Matlab for backtesting large amounts of tick data - Matlab, R project and Python | futures io social day trading
futures io futures trading


Matlab for backtesting large amounts of tick data
Updated: Views / Replies:1,272 / 2
Created: by Big Mike Attachments:0

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 
Thread Tools Search this Thread
 

Matlab for backtesting large amounts of tick data

  #1 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,336 since Jun 2009
Thanks: 29,452 given, 83,947 received

Matlab for backtesting large amounts of tick data

Can anyone comment on using Matlab to test large amounts of tick data?

Say for example 500 million ticks or more?

I've read that Matlab can be very, very slow for this type of task. I am also unsure on it's x64 capabilities, can it really handle 25GB of data being stored in memory for calculations? I know that "technically" it can, my question though is whether or not has actual experience in testing this large of a data set?

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
 
  #2 (permalink)
Quick Summary
Quick Summary Post

Quick Summary is created and edited by users like you... Add FAQ's, Links and other Relevant Information by clicking the edit button in the lower right hand corner of this message.

 
  #3 (permalink)
 Vendor: www.indicatorx.com 
Bridgwater, UK
 
Futures Experience: Beginner
Platform: Ninjatrader
Broker/Data: MB Trading
Favorite Futures: Forex
 
mokodo's Avatar
 
Posts: 384 since Jun 2011
Thanks: 525 given, 344 received


Hi Mike,

I last used Matlab December last year. Obviously depends on what calculations you are doing with the data. There are tricks to speed it up, such as avoiding looping commands and configuring the input data in vectors.

This may be helpful

https://www.mathworks.co.uk/discovery/big-data-matlab.html

Best of luck

know thyself
Reply With Quote
The following user says Thank You to mokodo for this post:

Reply



futures io > > > > Matlab for backtesting large amounts of tick data

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)
 

Wyckoff Hunting for Great Risk/Reward Ratio w/Gary Fullett

Elite only
 

Digging into the Details of iSystems w/Stage 5 & iSystems

Jun 5
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
How large should transaction costs be for backtesting futures? nomadx Traders Hideout 30 March 10th, 2013 10:15 AM
Backtesting Timeframes/tick chart settings? schris87 TradeStation 2 December 3rd, 2012 09:19 PM
Budget Matlab data feed? maxplanck Matlab, R project and Python 2 November 12th, 2011 01:43 PM
Multithreaded backtesting application w/ tick data crbucks Platforms and Indicators 1 May 4th, 2011 04:00 PM
Renko Tick Backtesting cpi65 Traders Hideout 8 August 5th, 2010 07:41 PM


All times are GMT -4. The time now is 04:26 AM.

Copyright © 2018 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2018-05-26 in 0.08 seconds with 19 queries on phoenix via your IP 54.224.151.24