Automated backtesting

[soso_beton]

Hi all,

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

[fthomas]

First off, I cannot be of much help, but I am interested in finding out the details on backtesting with mt as much as yourself. So, best of luck finding out what needs to be found and if I do come across anything, I pop in another message.


Cheers,

Frank.

[Aleph]

I wrote a simple charting tool in vb.net, where it would be easy to implement backtesting as well and I would be completly free in defining the rules. Basically this was my idea, but I didn't thought about the signal source - I don't wan't to pay for that (and depending on the provider this can be quiet expensive as well). I'm a novice programmer and I don't know about the possibilities of the metatrader language, but I imagine that it could be possible to write kind of a backdoor or an interface which would route the signal from metatrader to any other software. This would be

For my application I used plain text files generated on 0andas FXHistory website. You can get there the daily quotes for the last couple of years... Not very useful though...

Aleph

FXHistory:
http://.com/convert/fxhistory

[tick]

What kind of strategies and what kind of data do you have?

Originally Posted by soso_beton

Hi all,

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

[Ogeima]

For backtesting on Amibroker, you can import data from virtually any source.
A handy free one is Alpari's DataBank (it goes back as far as 1979, depending on the instrument). It has Minute and Daily data, from which Amibroker can construct any other timeframe (above 1 minute of course! it doesn't "invent" quotes, as MT4 does...).
If you use MT4, Apari also offers data in MT4 format so you can test your EA on MT4 with that data to make sure it works properly (ie catches the same trades as your Amibroker system).
Fyi, I import Alpari Metastocks format to AB through the "Import Wizard".

ForeXite is another source but if I remember, it's not convenient to download.

http://www.alpari-idc.com/en/dc/databank.php

Ogeima.

[faffle]

Originally Posted by Aleph

I wrote a simple charting tool in vb.net, where it would be easy to implement backtesting as well and I would be completly free in defining the rules. Basically this was my idea, but I didn't thought about the signal source - I don't wan't to pay for that (and depending on the provider this can be quiet expensive as well). I'm a novice programmer and I don't know about the possibilities of the metatrader language, but I imagine that it could be possible to write kind of a backdoor or an interface which would route the signal from metatrader to any other software. This would be

im a vb.net and a mt4 programmer. i am looking to find a good backtesting platform or build my own from the mt4 api. if someone has started such a project i would be glad to hear from them. My problem is i want to include the swap but mt4 doesnt allow for that.

[lucky-Irish_Man]

You may want to look into GenesisFT. Expensive but worth it.

[tick]

I'm working on getting some systems to work w/ RightEdge. It supports .NET natively so if you're a vb.net guy, you'll probably want to have a look. It's in beta 1, but showing some real promise and the folks over there are helping me out a lot. The API is still being nailed down, but the next beta version is going to have a lot of things firmed up, they tell me.

You can get the beta for free from their website http://www.rightedgesystems.com.

Originally Posted by faffle

im a vb.net and a mt4 programmer. i am looking to find a good backtesting platform or build my own from the mt4 api. if someone has started such a project i would be glad to hear from them. My problem is i want to include the swap but mt4 doesnt allow for that.