Tickblaze - An Advanced Platform for Quants and Active Traders
- Thread starter Tickblaze
- Start date
Hello,
your platform looks really sophisticated and works quite well from my limited testing. One thing I'm interested is how your platform can avoid survivorship bias. Your website says you have many delisted stocks, but what does many mean. Can one backtest on lets say all stocks that have been in the nasdaq 100? And how does this exactly work in the code, is there a function to evaluate if a stock is in an index currently or does that have to be build by the user?
Kind regards
your platform looks really sophisticated and works quite well from my limited testing. One thing I'm interested is how your platform can avoid survivorship bias. Your website says you have many delisted stocks, but what does many mean. Can one backtest on lets say all stocks that have been in the nasdaq 100? And how does this exactly work in the code, is there a function to evaluate if a stock is in an index currently or does that have to be build by the user?
Kind regards
This would be easy to accomplish. Your stock universe would be all stocks in QQQ over the date range you are testing. Next, load a ticker/QQQ date range mapping (custom script code) and only take signals where the signal date is in the date range.
@fan27 answer is correct. When adding symbols to your trading strategy simply select all of the symbols that were ever part of the QQQ. Then from inside your strategy have some logic that ignores symbols that are not in the QQQ during the current backtested time (DateTimeCurrent API function will return the current portfolio time). This will allow you to only include symbols while they are actively in the QQQ and ignore symbols when they're not officially in the QQQ. Of course this meta data of date ranges and symbols is something you'll have to put together.
Ok, and here's compressed 1min BTCUSDT (perpetual) dataset right from Binance as they provide it, if anyone wants to try and import to Tickblaze:
https://1drv.ms/u/s!AiTD7m52MwrG8T2DKlTo7qR3sDsL?e=3WzQgC
https://1drv.ms/u/s!AiTD7m52MwrG8T2DKlTo7qR3sDsL?e=3WzQgC
I took the liberty of testing it myself 
, namely:
- downloaded the whole current history of 1min BTCUSDTPERP from Binance API
- converted the data to a Tickblaze compatible format
- created new custom Binance Futures Exchange with the right settings (watch out for Tick Values, it differs even Spot vs PERPs)
- imported the minute text/csv data
Happy to report that all went well and the data matches perfectly with Binance (did a thorough exploration).
Since it is futures, just watch out for the naming convention of your files, I've set the expiry to 1.1.2100 so the text/csv file will have to be named accordingly, ie. BTCUSDT_01_2100.csv.
I've tested a simple Buy & Hold strategy and the results look pretty accurate to me:
I've also noticed that Tickblaze supports both BUSD and USDT as a Base Currency already, nice! Maybe just also add USDC, these three are the most used.
, namely:- downloaded the whole current history of 1min BTCUSDTPERP from Binance API
- converted the data to a Tickblaze compatible format
- created new custom Binance Futures Exchange with the right settings (watch out for Tick Values, it differs even Spot vs PERPs)
- imported the minute text/csv data
Happy to report that all went well and the data matches perfectly with Binance (did a thorough exploration).
Since it is futures, just watch out for the naming convention of your files, I've set the expiry to 1.1.2100 so the text/csv file will have to be named accordingly, ie. BTCUSDT_01_2100.csv.
I've tested a simple Buy & Hold strategy and the results look pretty accurate to me:
I've also noticed that Tickblaze supports both BUSD and USDT as a Base Currency already, nice! Maybe just also add USDC, these three are the most used.
You could create code that loads any file you want, store it in memory and access those column values. Meaning implement your own logic to do so. That being said the underlying data series being backtested can't be loaded with additional columns.