicator. Goal is to have condition similar to the 1 minute OHLC simulation mode. Hope it is clearer. Could we have expert view on this ?

I have some difficulties to understand what you are talking about. Either you are a genius, either it makes no sense.
Florent  
angevoyageur:

2. It depends on strategy, for S1 yes, for S2 no.


Not clear for me why it is not possible to calculate 1 minute OHLC prices from live ticks.

Simon Gniadkowski  
Florew:


Not clear for me why it is not possible to calculate 1 minute OHLC prices from live ticks.

You can,  but that is not the issue . . . it's all a question of timing.  If the strategy does not use a SL or TP then it can be done,  the OHLC mode will go from Open to Close via High and Low,  this is exactly the same as what happens live,  the problem comes when SL & TP are used live can see price moving close to High and Low several times,  this does not happen with the OHLC mode,  price goes from Open to High to Low to Close  (High and Low may be reversed).

OHLC - Open --> High --> Low  --> Close  

Live  - Open --->  High and Low via an unknown route and possible repetition  -->  Close