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Backtesting ES

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Backtesting ES

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  #1 (permalink)
Bangkok Thailand
Posts: 36 since May 2016
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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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  #2 (permalink)
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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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