I hope this answers at least half of your question. We do not know what the close will be four minutes from now, and for that reason the tentative "close" is calculated as the last transacted tick. One minute in it has traded up to 100.24 and has satisfied the moving average condition the order will be filled the moment the condition is met. IOG calculates the current price as the "close" until the bar itself actually closes. (What logic is used)Īs far as the other question goes. I'm not sure exactly why the difference in results is occurring but it usually has to do with how the strategy is coded. Is this all slippage? It doesn't make sense for it to be this different since the backtesting should factor in High/Low for Stop Losses, right? The 5-minute makes decent profit after commission over a few days while the tick by tick does not.
Now, why is this completely wrong? I compare the back-testing and they are completely different. If IOG is turned off for entry/exit and I am running 5-minute intervals on my strategy, I would expect that back-testing at the 5-minute interval would not be much different than back-testing tick by tick except for slippage in my stop losses. Every entry and exit that I have defined is executed So, I've turned IOG off except for my Stop Losses and Profit Targets. If I have a moving average of the past 5 periods (5-minute intervals) and IOG is turned on, then how is it calculating the moving average? It is definitely not of the past 5 ticks, so is it taking each tick and then going back 5, 10, 15, 25 minutes and taking the average? If I am saying Close is that the previous tick or the Close of the previous 5-minute bar? Something that I don't really understand from the description of IOG on the EasyLanguage page is the following: I don't know if I am going to use IOG in the near future, and I understand that if I turn on IOG, the orders for entry/exit are placed at the next tick if the entry/exit conditions are satisfied. (This is because I am using 5-minute intervals and my positions last anywhere from 5 min to 2 hours with an average of 50 minutes). Previously, I used intrabarordergeneration (IOG) and with a 5-minute backtesting, the results looked great but as mtzimmer1 suggested in the post above, I switched the resolution to 1 tick over a month, and the results were pretty disappointing. I am trying to automate a strategy on TS using its EasyLanguage.
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