adaptive system for e-minis

P

prophet

I’m working on a fully automatic, adaptive system for trading NQ. However, I need to obtain more historical data to be sure it works in enough markets.

Here is the backtested performance on the 5 days of data I have, using NQM3:

Code: 
Date    positions   total   points per   standard 
		    points  position	 deviation

3/13	   15	    34	    2.3		 6.9
3/14	   33	    15	    0.45	 3.5
3/17	   40	    29	    0.73	 5.49
3/19	   30	    5	    0.17	 3.11
3/20	   18	    15	    0.83	 3.01

The system operates on tick data and is fully symmetrical (no long/short preferences). Buy/Sell signals are generated at the extrema (slope = zero) of several competing simple moving averages (SMA), using a volatility-based deglitching algorithm to eliminate consecutive signals in a close range.

The SMA period is automatically determined as the day progresses, with the goal of choosing an SMA that works best with the day’s price dynamics, matching the market's oscillation periods and avoiding false signals due to choppy price action. The system chooses from a large range of SMA periods, indicating to me it is not biased by a-priori choices.

This is the type of data I need. It must be tick-by–tick, and preferably in a single file per day.

Time,Last,Bid,Ask,Volume
...
09:32:59, 1027.000000, 1026.500000, 1027.000000, 8613
09:32:59, 1026.500000, 1026.500000, 1027.000000, 8614
09:33:00, 1026.500000, 1026.500000, 1027.000000, 8622
09:33:01, 1027.000000, 1026.500000, 1027.000000, 8623
…

Where might I find this data?
 
Esignal has data in the following format for quite a number of days in the past, I think 60.

Bar Date Time Open High Low Close
1 03/19/03 09:25 86675 86675 86600 86625
2 03/19/03 09:26 86625 86625 86600 86625
3 03/19/03 09:27 86625 86650 86600 86600
4 03/19/03 09:28 86625 86650 86600 86600
5 03/19/03 09:29 86625 86650 86600 86650
6 03/19/03 09:30 86650 86675 86500 86525
 
Quote from dloomis514:

Esignal has data in the following format for quite a number of days in the past, I think 60.

Bar Date Time Open High Low Close
1 03/19/03 09:25 86675 86675 86600 86625
2 03/19/03 09:26 86625 86625 86600 86625
3 03/19/03 09:27 86625 86650 86600 86600
4 03/19/03 09:28 86625 86650 86600 86600
5 03/19/03 09:29 86625 86650 86600 86650
6 03/19/03 09:30 86650 86675 86500 86525
More...

Thanks, but my system needs bid, ask, last trade and volume, both to simulate entry/exit properly and to calculate volatility and money flow on the shortest time scale.
 
Quote from opm8:

Have you looked at IB's (Interactive Brokers) data?

--opm8
More...

Yes, I am using IB's data, collecting it in real time. I just need a historical source.
 
prophet,

You can download tick by tick data from the CME for free. It doesn't have the current bid and ask at the time of the trade however.

Brutus
 
Quote from prophet:

I’m working on a fully automatic, adaptive system for trading NQ. However, I need to obtain more historical data to be sure it works in enough markets.

Here is the backtested performance on the 5 days of data I have, using NQM3:

Code: 
Date    positions   total   points per   standard 
		    points  position	 deviation

3/13	   15	    34	    2.3		 6.9
3/14	   33	    15	    0.45	 3.5
3/17	   40	    29	    0.73	 5.49
3/19	   30	    5	    0.17	 3.11
3/20	   18	    15	    0.83	 3.01

The system operates on tick data and is fully symmetrical (no long/short preferences). Buy/Sell signals are generated at the extrema (slope = zero) of several competing simple moving averages (SMA), using a volatility-based deglitching algorithm to eliminate consecutive signals in a close range.

The SMA period is automatically determined as the day progresses, with the goal of choosing an SMA that works best with the day’s price dynamics, matching the market's oscillation periods and avoiding false signals due to choppy price action. The system chooses from a large range of SMA periods, indicating to me it is not biased by a-priori choices.

This is the type of data I need. It must be tick-by–tick, and preferably in a single file per day.

Time,Last,Bid,Ask,Volume
...
09:32:59, 1027.000000, 1026.500000, 1027.000000, 8613
09:32:59, 1026.500000, 1026.500000, 1027.000000, 8614
09:33:00, 1026.500000, 1026.500000, 1027.000000, 8622
09:33:01, 1027.000000, 1026.500000, 1027.000000, 8623
…

Where might I find this data?
More...


If these are backtested results, how are you entering? Remember there is a 0.50 point spread in the bid/ask! So where your system may get in at the current price, in reality it will likely be a 1/2 pt worse. Your points per trade are insufficient to counter this 1/2 pt slippage.

Keep trying!
 
Quote from Platypus:

this site has historical tick data, but its in tradestation format

http://www.medianline.com/data.html
More...


I'm assuming that this is tick by tick data. If this is the case would any Tradestation user be so kind as to convert this data to ASCII format for the rest of us. I have looked for a program to do this but could not find anything. You could then post the data to traders2traders.com and be a real humanitarian.

Thanks!

opmtrader
 
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