Announcement

Collapse
No announcement yet.

How to Have Same Calculation Results in MultiCharts vs. TradeStation

Collapse
X
 
  • Filter
  • Time
  • Show
Clear All
new posts

  • How to Have Same Calculation Results in MultiCharts vs. TradeStation

    Though these 2 software are similar in many aspects, and the scripting languages (EasyLanguage vs. PowerLanguage) are 99% compatible, strategy/study calculation results may in fact differ.
    To have the same results, make sure the following requirements are met: Chart Configuration

    Make sure the data on the charts is the same both in MC and in TS:
    1. The same data source (TradeStation) should be used to feed charts in MC and in TS software. Comparing strategy/study calculation results on charts with data from different data providers is irrelevant.
    2. The same symbol should be plotted on charts in MC and TS software. It means the symbol should have exactly the same name and exchange.
    3. The same chart type should be selected for both charts in MC and in TS. It's impractical to compare results based on different chart types even within 1 software.
    4. The same Chart Resolution should be set for both charts. It is irrelevant to compare results based on different chart resolutions even within 1 software.
    5. Since TradeStation software does not allow using asks and bids as a data series on a chart, only trades should be selected in MultiCharts in Quote Field.
    6. The same Sessions should be applied for the symbols in both softwares. It is important to understand that having “default” in the session field for a chart in MC does not mean the same sessions are set for a chart in TS. Please read this article to learn more.
    7. If the strategy/study references volume data for its calculation, the same option should be selected in the Build Volume On field in the chart settings for both TS and MC.
    8. The same time interval should be specified in the Data Range setting for charts in TS and MC.
    9. If the strategy/study references date and time for its calculation, the same option should be selected in the Time Zone field in the chart settings both TS and MC.
    10. Even if the data range and session settings are the same, the actual number of bars on the chart in a MC vs. a chart in TS may still differ (for example due to Holiday List). This difference may lead to different strategy/study calculation results. It is necessary to make the actual number of bars on the charts either the same or as close to each other as possible.
      Note: In MultiCharts you can see last bar number in Hint or Data Window if you put your cursor on the last bar on the chart. In TradeStation this is not available right away, but there is an easy way to find it:
      Make a right-click on chart in TS -> Insert Analysis Technique… -> Indicators tab -> Select Custom 1 Line indicator -> Ok -> Insert the following as the Formula input currentbar+maxbarsback -> Ok. You will see the indicator on the subchart showing the actual number of bars.
    11. The price formats on the chart should be the same. This means that the number of digits in the integer part of the price scale and number of digits in the decimal part of the Price Scale should be the same in a MC chart and a TS chart.
    Strategy Configuration

    Make sure the applied study/strategy and its settings are the same:
    1. Since EasyLanguage(TS) and PowerLanguage(MC) are almost the same but not 100%, the script may require some syntax adjustment, but the logic of the script should be the same in both software.
    2. Make sure strategy/study inputs are the same for both scripts in MC and in TS.
    3. IntraBar Order Generation and Bar Magnifier features for signals (strategies) in MultiCharts work slightly different from their counterparts in TradeStation. One should not expect identical results if any of these 2 features are used.
    4. Limit Order Fill Assumptions should also be configured identically for the charts in both platforms. TradeStation has additional options for this feature that are not supported in MultiCharts.
    5. The feature Market Order Fill Assumption (Backtesting tab of Strategy Properties) is not implemented in MultiCharts. It should be disabled in TradeStation.
    6. Commissions, Slippage (that does not affect limit and stop limit orders in MC), Initial Capital, Interest Rate, Position Limits (pyramiding), Maximum Shares/Contracts/Units per Position, Trade Size and especially Maximum Number of Bars Study Will Reference (MaxBarsBack) should be configured identically in MultiCharts and TradeStation.
    7. As for automated execution in real-time with your broker account, there are multiple settings in MultiCharts that could make difference in comparison to TradeStation.

  • #2
    Great post. For those of you that understand the programming language and syntax these suggestions are a great step in migrating your indicators over to the MultiCharts.NET platform. We definetly want to make it easier and easier for those educators and programmers to move the proprietary tools over to ever better and better technology that is here at AMP. thanks again

    Comment

    Disclaimer: There is a risk of loss in trading futures, forex and options. Futures, forex and options trading are not appropriate for all investors. Only risk capital should be used when trading futures. All information is for educational use only and is not investment advice. Past performance is not indicative of future results.

    This website is hosted and operated by AMP Global Clearing, LLC ("AMP"), which provides brokerage services to traders of futures and foreign exchange products. This website is intended for customer support, educational and informational purposes only and should NOT be viewed as a solicitation or recommendation of any product, service or trading strategy. No offer or solicitation to buy or sell derivative or futures products of any kind, or any type of trading or investment advice, recommendation or strategy, is made, given, or in any manner endorsed by AMP and the information made available on this Web site is NOT an offer or solicitation of any kind. The content and opinions expressed on this website are those of the authors and do not necessarily reflect the official policy or position of AMP.

    All Users and Contributors along with their websites, products and services, are independent persons or companies that are in no manner affiliated with AMP. AMP is not responsible for, do not approve, recommend or endorse any User and/or Contributor Content referenced on this website and it’s your sole responsibility to evaluate All Content. Please be aware that any performance information provided by a user and/or contributor should be considered hypothetical.

    HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM.

    ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS.

    AMP has NOT endorsed or recommended the use any product, services offered by any 3rd party User or Contributor on this forum. No person employed by, or associated with, AMP is authorized to provide any information about any 3rd party User or Contributor content. All specific brokerage related questions should be directed towards AMP.

    Copyright © 2017. All rights reserved.

    Working...
    X