Impact of Backtest Data Granularity on Backtesting

The following test code will exhibit different performance for different data granularities (A. Live trading level backtest, B. Simulation level backtest (smaller underlying K-line period), C. Simulation level backtest (larger underlying K-line period), etc.). Both the number of trades and profit/loss results will vary. When backtesting, the smallest possible data granularity should be maintained. While backtesting may be faster with larger data granularity, the results obtained may lack objectivity.

            javascript
            
            
/*backtest
start: 2025-04-01 08:00:00
end: 2025-04-18 00:00:00
period: 1m
exchanges: [{"eid":"Binance","currency":"BTC_USDT","balance":1000000}]
mode: 1
*/

var delta = 50
var lotSize = 0.001
var lastPrice = null
var direction = null

function main() {
    while (true) {
        var ticker = _C(exchange.GetTicker)
        if (!lastPrice) {
            lastPrice = ticker.Last
        }
        var diff = ticker.Last - lastPrice
        if ((!direction || direction == "long") && diff >= delta) {
            // Price rises above threshold -> Go short
            exchange.Sell(ticker.Last, lotSize)
            Log("Short @", ticker.Last)
            direction = "short"
        } else if ((!direction || direction == "short") && diff <= -delta) {
            // Price falls below threshold -> Go long
            exchange.Buy(ticker.Last, lotSize)
            Log("Long @", ticker.Last)
            direction = "long"
        }
        // Should be as short as possible in Tick mode, no impact in K-line backtest
        Sleep(100)
    }
}