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backtesting intraday data
Started:March 17th, 2011 (01:10 PM) by crazybears Views / Replies:2,226 / 4
Last Reply:April 4th, 2011 (01:44 PM) Attachments:0

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backtesting intraday data

Old March 17th, 2011, 01:10 PM   #1 (permalink)
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backtesting intraday data

I'm struggling with a piece of code about testing intraday strategy
using no-time bar like ticks -Volume-range- bar, you could have an order filled into a bar that it was formed in less than 30 seconds.
I Think this isn't possible or better I would delete these trade.
When it happens i've set in strategy to exit at the close of bar,but i'm not able to delete this kind of trade.
I'd delete either the gain/loss and commision paid from NetProfit.
a big issue is when there are more bar with time less than 1 minute. i can't refer to the correct bar

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Old March 17th, 2011, 01:10 PM   #2 (permalink)
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Old March 22nd, 2011, 05:15 PM   #3 (permalink)
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I tested some strategieswith intraday data , on rangebars volume bars,ticks bars
.all is ok but i saw that sometime, foremost when there is fast market condition, some bars are being formed less then 1 minute , sometime are being formed in few seconds.
I've looked for skipping these trades but I've been only capable to close this trades in the close of the bar.
possible solutions can be to export data into excel and use a macro to delete or skipping these trade. someone knows if it is possible,because i don't know excel language .

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Old March 26th, 2011, 11:42 AM   #4 (permalink)
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I don't know about deleting it after the fact, but you can try to not take it in the first place. News events will generate many bars in rapid succession, check the Time_s[0] from bar to bar and don't trade when say the last 2-3 bars print faster than 2 seconds apart.


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Old April 4th, 2011, 01:44 PM   #5 (permalink)
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Put a tick chart as data 1 and the timeframe you are trading in data 2. That way you see every traded tick, but take signals from your preferred time frame. Its probably intermediate level programming to do it.

If you are using TradeStation, it might present a problem because you can't mix time based bars with advanced bar types or tick charts in Data1 and Data2.

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