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Backtesting and Interactive Brokers... your solutions?
- Thread starter cfree5119
- Start date
www.linnsoft.com investor r/t
Quote from cfree5119:
What do you all use to backtest when your broker is Interactive Brokers? Looking for some solid solutions to test strategies. Thank you.
Tick data (historical) is also important; your strategies will be tested on data, and where data is concerned "garbage-in-garbage-out" applies in backtesting.
Make sure you have clean historical tick data (i.e. bad ticks removed). And if you're testing over bars or candles, build these yourself from your tick data to be sure you can trust the High and the Low.
Here's a paper from Tick Data (no relation!) on data filtering: http://tickmaster.webs.com/apps/documents/
There are those who feel that since we don't trade against clean data, one shouldn't test against clean data. Filtering for bad data should be done locally so as to recognize and filter only that data that will affect a specific system. IB's data stream is a sampled (time-slice) stream and presents its own challenges.Quote from TheTickMaster:Make sure you have clean historical tick data (i.e. bad ticks removed). /[/url]
Jack