How to backtest scalp trades?

SunTrader said:
Move to TradeStation which uses LIBB = tick-by-tick LookInsideBarBacktesting

I'm sure there are other, likely more expensive alternatives, but it is the only way to truly know if your backtest is anywhere near reality. I shake my head anytime I read that someone has done backtesting on anything above tick-by-tick and found their strat profitable. Sure it is!!!!!!!
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Aloha dollardogs
I second Tradestation. Super easy language too “easylanguage “ lol.

Tradestation’s community forum is really good! I’ve actually gotten a couple unsolicited telephone calls from one of their forum admins to help answer some long and complex programming questions. I was blown away. Hour long phone calls to help answer my questions. Wow, now that’s service!!
 
Dollardogs said:
I'm looking to grab 10 to 20 pt moves on NQ whereas before I've targeted more like 40 to 50 pt moves. Problem I'm facing is how do you accurately backtest a strategy that can have you out in a minute?

I use Thinkorswim where you can only go back 30 days on 1m candles, so when I backtest scalpy trades on the 5m chart, I know there's a lot of error baked into the results because you can't always tell with 5m candles whether they'd stop you out internally or not. I found this out the hard way after doing a 6 month backtest on 5m candles, then seeing the edge disappear as soon as I got to the 30 days where I could check it against the 1m chart, and you see how much more noise there is within a 5m candle.

Is the only solution patient foretesting then? I generally don't like to even try a strategy with real money unless my backtest goes back 6 months to a year, but I don't feel like waiting that long to get scalpier. What praytell should I do?
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It depends on how you entry. If you entry using limit order, then back testing is quite reliable; full fill if price move 1 tick beyond your limit order. If you entry using stop market, stop limit or market order, only forward testing can give you the reliable result.
 
Dollardogs said:
I'm looking to grab 10 to 20 pt moves on NQ whereas before I've targeted more like 40 to 50 pt moves. Problem I'm facing is how do you accurately backtest a strategy that can have you out in a minute?

I use Thinkorswim where you can only go back 30 days on 1m candles, so when I backtest scalpy trades on the 5m chart, I know there's a lot of error baked into the results because you can't always tell with 5m candles whether they'd stop you out internally or not. I found this out the hard way after doing a 6 month backtest on 5m candles, then seeing the edge disappear as soon as I got to the 30 days where I could check it against the 1m chart, and you see how much more noise there is within a 5m candle.

Is the only solution patient foretesting then? I generally don't like to even try a strategy with real money unless my backtest goes back 6 months to a year, but I don't feel like waiting that long to get scalpier. What praytell should I do?
More...

Many trading software vendors give you some free data as a sort of incentive to start using their platform. For example free version of NinjaTrader lets you download a few months worth of L1 and L2 futures data. As well, free version of MultiCharts lets you download few days of futures and few of the biggest US large cap stocks. I haven't tried free version of TradeStation yet. You can scrape data this way for a month and possibly have enough data for backtesting.
 
HitAndMissLab said:
Many trading software vendors give you some free data as a sort of incentive to start using their platform. For example free version of NinjaTrader lets you download a few months worth of L1 and L2 futures data. As well, free version of MultiCharts lets you download few days of futures and few of the biggest US large cap stocks. I haven't tried free version of TradeStation yet. You can scrape data this way for a month and possibly have enough data for backtesting.
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Thanks H&M, I'll look into some of those. For now, foretesting and about to try my scalp strategies in a week or 2 on 1 micro, see how I do.
 
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