1m (open prices) vs 30m (open prices)? What is best for backtesting and optimising?

Spotware
14 Oct 2014, 10:39

I have been doing some backtesting and optimising of my cBots and am getting different results by using the 1m opening prices and the 30m opening prices. Could you please explain the difference?

In m1 open prices data mode every tick is open price from m1 bars. In m30 open prices data mode every tick is open price from m30 bars. 

Shouldn't they provide the same result for my m30 strategy?

If you use only OnBar handler results must be the same. If you use Positions.Opened, Positions.Close events, OnTick handler, OnTimer handler, etc. results could be completely different.

• What is best to use for testing and optimising m30 strategies?
• What is best to use for testing and optimising daily strategies?

The best data mode is tick data mode.

Obviously the higher the better, is it a bigger number if I am backtesting over a longer period? I.e. would the fitness be higher if i test 1 years worth of data or 1 months worth of data?

Fitness value is used inside the Optimization process. You don't need to interpret its value anyhow. By the way, fitness values are comparable only withing the same data range, you should not compare fitness values from different data ranges.

stevefromnaki
15 Oct 2014, 05:44

Thanks for your quick response.

I only use onBar methods and that's why I was getting confused with the different results between 30m and 1m open prices for backtesting. So I exported to excel the 30min and 1 min on bar OHLC and converted the 1m to 30m data and noticed there are differences. That's why I asked my original questions above. I would love to backtest using tick data but it only goes back about 6 months due to the high volume of data included in tick data.

My best option (which i am doing anyway) is to forward test on a demo and see how the actual results compare to backtesting over the same time period under the 1m and 30m data sets.

Is there much of a difference between demo and live prices?

Thanks again,

steve.