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Testing Automated Strategies

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    Testing Automated Strategies

    I've been trying to use the market replay to test several strategies which use the ATM to enter and manage the order. I have a few questions:

    (1) It appears that when I speed up the replay (say at 2x or 4x) I seem to get different results. Is this to be expected?

    (2) Also, If I want to record market data for multiple instruments do I just make sure I have that check box checked then open a chart for each instrument and let it run all day?

    (3) Finally, If I record an instrument, say ES on a 55 Tic chart. Is that the resolution the data is recorded and stored at, or is there a different resolution. Since I want to be able to test different tic values against my strategies, do I need to open a chart at each tic value, or is the data stored one time at a low resolution, then constructed to the higher tic values from the same data source. In other words, if I record a chart at 10 tics, will it work for 55 tics, 100 tics, and 500 tics?
    daven

    #2
    1) Expected. See Tools->Options->Simulator->Delay settings which have impact on the simulator. You only should test at 1X speed for reproducible trade results.
    2) Correct or e.g. throw instrument on the market analyzer
    3) All intraday timeframes are available as your turn on the replay recorder

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      #3
      Testing Automated Strategies

      Thanks for the quick response. Just to clarify the answer to question (3). As long as the market recorder is turned on, and I have the data coming to a chart or the market analyzer, I am recording the data. It is recording at the lowest resolution you have (what is that by the way for tic charts)? I think that means that if I'm running a chart at 500 tics, and later I want to test it in replay at 50 tics, that will work? Sorry to be so detailed about this but it will make a difference if it doesn't work the way I think.
      Thanks
      daven

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        #4
        >> I think that means that if I'm running a chart at 500 tics, and later I want to test it in replay at 50 tics, that will work?
        Correct

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