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What's the Historical Data Duration Needed for Back-Testing with Multicharts?
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What's the Historical Data Duration Needed for Back-Testing with Multicharts?

  #1 (permalink)
Elite Member
SINGAPORE
 
Futures Experience: Intermediate
Platform: TS, TOS, MC
Broker/Data: TOS, IB, TS
Favorite Futures: Options, Stocks, ETFs
 
Posts: 28 since Jun 2012
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What's the Historical Data Duration Needed for Back-Testing with Multicharts?

Hi,

After reading so many threads on Multicharts, I noticed one of the best recommended data-feeds will be IQFeed to work with Multicharts. I've also recently viewed the recorded webinar related to back-testing conducted by Manesh Patel, and he has spoken favorably about Tradestation (TS). I am interested in using Multicharts for back-testing & trade via my existing broker (IB) for equities only, but I need some advice related to data-feed/historical data.

Info:
(1) TS has the most extensive historical database in the market. Pls see link

Link: Streaming Market Data for Online Trading | Trade Online with TradeStation

(2) IQFeed historical data is inferior as compared to TS:
- Tick data: only 120 days
- Minute data: Forex (since Feb 2005), E-minis (since Sep 2005), Stocks/Futures/Indexes (since May 2007)
- Daily/Weekly/Monthly: 15+ years (O, H, L, C, V, OI)

I have the following questions which will appreciate your advice & comment:

(1) Is it necessary to backtest with such long historical data which Manesh has mentioned in the webinar to be 10 to 20 years for out-sample data & 10+ years for 1-min data?

(2) If it's necessary to back-test such a long period of historical data, then IQFeed is not qualified. As such, TS historical data is the preferred choice. If so, is it possible to subscribe to TS to download its historical data to Multichart for backtesting? I do not want to use TS as broker as I prefer to trade via IB.

(3) If it's possible to use the historical data from TS for Multichart backtesting, then is there anyone who might know what's the costs per month that will be incurred to open an account with TS? I read from TS website that there is a $99.95/mth platform fee (if one does not trade the minimum criteria). There is also a $59.95/mth fee for Portfolio Maestro & another $59.95/mth for RadarScreen. Do I have to pay for all these 3 extra costs without using them? What other exchange fees I will have to subscribe to in order to have access to the historical database to download for Multichart back-testing?

You can also advise on the costs per month for futures & Forex with TS.

I hope this thread will serve to establish a costs comparison between TS & IQFeed for the purpose of backtesting the historical data. As TS has a more comprehensive historical database, one might want to consider subscribing to it if the costs between the 2 vendors is not significant. Of course, TS will not be considered if Multicharts cannot use TS historical data for backtesting or as data-feed.

NLD

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  #2 (permalink)
Elite Member
Nicosia, Cyprus
 
Futures Experience: Intermediate
Platform: Multicharts, Tradestation
Broker/Data: Interactive Brokers, MB Trading, Tradestation for data
Favorite Futures: FX, Equities
 
Posts: 39 since Oct 2012
Thanks: 44 given, 39 received

A few comments, in red below.
Please also see my comments to another thread, made a few minutes ago, for a similar issue.

Feel free to ask me anything else I can help with, using my very limited experience (a few months with MC and TS, still not trading, just backtesting).

Take care
Andreas



Hi,

After reading so many threads on Multicharts, I noticed one of the best recommended data-feeds will be IQFeed to work with Multicharts. I've also recently viewed the recorded webinar related to back-testing conducted by Manesh Patel, and he has spoken favorably about Tradestation (TS). I am interested in using Multicharts for back-testing & trade via my existing broker (IB) for equities only, but I need some advice related to data-feed/historical data.

Info:
(1) TS has the most extensive historical database in the market. Pls see link

Link: Streaming Market Data for Online Trading | Trade Online with TradeStation

(2) IQFeed historical data is inferior as compared to TS:
- Tick data: only 120 days
- Minute data: Forex (since Feb 2005), E-minis (since Sep 2005), Stocks/Futures/Indexes (since May 2007)
- Daily/Weekly/Monthly: 15+ years (O, H, L, C, V, OI)

I have the following questions which will appreciate your advice & comment:

(1) Is it necessary to backtest with such long historical data which Manesh has mentioned in the webinar to be 10 to 20 years for out-sample data & 10+ years for 1-min data?
I'm a beginner, but my logic tells me that 10 years of 1-min data is ridiculously long - why would you need so much data?
I am going back 15 years when I test daily data, and 3-4 years intraday. I think more than that will represent a different market.


(2) If it's necessary to back-test such a long period of historical data, then IQFeed is not qualified. As such, TS historical data is the preferred choice. If so, is it possible to subscribe to TS to download its historical data to Multichart for backtesting? I do not want to use TS as broker as I prefer to trade via IB.
Yes. I have them as a broker, but I asked them this question and they said yes a few months ago.

(3) If it's possible to use the historical data from TS for Multichart backtesting, then is there anyone who might know what's the costs per month that will be incurred to open an account with TS? I read from TS website that there is a $99.95/mth platform fee (if one does not trade the minimum criteria). There is also a $59.95/mth fee for Portfolio Maestro & another $59.95/mth for RadarScreen. Do I have to pay for all these 3 extra costs without using them? What other exchange fees I will have to subscribe to in order to have access to the historical database to download for Multichart back-testing?
My cost is $100 per month, ie what you mention above. You don't need to pay for portfolio maestro or radarscreen.
Add another $5 for exchange fees (for equities).
I repeat, I have a brokerage account with TS, so even though I never used it, I am not sure if these fees would be different if you are not a brokerage customer. I think not.


You can also advise on the costs per month for futures & Forex with TS.
Don't know.

I hope this thread will serve to establish a costs comparison between TS & IQFeed for the purpose of backtesting the historical data. As TS has a more comprehensive historical database, one might want to consider subscribing to it if the costs between the 2 vendors is not significant. Of course, TS will not be considered if Multicharts cannot use TS historical data for backtesting or as data-feed.

NLD

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  #3 (permalink)
Trading Apprentice
London
 
Futures Experience: Intermediate
Platform: Multicharts
Favorite Futures: Forex
 
Posts: 14 since Jan 2013
Thanks: 0 given, 3 received


I'm not sure if you're using optimization for a set of parameters (basically ignore this post if not), but all optimization is essentially curve fit whether you like it or not so if you use say 10 years of data, the most productive part of that data will be favoured by any auto system, usually the most volatile periods and there have been some extremely volatile periods in the past 10 years (especially if your optimization criteria is net profit).

Simply using a lot of data does not eliminate the curve fit nature of optimization. Therefore, I honestly find backtesting for more than 3 years to be unhelpful. It is hard enough to get a system to work in the past 3 months as well as mid 2011 as the conditions were completely different, let alone anything 5 years before that as well.

Using more data than I need normally means I adjust the parameters of my system to conditions that are no longer prevalent or even in existence. IF your system can handle anything that has happened in a market for the past 3 years and come out well, then it is likely to perform well in the real market (this is assuming all backtesting has been properly done blah blah blah). Having said that if you do find a system that performs consistently well across 10 years, feel free to PM me the code!

The worst type of backtesting involves using just a few months, finding a hugely +ve system and then getting busted up live, but I'd say excessive backtesting is almost as bad and likely to have larger point to point drawdowns as they're so 'out of tune' with the current conditions. 3 years for intraday systems is what I've been working off for the past 2 years with the kind of success my avg monthly return stats suggested.

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The following 2 users say Thank You to NMC1 for this post:
 
  #4 (permalink)
Elite Member
SINGAPORE
 
Futures Experience: Intermediate
Platform: TS, TOS, MC
Broker/Data: TOS, IB, TS
Favorite Futures: Options, Stocks, ETFs
 
Posts: 28 since Jun 2012
Thanks: 13 given, 13 received

Have been busy lately & did not come to this forum for quite some time.
Many thanks to both Moses & NMC1 for your kind advice.

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