I am new to wealth lab and learning a lot but I have a question regarding back testing and bar injection such as data provider simulator. I am currently building a custom indicator which is quite complicated. The issue I am having is as bars are being updated; the indicator can change its decision making on buy and sell signals. I understand this is a moving target but there are ways around it. What I would like to do is to inject one bar at a time like a debugger stepping through code and look at the events which occur through the system at my pace to help troubleshoot and fine tune the parameters. Is there a way I can do that? I have seen extensions in the forum where I can create a database but can I have WL take in one bar at a time? I know platforms like Ami-Broker provide that functionality.

Also with regards to the back testing, when WL executes previous bars, does it process that data looking forward one bar at a time or does it read all the data then goes back on runs your indicator on pre-existing data? The reason I ask is the former method will give very different results then the latter.

Any help would be appreciated.

A Market Replay addin for Wealth-Lab 6 is in the works (later this year).

Re: when WL executes previous bars, WL reads them in the loop. Check this out:

Introductory | Bars, Loops, and Bar + 1

For those folks who are interested in a bar injection simulator I found a method that could be used in the meantime which serves the same purpose. Sorry I didn't think of it earlier. On the left hand side pane select Date Range. Pick a string point (i.e 9/10/2008) and just change the end date. As you troubleshoot change the end date one bar at a time earlier or later. You can do this for as many bars as you like. It works only for daily but good enough for me. Thought I would share this tid bit of information :)

I was wondering when the real simulator will come out. I know sometime this year but do we know when? Will it be in the next release?

It will not be a part of Wealth-Lab. It's an extension I'm planning to finish sometime later (or late) this year. It's a low priority.

thetraderman said

QUOTE:
Pick a string point (i.e 9/10/2008) and just change the end date.

Are you doing this programatically? If so, how? Doing this by hand is extremely tedious.

I too have attempted to find a way to step through the bars. I never got as far as changing the last data date. I got stuck on trying to restart the Execute() method.

Is there a way to programatically restart Execute from within a strategy?


Eb

Unfortunately I do it by changing the date manually and yes it is tedious. Hopefully we will have something more automated sometime soon but probably not till the end of the year.

It's a helpful feature to have but there are higher priority projects out there. It's in my queue but not on top.

Hopefully your priority list is working out, Eugene. I too look forward to being able to test with a replay; would like to reset the values of just the last 'x' number of a series' values, as the bars progress/increment!

Still in the making. But making progress. Looking forward to release a basic version as a dummy streaming provider first and later on rewrite it as a tool (if it works out).

P.S. Be prepared that its usability will (ahem) suck at first, there will be no pausing of replay - just starting and stopping by the Stream button. Anyway, 'we call it beta because it's beta than nothing'.

Market Replay release delayed. Still requires more work and debugging. No ETA currently.

No sweat. Am sure it'll be good to see in action.
thanks

Beta version of Market Replay is ready to be released. However, the current implementation (as a Streaming provider) makes it impossible to replay a Strategy with historical trades, indicators etc. Given that only charts can be replayed (no buy/sell signals altogether) it makes pretty little sense to release it?

Ah

that's a pity. Why was the beta developed around a streaming provider (one would think its use is with static data)?

If you have an idea how to develop it against a static provider whose job is done after making a single data request, would you please share it here?

Is it not requiring lower level code than general wealth script? ... I'm a 101! The earlier replay concept was a nice idea, though.

And maybe it could still be. I had wondered its ability to show some 'things' visually prior to orders. Hard to discuss without throwing novel concepts out the door!

The idea of adding historical bars to a quasi-Streaming chart is evident, however, the implementation was delayed from an unresolved problem. When we're done with our high-priority project (on which the MS123 team has been working since last year), we'll revisit the MR addin.

Thanks Eugene, it could open a few doors ( hmm ).

Do you have news about this add-on ?

This project has been suspended.