Backtesting?

Hi Everyone!

As I'm sure several people here are, I'm a bit new to the whole forex game. So, I would like to ask you what your preferred methods of backtesting are and how to go about collecting the data to do it. I'm using VTTrader for much of my charting. I would like to backtest some of my strategies, but other than printing a chart for each day and then manually looking at each of those charts to study the entries/exits, I'm at a loss as what to do to simplify the process. It seems like there should be a way to store the data in a computer program and be able to scroll through the data on a day by day basis at whatever timeframe you wish. If there is such a program, can anybody point me to it, or any other relatively simple methods of doing this?

Thanks for the help.

Girlflyer!

GirlFlyer,

There are various ways of backtesting depending on your level of sophistication and resources. In any case, backtesting is boring and sucks the fun out of trading but is absolutely necessary.

1. The best and most sophisticated means of backtesting is to use a programmable platform and have your strategy coded so that it will generate signals automatically. Some platforms (I use TradeStation) can test your system and generate results in seconds. It also offers you the capability of letting the computer "pick" paramaters like the stoploss, profit tartet...

2. The next best method is to have your charts identify conditions where a trade should be entered/exit. Using this, you have to manually track performance but it does remove some bias regarding your reactions to certain market conditions.

3. The least complicated and most time consuming method is to scroll back in time and start advancing candle by candle until you see a signal, record it and start advancing again until you see and exit. Do the math and repeat a couple hundred times.

Best regards,
Phil

I personally opted for option 3 per Phils post. Not that it's the least complicated, but it "should" be the most accurate. Expect to spend hundreds of hours. It pays off.

yeah but make sure you are actually advancing candle by candle (e.g. F12 in metatrader) and not just scrolling.

Thanks for the suggestions everybody...


I'm still curious though. Do your programs store the data for each pair in your computer for examination later on any timeframe basis? For example, yes I can go back and look at the daily charts for 2 or 3 years back. But if I want to look at the 30min chart for say January of 2006 or something like that, I can't pull it up because the VTTrader won't scroll back that far on its charts. This is the problem I'm running up against; being able to look at historical data on certain time frames when it goes back too far.
I don't want to have to print out charts and store them or export data on daily basis to solve this problem... seems silly when I know the data is already out there somewhere.

Anybody have solutions?

Girlflyer

you can export historical data (candles - OHLC) from metatrader (from for example Fibo Group) then you can put it in excel and plot graphs or write formulas in spreadsheet. I do not know exactly - MT has a 30 min data back to January 2005 (?). second source is alpari. (alpari.com ???)

metatrader charts go back to 15th may 2005 on the cable 30 mins.
what happens is that it pulls down the data from the servers as you scroll back.

couldnt get further than that date on the 30 mins tho.

lol i better get a thank you for the ages of scrolling

you could probably go back further but i cant figure out how since i only use meta to watch my daily actions, i dont actually trade on it.

you might want to download the data from somewhere in excel and load it up, but youd have to ask someone else about that.

i think you can program the expert advisor to back test systems well over 5 years back. but youd have to ask someone else about that too cos i dont have a clue
hope that helps

Hi guys,

Can I get somewhere just the historical data tick by tick? I don't care about any backtesting platform since I'm a programmer myself and want to write some stuff by my own. I just need the data; Any format will do (ie xml or whatever).

Please let me know if you have seen any place I could get hold of it.

Thanks.

Just to add one thing - I would be happy to have the data not from a broker (some propertiary data feed? Is it possible to get it somewhere or buy?)