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How to backtest system with past data?

  • Post #1
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  • First Post: Nov 8, 2007 12:53am Nov 8, 2007 12:53am
  •  amylase
  • | Joined May 2007 | Status: Member | 82 Posts
How to backtest system with past data?

Is there any good software I could use? Where and how can I feed historical rate data into my system to see how things work out in terms of P/L?

I know some people simply test their system real time (with fake $), but i think it will take too much time per system to test.

Thank you,
Your sweet enzyme
  • Post #2
  • Quote
  • Nov 14, 2007 9:56pm Nov 14, 2007 9:56pm
  •  mikehabit
  • | Joined May 2007 | Status: Member | 33 Posts
You could write an EA for MT4 or you could use a program like TradeStation, MultiCharts or Ninja Trader. I have only used Trade Station and MT4. Trade Stations easy language is bit easier on the mind than MQL4 for MT4.

If you already have the data it is pretty easy to upload that data into any on these programs.
 
 
  • Post #3
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  • Nov 14, 2007 9:59pm Nov 14, 2007 9:59pm
  •  LazyPip
  • | Joined Jun 2007 | Status: I'm not lazy, the pips are | 105 Posts
I use a program called Forex Tester, that has historical data and also lets you make trades, tracking equity/balance in a chart. You can speed up the time so many days run in a few minutes. Very good to backtest.
 
 
  • Post #4
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  • Nov 14, 2007 10:06pm Nov 14, 2007 10:06pm
  •  Bemac
  • Joined Jan 2006 | Status: Monarch o' the Glen | 5,561 Posts
The simple answer is...
Run your test on Data that stops short of Current Data {latest tick}
Work it for all you got and Then.
Run it again on the Data from Last Date in Sample Data to Current Data and then compare the results.
 
 
  • Post #5
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  • Nov 15, 2007 3:49am Nov 15, 2007 3:49am
  •  Pkffw
  • | Joined Sep 2007 | Status: Member | 23 Posts
Quoting LazyPip
Disliked
I use a program called Forex Tester, that has historical data and also lets you make trades, tracking equity/balance in a chart. You can speed up the time so many days run in a few minutes. Very good to backtest.
Ignored
I have this program too.

It can be automated and programmed but I don't know the first thing about that or how good it is.

What I like about it is that you can manually go over the data bar by bar as if it were real time but quicker. This gives you great practice at recognising your preferred setups and therefore a much better indication(in my opinion) of how the system may work in real time. It is also good for testing systems that can't easily be automated or programmed such as price action based systems using S&R etc.

I recommend it.

Cheers,
Pkffw
 
 
  • Post #6
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  • Nov 15, 2007 12:21pm Nov 15, 2007 12:21pm
  •  aasa0076
  • | Joined Sep 2006 | Status: Member | 19 Posts
Quoting LazyPip
Disliked
I use a program called Forex Tester, that has historical data and also lets you make trades, tracking equity/balance in a chart. You can speed up the time so many days run in a few minutes. Very good to backtest.
Ignored


hi

Could you please send me a link of that program ... really appreciate that


aasa0076
 
 
  • Post #7
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  • Nov 15, 2007 12:25pm Nov 15, 2007 12:25pm
  •  peterM
  • | Joined Sep 2006 | Status: Member | 995 Posts
an EA for MT4 might be the easiest way to go. If you can't code EA's you may need to find someone to do it for you.
 
 
  • Post #8
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  • Nov 16, 2007 5:09am Nov 16, 2007 5:09am
  •  Pkffw
  • | Joined Sep 2007 | Status: Member | 23 Posts
Quoting aasa0076
Disliked

hi

Could you please send me a link of that program ... really appreciate that


aasa0076
Ignored
Not sure about the rules for posting links in the forum so......

if you type forex tester into google the link at the top of the results page is the one you want.

Cheers,
PKFFW
 
 
  • Post #9
  • Quote
  • Last Post: Edited 9:17am Nov 16, 2007 8:49am | Edited 9:17am
  •  mrgreen
  • Joined May 2005 | Status: Member | 1,494 Posts
Here are 2 pdf's on using MT4 for back testing. It is said that MT4 is not the best for back testing, but I think it is OK for getting a ballpark of what you may expect. Forward testing is the best way to determine the potential of a strategy before committing money. The Alpari doc is pretty good as it outlines how to attain a 90% modeling quality.
Attached File(s)
File Type: pdf Modeling_Quality_Alpari.pdf   331 KB | 571 downloads
File Type: pdf Strategy Testing in MetaTrader 4.pdf   452 KB | 1,191 downloads
In trading, there is no bullshit. You either make money or you don't.
 
 
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