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Custom backtesting code

  • #1
  • First Post: Dec 14, 2005 11:15am Dec 14, 2005 11:15am
Hi all, newbie here. Looking at rolling my own code (C/C++/Python/MySQL etc.) to backtest a few strategies over 1 min tick data. Just curious as to how many of you have gone this route or do most people rely on the backtesting capabilities of 3rd party software (such as MT4)?

TIA
Marc
  • #2
  • Dec 16, 2005 11:08am Dec 16, 2005 11:08am
Hi: I am an old Pytonistia. I've done some C stuff, but not in Forex. I am just starting to hack the API for VT Trader in Python. I havn't had this much fun since the pigs ate my little brother. Any tips and colabroration would be cool!
Nolite dormiens pungere ursum. -- Latan Proverb.
  • #3
  • Dec 18, 2005 6:56pm Dec 18, 2005 6:56pm
Quoting therf
Hi all, newbie here. Looking at rolling my own code (C/C++/Python/MySQL etc.) to backtest a few strategies over 1 min tick data. Just curious as to how many of you have gone this route or do most people rely on the backtesting capabilities of 3rd party software (such as MT4)?

TIA
Marc
If you look on some of the other forums you will see that MT4 backtesting is seen as unreliable. If you own MT4 you will notice that once every couple of weeks you get a new version. Maybe one day one of those versions would be considered reliable.

If you are interested in using indicators in your code check out ta-lib.org, it is an open source TA library. I've used it in Excel and Perl. Yes you can do backtesting in Excel, you may find it easier to get something going quickly. Although somethings really need code.

Regards,

Sliver
In trading you are only as smart as your dumbest mistake. - Ralph Vince
  • #4
  • Dec 19, 2005 4:21pm Dec 19, 2005 4:21pm
Quoting SliverB
If you look on some of the other forums you will see that MT4 backtesting is seen as unreliable. If you own MT4 you will notice that once every couple of weeks you get a new version. Maybe one day one of those versions would be considered reliable.

If you are interested in using indicators in your code check out ta-lib.org, it is an open source TA library. I've used it in Excel and Perl. Yes you can do backtesting in Excel, you may find it easier to get something going quickly. Although somethings really need code.

Regards,

Sliver
Ok, I know this is probably the wrong thread to post this. But as a followup to my above queries I started a thread about data from disktrading.com. Looks as though it was deleted. Any ideas why? I am in no way related to that site or promoting it, just have the data from a previous project and was curious as to any issues/experiences by others with this data. Apologies in advance if this violates forum rules, but I did read them and didn't feel my post was inappropriate.
  • #5
  • Dec 19, 2005 4:41pm Dec 19, 2005 4:41pm
Quoting SliverB
If you look on some of the other forums you will see that MT4 backtesting is seen as unreliable. If you own MT4 you will notice that once every couple of weeks you get a new version. Maybe one day one of those versions would be considered reliable.

If you are interested in using indicators in your code check out ta-lib.org, it is an open source TA library. I've used it in Excel and Perl. Yes you can do backtesting in Excel, you may find it easier to get something going quickly. Although somethings really need code.

Regards,

Sliver
If I may ask, how can we backtest in excel tick by tick?? For example, let's say that I have a trading system which uses the 1 hour chart for setups, entries and exits, it must be backtested on tick by tick data rather than 1 hour data...The question is, how to get tick by tick data in excel format for long time frames, e.g. 2 years of tick by tick (Accurate Data of course) ???


Thanks,

Nader
  • #6
  • Dec 19, 2005 6:37pm Dec 19, 2005 6:37pm
Quoting narafa
If I may ask, how can we backtest in excel tick by tick?? For example, let's say that I have a trading system which uses the 1 hour chart for setups, entries and exits, it must be backtested on tick by tick data rather than 1 hour data...The question is, how to get tick by tick data in excel format for long time frames, e.g. 2 years of tick by tick (Accurate Data of course) ???
I have seen excel eod backtests in the equity world, never a tick by tick backtest. I would assume tick by tick would be overwhelming (especially 2 yrs) in a spreadsheet. I was thinking I would output to csv from perl/python/c/c++/... and use excel for results analysis.
  • #7
  • Dec 19, 2005 6:52pm Dec 19, 2005 6:52pm
Hi,
Quoting narafa
If I may ask, how can we backtest in excel tick by tick?? For example, let's say that I have a trading system which uses the 1 hour chart for setups, entries and exits, it must be backtested on tick by tick data rather than 1 hour data...The question is, how to get tick by tick data in excel format for long time frames, e.g. 2 years of tick by tick (Accurate Data of course) ???


Thanks,

Nader
Free tick data from ratedata.gaincapital.com.

Otherwise the only other source of tick data is olsen which is expensive.

Best regards
Alan
  • #8
  • Dec 20, 2005 12:49am Dec 20, 2005 12:49am
Quoting firehorse
Hi,Free tick data from ratedata.gaincapital.com.

Otherwise the only other source of tick data is olsen which is expensive.

Best regards
Alan

Thanx for the link
Nolite dormiens pungere ursum. -- Latan Proverb.
  • #9
  • Dec 20, 2005 9:25am Dec 20, 2005 9:25am
Quoting therf
Ok, I know this is probably the wrong thread to post this. But as a followup to my above queries I started a thread about data from disktrading.com. Looks as though it was deleted. Any ideas why? I am in no way related to that site or promoting it, just have the data from a previous project and was curious as to any issues/experiences by others with this data. Apologies in advance if this violates forum rules, but I did read them and didn't feel my post was inappropriate.
Hi therf. Thanks for asking. Your thread was moved to the classifieds forum by one of the moderators because of forum rule #2, shown below for your convenience.

At any rate, welcome to the factory. We look forward to your posts and hope you enjoy being here.

Dial

RULE #2 / No Endorsements Under 50 Posts
Members with less than 50 posts are NOT permitted to discuss or recommend Forex products or services. This is a critical anti-spam measure, and we apologize for any inconvenience it may cause you.
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  • #10
  • Last Post: Dec 20, 2005 9:30am Dec 20, 2005 9:30am
Quoting diallist
Hi therf. Thanks for asking. Your thread was moved to the classifieds forum by one of the moderators because of forum rule #2, shown below for your convenience.

At any rate, welcome to the factory. We look forward to your posts and hope you enjoy being here.

Dial

RULE #2 / No Endorsements Under 50 Posts
Members with less than 50 posts are NOT permitted to discuss or recommend Forex products or services. This is a critical anti-spam measure, and we apologize for any inconvenience it may cause you.
Thanks for the reply Dial. Please ignore my other post on the same subject.
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