I have read several sites but it seems a rather confusing process , it seems most are using excell for this , they transfer the whole market data to the spreadsheet (no idea how to do this and is it all the data from past?) then they write their trading rules.... no idea how to write a strategy and then transfer to the spreadsheet , generally i dont understand anything , im not too bad at coding but i dont seem to get it.
Backtesting is sooo confusing , anyone got a good guide to learn how to do one?
- Thread starter Wach80
- Start date
How to do it depends on your strategy...on how complicated it is...whether you will need intraday data or EOD data...whether you will need to write macros, code, or neither...etc. But the below google link may help.
Of course, you also have to be "good" at plain excel...or willing and able to become "good."
https://www.google.com/search?num=1....1c.1.64.serp..19.4.2117...0j0i20.gpxMaqx4T3k
Of course, you also have to be "good" at plain excel...or willing and able to become "good."
https://www.google.com/search?num=1....1c.1.64.serp..19.4.2117...0j0i20.gpxMaqx4T3k
most do not use excel for this. Since you can code then program it.
- get data timeseries
- iterate over it
- on each iteration execute your logic
- calculate position/pnl/risk ...
Why so complicated..? I print charts out week after week, and review my trades and go over patterns with a pen and ruler.
For me, the backtesting is connected to the machine learning algo for optimization/validation, etc. purposes.
1- look for those setups which priced moved significantly
2- look for what all of step 1 setups have in common
3- concentrate on minimizing draw downs
2- look for what all of step 1 setups have in common
3- concentrate on minimizing draw downs
always consider that backtesting & live trading have very different results .
you may have a great profit on a backtested strategy and when it comes to reality that strategy yields a negative expectancy .don't underestimate losses .after 3 or 4 loss in a row, your mental mechanism doesn't let u enter another setup .
you may have a great profit on a backtested strategy and when it comes to reality that strategy yields a negative expectancy .don't underestimate losses .after 3 or 4 loss in a row, your mental mechanism doesn't let u enter another setup .
i think i found something , i dont know the algorrithms though , anyway in order to start i need historical prices for forex , yahoo finance doesnt seem to have them , it got only for stocks ,anyone know a site for forex?
From what i see , next to the close price data you type the algorithm to express whatever condition you want then it calculates that for all trades , for ex , what should i write next to the close price to say *buy over x trendline* , i dont know how to translate that into algorithm.
From what i see , next to the close price data you type the algorithm to express whatever condition you want then it calculates that for all trades , for ex , what should i write next to the close price to say *buy over x trendline* , i dont know how to translate that into algorithm.
Last edited: