I am trying a few things right now. When I aggregate weekly, I get trades in the future.
I'm wondering if this is just a misrepresentation or if there is an error in the calculation.
Rename
The current weekly bar ends on Friday 19th. So what few things are you trying?
I dont understand why im seeing a trade on 5/17 with entry date of 5/19
You're doing something on Weekly. The current weekly bar ends on Friday 19th. Again, what few things are you trying?
To my understanding:
If it says Entry on 5/19 and I chose a weekly period. Does WL mean entry on 5/15 because the week ends on 5/19?
My current goal of development:
To have less work, I try to develop systems that work weekly or monthly.
I know from my past the problem with "looking into the future". That means, if I test a backtest with weekly period historically and take the current week, in the history the weekend price is already known, in real of course not. That would be the famous glass ball.
This effect leads to test results that can never be achieved in real terms. One solves the problem by not using the current period, but the period before.
I thought we had such a problem here. But if it is only a confusing representation and the calculations are correct, everything is alright.
If it says Entry on 5/19 and I chose a weekly period. Does WL mean entry on 5/15 because the week ends on 5/19?
My current goal of development:
To have less work, I try to develop systems that work weekly or monthly.
I know from my past the problem with "looking into the future". That means, if I test a backtest with weekly period historically and take the current week, in the history the weekend price is already known, in real of course not. That would be the famous glass ball.
This effect leads to test results that can never be achieved in real terms. One solves the problem by not using the current period, but the period before.
I thought we had such a problem here. But if it is only a confusing representation and the calculations are correct, everything is alright.
QUOTE:
If it says Entry on 5/19 and I chose a weekly period. Does WL mean entry on 5/15 because the week ends on 5/19?
It depends on the entry order type. Exits on 05/19 are done at the close of the bar. What are the system's Blocks?
The type of entries and exits are not the problem from my point of view. They can be exchanged, the problem remains
In my test strategy:
The entries are normal limits
Exits after 5 periods
all very simple.
If exits on 19.5. at the closing price of the week, there is an error here, as can be seen in the screenshot.
In my test strategy:
The entries are normal limits
Exits after 5 periods
all very simple.
If exits on 19.5. at the closing price of the week, there is an error here, as can be seen in the screenshot.
QUOTE:
If exits on 19.5. at the closing price of the week, there is an error here, as can be seen in the screenshot.
An entry is made last week (marked 05/12), then the position is sold after 1 weekly bar (next week ends on 05/19). Where's error?
WL dates compressed weekly bars on the last day of the week for consistency and to help with synchronization. That’s why you’re seeing the 5/19 on the compressed weekly bar.
Ideally you’d only run a weekly system (for purposes of signal generation) on the last day of the week, not in the middle of the week.
For backtesting purposes it’s fine to do it during the middle of the week, just don’t let the post dated bar bother you and don’t treat the signals as valid because the week has not completed yet.
Ideally you’d only run a weekly system (for purposes of signal generation) on the last day of the week, not in the middle of the week.
For backtesting purposes it’s fine to do it during the middle of the week, just don’t let the post dated bar bother you and don’t treat the signals as valid because the week has not completed yet.
The mistake, from my point of view, is that the sale took place on 5/19 and today we have 5/18.
Furthermore, there are positions in the market from 19.5. that were bought before 19.5. So I have bought shares tomorrow.
If you are sure that the calculations are correct, the solution could be in the definition of a week. Some systems e.g. Tradingview take the first day of the week. WL obviously takes the last day. Both mean the same thing. Then the 19.05. is to be seen with WL thus rather as designation for a period, than an exact date. This is a bit confusing.
Furthermore, there are positions in the market from 19.5. that were bought before 19.5. So I have bought shares tomorrow.
If you are sure that the calculations are correct, the solution could be in the definition of a week. Some systems e.g. Tradingview take the first day of the week. WL obviously takes the last day. Both mean the same thing. Then the 19.05. is to be seen with WL thus rather as designation for a period, than an exact date. This is a bit confusing.
Thank you, now I understand. I will observe this in the live test.
Your Response
Post
Edit Post
Login is required