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how to get data from backtest last day before ExitOnClose ?
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how to get data from backtest last day before ExitOnClose ?

  #11 (permalink)
Market Wizard
Germany
 
Futures Experience: Intermediate
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Favorite Futures: ES, YM, 6E
 
Posts: 2,644 since Feb 2013
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Knowing many of the pitfalls, I for one switched to self-coded tests about 2 years ago.
Same with many of the more active traders here (some also use R, MATLAB or other additional libraries).

Just pushing my button to find out if I have the latest close in backtests (answer: yes, I do) won't help you.
Exit on close has some known issues since data sources / vendors treat settlements and last traded prices differently, which can cause misleading backtesting results.

So my advice would be: Use a regular real-time data vendor, configure correct session settings etc., then do your development and backtests.

Considering the development and backtesting methodology, I'd recommend @kevinkdog 's series of webinars. They will save you a ton of time (and/or money).

https://futures.io/webinars/dec6_2012/kevin_davey_algorithmic_trading/
https://futures.io/webinars/mar5_2013/developing_an_algorithmic_trading_system_kevin_davey/
https://futures.io/webinars/dec4_2013/algorithmic_trading_challenge_kevin_davey/
https://www.youtube.com/watch?v=3Cnju_q1MWU

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The following user says Thank You to choke35 for this post:
 
  #12 (permalink)
Trading Apprentice
tel aviv
 
Futures Experience: Intermediate
Platform: ninjatrader
Favorite Futures: stocks
 
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Hi again
Thank you for your advice , i will give it a try
I manage to solve that problem by setting CalculateOnBarClose to be false.
That way i'm able to get all last backtesting day data

appreciate your help
thank you

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  #13 (permalink)
Market Wizard
Germany
 
Futures Experience: Intermediate
Platform: Other
Favorite Futures: ES, YM, 6E
 
Posts: 2,644 since Feb 2013
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seanMen View Post
Hi again
Thank you for your advice , i will give it a try
I manage to solve that problem by setting CalculateOnBarClose to be false.
That way i'm able to get all last backtesting day data

appreciate your help
thank you

That error cause is nearly as basic as the session template
A caveat: Your decision comes with a price: Toggling CalculateOnBarClose to false with real-time data will result in interpreting all last prices as a "current close".
So be aware that in real trading on real-time data you will have every last tick as a (but not "the") close. Without correcting this effect with suitable time checks etc.
in your program, your testing results will not be valid for real-time use.

---

Wise decision to give methodology a try. Many beginners just get absorbed by program, backtesting, and (even more fallacious: ) optimization functions.
Then after a while they believe to have a strategy that's almost the egg of Columbus, but in fact it's only the result of overfitting past data.
Like in trading starting with methodology is important because you avoid some bad habits from the start.

Good luck!


Last edited by choke35; August 13th, 2015 at 07:24 AM.
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  #14 (permalink)
 Vendor: www.probabletrades.com 
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seanMen View Post
Im downloading free EOD data from yahoo finance via the Historical data manager

Why don't you just use the Kinetick free end-of-day feed?

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