Backtesting ideas?

masterm1ne said:
You don't really need to "back test" anything because so many people before you have back tested and written about their results. But if it will give you piece of mind, I guess it's worth it.

I know you're confused by the lines I draw on my charts, so I'll add some words this time. Here is my back tested method that has worked for hundreds of years, on any time frame, any instrument, and will always work. No back testing needed (I apologize to those whose edge I will ruin).

See below:
More...

This is just standard technical analysis and chart patterns though
 
PocketChange said:
Find a Historic data provider and test against NBBO quotes versus Trade prints. (IQFeed or DTN NxCore are both decent). Trade Prints have too many gaps - NBBO changes better reflect market price action . Test at 1 second bars using the low bid and high ask as RegNMS allows orders to be filled at the worst bid or offer over the preceeding second.

If your strategy uses trailing stops or any exchange managed orders using quote data will more accurately identify fills. ie. quoted through your target = fill.

If you are using ISO orders than Level II data may be used to estimate fills.
If your playing rebates than test using the exchange proprietary feed against NBBO.
More...

PocketChange is a guy by the name of Samir Shah who is a 49yo guy living with his parents in South Carolina. As of a few years ago he knew very little about the US Equity markets. Unfortunately for him he jumped the gun and stole 127 bitcoin from me before he was able to fully grasp the US Equity markets. Samir Shah = PocketChange + IQuant. I wouldn't listen to this guy if I were you. As far as I know, he had an outstanding warrant for his arrest in Illinois for more than $40k in back child support owed... oddly the warrant was cleared within a few weeks of my 127 bitcoin being stolen.
 
nxt7 said:
This is just standard technical analysis and chart patterns though
More...
Techical analysis still used among trader, I am ever reading success story from trader which he share system trading which only use technical anlaysis in trading
 
nxt7 said:
I've done the usual backtesting like trying to find historical average returns for each week, month, year and also some candlesticks. Does anyone have anymore ideas for backtesting I can experiment around with?
More...

Before you spend more time backtesting take a look at this book (worth time and money)

The idea in the book is that backtesting creates data-mining bias and you must know ways of dealing with that before you consider something seriously. Also the author claims that the more you backtest the higher the probability of failure. Interesting book...
 
You must log in or register to reply here.
Back
Top