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Backtesting ES
Started:September 12th, 2016 (02:36 AM) by TraderWalrus Views / Replies:109 / 1
Last Reply:September 12th, 2016 (03:06 AM) Attachments:0

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Backtesting ES

Old September 12th, 2016, 02:36 AM   #1 (permalink)
Trading Apprentice
Bangkok Thailand
Futures Experience: Intermediate
Platform: IB, MC
Favorite Futures: Forex
Posts: 20 since May 2016
Thanks: 8 given, 4 received

Backtesting ES

Is there a way to get continuous ES 1-min data into Multicharts, from Interactive Brokers, of say the last year?

I am trying to backtest a strategy and it is quite difficult (especially optimization) when it needs to run separately on the different contracts.

If not from IB, is there a way to get such data from other sources?

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Old September 12th, 2016, 03:06 AM   #2 (permalink)
Hamburg Germany
Futures Experience: Advanced
Platform: Multicharts, Tradestation, Multicharts.NET, NinjaTrader, MetaTrader
Broker/Data: DTN IQ
Favorite Futures: ES
Posts: 1,107 since Apr 2013
Thanks: 188 given, 624 received


IQFeed for example provides continuous futures data that you can use.

Depending on what you need in the backtesting you might be able to build your own continous contract.
Custom Futures - MultiCharts There are a few limitations with this
approach as you can see on the linked side, but if you don't need the bar magnifier for example it would work.

You could also just string the contracts together yourself by combining the data in one symbol. However this would be the raw data without backajustment, which you'd have to do upfront yourself (in case you need it).



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