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Automated backtesting

  • #1
  • First Post: Apr 12, 2006 11:37am Apr 12, 2006 11:37am
Hi all,

I have posted this on moneytec also but no answer so far.

I have a couple of simple strategies that I would like to write some code for an automatic backtest.

Now, the only platform I know is Metatrader, but unfortunately it seems that despite its great programming capabilities the backtesting modules is not accurate at all. Don't remember the sources where I have read this but this issues has been raised more than once.

I have downloaded a few days ago Amibroker but couldn't get my head around it. It seems it needs a signal source to work. I am not currently subscribed to any signal source and I don't plan to in the near future.

Any suggestions guys?

Thanks,
-soso
-soso
  • #2
  • Apr 12, 2006 11:45am Apr 12, 2006 11:45am
Yes, if you down loaded the AmiQoute program, you can download historical data in to AmiBroker from Yahoo for Forex, they have cut a deal so it is free to use for Ami Qoute customers. Also, you can set up a DDE if your broker provides one.
Also, you can import data directly to AmiBroker from your chart program if you export it in a cvs format. Also, you can import the data from a excel sheet in the same cvs format. Also, AmiBorker's Afl langauge is very similar to visual basic. And While the tutorial section takes some time to learn is is very informative, in the help menu.

Now I am assuming you downloaded the RT version and not just the EOD version as I cannot see much use for that version.

Thsnks SMJ


Quoting soso_beton
Hi all,

I have posted this on moneytec also but no answer so far.

I have a couple of simple strategies that I would like to write some code for an automatic backtest.

Now, the only platform I know is Metatrader, but unfortunately it seems that despite its great programming capabilities the backtesting modules is not accurate at all. Don't remember the sources where I have read this but this issues has been raised more than once.

I have downloaded a few days ago Amibroker but couldn't get my head around it. It seems it needs a signal source to work. I am not currently subscribed to any signal source and I don't plan to in the near future.

Any suggestions guys?

Thanks,
-soso
  • #3
  • Apr 12, 2006 11:51am Apr 12, 2006 11:51am
You can also import data from any source as ascii and define the fileds in the import wizard of AmiBroker.

AmiBroker has a very good support and tutorial web site at www.amibroker.com
and also there is a forum just for AmiBroker at Yahoo...

Thanks SMJ
  • #4
  • Apr 12, 2006 12:21pm Apr 12, 2006 12:21pm
If you are working with data you have either imported or historical data from Yahoo, You should define your database as local, and choose the smallest trame frame for input that you think you will need, because that can always be expanded to larger time frames. If you are using a DDE feed you can define the database for DDE input and also define your symbols (ie. GBPusd, USDJPY...)

You would also need to go to the Symbols menu and add the pairs you are going to work with there.

Oh my there is so much AmiBroker can do. If you decide to get in to this I would be more than happy to help you... thanks Scott
  • #5
  • Apr 12, 2006 12:33pm Apr 12, 2006 12:33pm
Thanks a lot for the replies,

I am not interested in a DDE server, historical data for a few major pairs will do.

What's the RT version?

And do you know the yahoo site address where I can download the history files?

Thanks,
soso
-soso
  • #6
  • Apr 12, 2006 12:51pm Apr 12, 2006 12:51pm
The Yahoo site for history is in the ami qoute program. Otherwise Yahoo will charge you a monthly fee. I do not know the address seperate from Ami Quote...

The RT version is the Real time version. If you are only useing this for backtesting the cheaper version will work fine.

If you are attempting to automate your trades, you must have the RT version.

Thanks SMJ


Quoting soso_beton
Thanks a lot for the replies,

I am not interested in a DDE server, historical data for a few major pairs will do.

What's the RT version?

And do you know the yahoo site address where I can download the history files?

Thanks,
soso
  • #7
  • Apr 12, 2006 1:14pm Apr 12, 2006 1:14pm
Thanks SMJ,

I am interested only in a reliable and programmable backtesting engine - I make a living on software programming by the way.

I'll download the trial version as soon as I get some free time - hope they have a fully functional trial .

Thanks again I'll ask your advise again if I don't get around it, hope it's ok with you .

-soso
-soso
  • #8
  • Apr 12, 2006 1:17pm Apr 12, 2006 1:17pm
It is fully functional. The only difference is you cannot save your database. But that should only be a minor issue for you... glad to help., Scott



Quoting soso_beton
Thanks SMJ,

I am interested only in a reliable and programmable backtesting engine - I make a living on software programming by the way.

I'll download the trial version as soon as I get some free time - hope they have a fully functional trial .

Thanks again I'll ask your advise again if I don't get around it, hope it's ok with you .

-soso
  • #9
  • Apr 12, 2006 3:22pm Apr 12, 2006 3:22pm
Hello smjones

I was just wondering if amibroker can fully auto trade now with IB {interactive brok_ers} I know the latest version was supposed to set this up, but I have not been able to get any information on, If all the bugs have been ironed out, and they are now ready to go with forex automated trading.

If you have any information at all it would be appreciated
thank you
A truly wise man, always has more questions than answers.
  • #10
  • Apr 12, 2006 4:01pm Apr 12, 2006 4:01pm
I am not sure, because I do not autotrade, but I do have the latest version and the new beta version. I will check into it when I have some time this evening and get back to you. That is a good question...

I will get back to you... SMJ


Quoting Claude
Hello smjones

I was just wondering if amibroker can fully auto trade now with IB {interactive brok_ers} I know the latest version was supposed to set this up, but I have not been able to get any information on, If all the bugs have been ironed out, and they are now ready to go with forex automated trading.

If you have any information at all it would be appreciated
thank you
  • #11
  • Apr 12, 2006 4:10pm Apr 12, 2006 4:10pm
Quoting smjones
I am not sure, because I do not autotrade, but I do have the latest version and the new beta version. I will check into it when I have some time this evening and get back to you. That is a good question...

I will get back to you... SMJ
I believe Wealth-Lab Developer has capability for real-time trading through IB as a broker. Same thing as AmiQuote, you can import back-testing data from ascii. I haven't had much experience with AmiQuote, so I can't vouch for how easy the language is, but WLD has a pretty simple language to learn for back-testing and even has a wizard to build your rules (you can select indicators, insert values, and determine entry and exit points).

I have a version from back in the day before WLD was gobbled up by Fidelity...but I believe they still have it for sale outside of Fidelity and thus, you don't need a Fidelity account to use it (I cannot confirm this).
  • #12
  • Apr 12, 2006 5:44pm Apr 12, 2006 5:44pm
Actually, the auto trade portion of ami is in amibroker. amiqoute is the vehicle for importing historical data. Ami Broker has a RT version that draws the data in from a live feed as well as historical data. I am not to familiar with WLD, but it does sound like it would fit the bill...

SMJ


Quoting mrmikal
I believe Wealth-Lab Developer has capability for real-time trading through IB as a broker. Same thing as AmiQuote, you can import back-testing data from ascii. I haven't had much experience with AmiQuote, so I can't vouch for how easy the language is, but WLD has a pretty simple language to learn for back-testing and even has a wizard to build your rules (you can select indicators, insert values, and determine entry and exit points).

I have a version from back in the day before WLD was gobbled up by Fidelity...but I believe they still have it for sale outside of Fidelity and thus, you don't need a Fidelity account to use it (I cannot confirm this).
  • #13
  • Apr 12, 2006 6:57pm Apr 12, 2006 6:57pm
Quoting mrmikal
I believe Wealth-Lab Developer has capability for real-time trading through IB as a broker. Same thing as AmiQuote, you can import back-testing data from ascii. I haven't had much experience with AmiQuote, so I can't vouch for how easy the language is, but WLD has a pretty simple language to learn for back-testing and even has a wizard to build your rules (you can select indicators, insert values, and determine entry and exit points).

I have a version from back in the day before WLD was gobbled up by Fidelity...but I believe they still have it for sale outside of Fidelity and thus, you don't need a Fidelity account to use it (I cannot confirm this).
Wealth-Lab is definitely the way to go. If you live outside the US you can get it otherwise you will need to be a Fidelity client and they don't offer fx. You can get a live data feed into Wealth-Lab from www.forex.datahq.com.au. This is the combination that I use. The datahq data can be either bid, ask or mid and is the actual prices quoted on FXCM (the feed is straight from their dealing platform) so if the price is on your chart you know you could have traded it with FXCM.

Simon
  • #14
  • Last Post: Apr 14, 2006 6:17am Apr 14, 2006 6:17am
Hi soso_beton, have you looked in Forex Practice ? You can program your own indicators and backtest system and history is already inside, detailed by the minute for about two years.
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