Intrabar Scanner

The scanner serves to improve the accuracy of the historical test of strategies when ambiguous bars occur.

Press the Load & Scan button to load all available intrabar data for the respective financial instrument. Scanning is carried out automatically. The files containing the historical data need to be in the same folder on your disk. You can change this folder using the Market - Data directory menu.

After the data has been loaded, this button is renamed to Reload & Scan. In case you have updated the data, you can use the button again to reload it.

Information about the loaded data is displayed in the table:

• Period - period. The lowest information line shows the time the strategy has taken to build.

• Bars - shows how many bars of the respective data have been loaded;
• From - shows the number of the time period bar from which the respective intrabar data begins;
• Until - shows the number of the time period bar up to which the respective intrabar data can be used. After that bar, data fron a shorter period is available;
• Cover - shows how many bars from the main period are covered by this intrabar data;
• % - shows what percentage of the bars is taken up by this data;
• Label - shows the colour in which the data is presented.

Let us take a strategy which opens a long position at the beginning of the bar and has two close prices, at a profit and at a loss. The period is one day.

With this strategy, it is possible for the two exit prices to be within the same bar. We call such a bar ambiguous. It is not clear which of the two exit prices is reached first.

Here is an example of an ambiguous bar:

The open price of the position is marked Entry, the close-at-a-profit price is marked Exit 1, and the close-at-a-loss price is marked Exit 2. The day chart cannot determine at which price the position will close.

The solution here is scanning the bar using intrabar data. Using a four-hour chart, we can see that after opening the bar, the price starts moving downwards and reaches the minimum price of the day. Then the price rises to the higheast price of the day and goes down to the close price of the bar. This data makes it clear that the position closes at price Exit 2 (at a loss), and the exit order of price Exit 2 must be cancelled.

If four-hour data is not enough to determine what the correct sequence of order execution is, Forex Strategy Builder will also use shorter period data.

Scanning significantly reduces the number of ambiguous bars if there is enough intrabar data available.