Intraday Backtesting
- Thread starter Pyrosius
- Start date
For intraday data collection, use QCollector, which collects data from quote.com, whatever timeframe you assign, tick, minutes or EOD. Tick and 1 minute normally goes back several months.
Give me a list, I could do the collections for you guys.
Have used TS2000i for backtesting, Easylanguage itself is great, reporting is great, but the earliest entry time is at end of bar, not underlying tick, agree with SIZE, if you're an active trader, and the system is active trading type, the result could be very misleading. No portfolio or group testing, you have to run one on one.
I'm new with this board, just want to share ideas. Thanks.
Give me a list, I could do the collections for you guys.
Have used TS2000i for backtesting, Easylanguage itself is great, reporting is great, but the earliest entry time is at end of bar, not underlying tick, agree with SIZE, if you're an active trader, and the system is active trading type, the result could be very misleading. No portfolio or group testing, you have to run one on one.
I'm new with this board, just want to share ideas. Thanks.
The lack of tradestation's ability to run strategies across a universe or group of stocks is another huge handicap to anyone attempting to use the software in a meaningful way. The likely reason for this is that the software was probably originally designed for futures traders, who have only a handful of products to work with. But that was over a decade ago! Here we are in 2002, having come through the greatest stock bull run ever, a bubble of epic proportions, and most recently, the subsequent crash of that bubble, the "invention" of the internet, the ushering in of the information age, more fundamental regulatory changes to the markets in the past year than we've probably had in the last fifty years,... and we still only have a tradestation that can backtest on one security at a time. What happened to progress?
Tradestation COULD have been a great product. It should have been. The easy language caught on in a big way and was written up in countless books and articles. It was around way before many of the newer systems mentioned here existed or were even concieved. Instead of being to the trading world what Bose is to the audiophile world, with proper innovation and vision behind it, tradestation could have evolved into a truly great product.
Tradestation COULD have been a great product. It should have been. The easy language caught on in a big way and was written up in countless books and articles. It was around way before many of the newer systems mentioned here existed or were even concieved. Instead of being to the trading world what Bose is to the audiophile world, with proper innovation and vision behind it, tradestation could have evolved into a truly great product.
This is an early beta, but you can see where we are going next.
Check out the eSignal group for feedback from users:
http://groups.yahoo.com/group/eSignal/
eSignal 7.1 Beta is now available for testers to take a look at. If
you'd like to assist us test the new features, please go to
http://www.esignal.com/beta to register.
New Features that are available in the first beta build:
BackTesting - eSignal 7.1 offers its own backtesting language
allowing you the ability to develop and test studies against
historical data to see how they perform. BackTesting results can be
presented in a series of Strategy Performance Reports that help take
the guess work out of trading. Using the Strategy Performance
Report, you'll have the unique ability to see the pros and cons of
your strategy, change the way you buy and sell, improve trading
robustness and gain faith in your trading performance.
Tick Charts - Already available in the standard charts, we're
bringing Tick Charts into the new Advanced Charting. In this first
beta, you will only be able to view 1-day of ticks, but it'll give
you a good idea of what we're doing. You can choose to show dots for
each trade, bid, and/or ask as well as choose to connect them with a
line. The chart only moves as each new update comes in giving you a
fixed amount of space for each tick.
Tick Bars - Not only can you look at ticks in the Advanced Charting,
but you can also select a set number of ticks to make up a bar or
candle. To use this feature you simply need to make the interval
something like 7T, 50T, 123T, or any number of ticks you'd like.
Seconds Bars - Now, you're no longer limited to intervals in whole
minutes, and can set an interval in seconds. To use this feature you
simply need to make the interval something like 13S, 45S, 90S, or
any number of seconds you'd like.
Chuck
@eSignal
Check out the eSignal group for feedback from users:
http://groups.yahoo.com/group/eSignal/
eSignal 7.1 Beta is now available for testers to take a look at. If
you'd like to assist us test the new features, please go to
http://www.esignal.com/beta to register.
New Features that are available in the first beta build:
BackTesting - eSignal 7.1 offers its own backtesting language
allowing you the ability to develop and test studies against
historical data to see how they perform. BackTesting results can be
presented in a series of Strategy Performance Reports that help take
the guess work out of trading. Using the Strategy Performance
Report, you'll have the unique ability to see the pros and cons of
your strategy, change the way you buy and sell, improve trading
robustness and gain faith in your trading performance.
Tick Charts - Already available in the standard charts, we're
bringing Tick Charts into the new Advanced Charting. In this first
beta, you will only be able to view 1-day of ticks, but it'll give
you a good idea of what we're doing. You can choose to show dots for
each trade, bid, and/or ask as well as choose to connect them with a
line. The chart only moves as each new update comes in giving you a
fixed amount of space for each tick.
Tick Bars - Not only can you look at ticks in the Advanced Charting,
but you can also select a set number of ticks to make up a bar or
candle. To use this feature you simply need to make the interval
something like 7T, 50T, 123T, or any number of ticks you'd like.
Seconds Bars - Now, you're no longer limited to intervals in whole
minutes, and can set an interval in seconds. To use this feature you
simply need to make the interval something like 13S, 45S, 90S, or
any number of seconds you'd like.
Chuck
@eSignal
Chuck,
I believe eSignal only has 60 days of intraday data available for backtesting, at least for the eminis. Right?
That is just not enough data to backtest.
How will you overcome this lack of data for intraday testing?
I believe eSignal only has 60 days of intraday data available for backtesting, at least for the eminis. Right?
That is just not enough data to backtest.
How will you overcome this lack of data for intraday testing?
Hi Chuck,
Just curious, does ESignal backtesting allow for the following:
1) Backtest strategies that can open and manage multiple positions simultaneously? This means being able to possibly use different strategies in the same script and keep track of that at the position level.
2) Able to use multiple securities in a trading strategy. For example, make a trade on the underlying symbol based on a movement in an index?
3) Backtest pairs trading strategies?
4) Can I backtest a group of stocks or futures and see the effect of portfolio level money management?
Just curious, does ESignal backtesting allow for the following:
1) Backtest strategies that can open and manage multiple positions simultaneously? This means being able to possibly use different strategies in the same script and keep track of that at the position level.
2) Able to use multiple securities in a trading strategy. For example, make a trade on the underlying symbol based on a movement in an index?
3) Backtest pairs trading strategies?
4) Can I backtest a group of stocks or futures and see the effect of portfolio level money management?
trader99:
Do you have any website where I can post the intraday data, if you do, I will first post Nasdaq 100 portfolio stock 1 min intraday back to the begining of this year (I hope), year 2000/2001/2002 ES & NQ 1 min intraday.
By the way, the data is in Metastock format, but perhaps I can convert to CSV format if you guys prefer.
These free web sites are too small, these data is above 100M and will increase quickly.
Do you have any website where I can post the intraday data, if you do, I will first post Nasdaq 100 portfolio stock 1 min intraday back to the begining of this year (I hope), year 2000/2001/2002 ES & NQ 1 min intraday.
By the way, the data is in Metastock format, but perhaps I can convert to CSV format if you guys prefer.
These free web sites are too small, these data is above 100M and will increase quickly.
what kind of legal/copyright protection does (for example) tickdata.com have for their data? i mean.. the data is public knowledge. i am sure they didnt have their own equipment installed at the exchanges recording ticks for the last 20 years; they bought it from someone. so why cant someone buy their data and then sell it at a cheaper price? i am sure there is a good reason, because there arent very many data vendors, and they all charge STEEP prices considering all they do is copy the CD and mail it. and this crap about them 'scrubbing' the data is, well, crap! when you switch from using test data to using live data, you will have to deal with all the bad ticks anyway (in real time no less!).