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Best platform for Backtesting own CSV files


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Best platform for Backtesting own CSV files

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  #1 (permalink)
ireland
 
 
Posts: 18 since Mar 2011
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I have reviewed a number of Backtesting programs.
I have outlined Multicharts and Openquant (smartquant) as possibly being best suited to my needs.

My criteria is to be able to backtest my own bought tick data (csv) from 2 vendors going back 15 yrs

Which software package is best able to do this?
Is Multicharts or Openquant able to do this from your experience?
On the outside it looks like it does but need experienced backtesters experience..

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  #3 (permalink)
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Download the free multicharts dt and see if quotemanagers ascii import function suits your needs.

If it does then all you need to do to access the backtest function is to purchase the full version.

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  #4 (permalink)
ireland
 
 
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Do you have to purchase the package in order to backtest?

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  #5 (permalink)
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There are two versions of multicharts. Regular multicharts and multicharts DT.

Regular multicharts is the paid for package with backtesting and custom indicator creation.

Multicharts DT is basically the same charting software without the backtesting and powerlanguage features. However it is free.

Since you are worried about the tick data and I presume that it would be a deal breaker for you, I suggest you download the free version and test if your data works with it.

Assuming that it does then you could register for a 30 day trial of regular multicharts.

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  #6 (permalink)
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Since you are using a Mac, you should look into Investor R/T. It is quite flexible and powerful, and the programming language is very intuitive.

Another good option would be using Excel, MATLAB, R etc... It depends on what you're trying to accomplish with your backtests...

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  #7 (permalink)
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Regarding MultiCharts, there is also a 30-day trial of the full version....

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  #8 (permalink)
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everyone here seems to forget amibroker, undoubtedly the fastest backtesting available on the market which will make a difference if you need to access 15yrs of tick data ... and it's very cheap

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  #9 (permalink)
ireland
 
 
Posts: 18 since Mar 2011
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So far found the Multicharts DT in relation to mapping of own tick data files fine to use...
Compared to ninja no contest IMHO in relation to importing own data..

However I would like to be able to merge multiple data files first of all going back years..
Is this Possible?

gktk, I have amibroker on my list but havent got to it at the moment, its actually 3rd, Smartquant is 2nd..
So ill report back then..

Up to now I have being using excel but I have beign getting to my limit the last 2-3 yrs..
Need to upskill into using backtesting programs and programming in general...

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  #10 (permalink)
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An ASCII map in MultiCharts would be used for real-time mapping of data. If an external program updates the file, MultiCharts will read from it in real time.

With a regular import, you can import multiple times (like once per contract, or once per calendar year, etc). So it is no problem to "merge" data from multiple imports into a single instrument.

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  #11 (permalink)
ireland
 
 
Posts: 18 since Mar 2011
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Thanks Mike,

Problem I have is using importing the files are coming up as being corrupted..

They are CSV files...

Whats the best format for importing? ASCII?
Can one change the properties of csv files to fit best format for fitting?

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  #12 (permalink)
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gktk View Post
everyone here seems to forget amibroker, undoubtedly the fastest backtesting available on the market which will make a difference if you need to access 15yrs of tick data ... and it's very cheap

I haven't used Amibroker in years, so it slipped my mind. It is indeed powerful and very cheap...

As for SmartQuant, I tested it several years ago, but it was still being developed and I was concerned with the reliability of the platform. It looked interesting, though..

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  #13 (permalink)
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FAUGH45568 View Post
Thanks Mike,

Problem I have is using importing the files are coming up as being corrupted..

They are CSV files...

Whats the best format for importing? ASCII?
Can one change the properties of csv files to fit best format for fitting?

CSV should just be plain text, with commas separating values. Please post a screen shot of what you mean by corrupted.

I've not personally used the real-time ASCII mapping. Is this what you require? Real-time mapping, with the file being updated in real time outside of MultiCharts?

Don't confuse ASCII mapping with regular importing of data, they are two different things.

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  #14 (permalink)
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Lornz View Post
I haven't used Amibroker in years, so it slipped my mind. It is indeed powerful and very cheap...

Amibroker is C# right?

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  #15 (permalink)
ireland
 
 
Posts: 18 since Mar 2011
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Big Mike View Post
CSV should just be plain text, with commas separating values. Please post a screen shot of what you mean by corrupted.

I've not personally used the real-time ASCII mapping. Is this what you require? Real-time mapping, with the file being updated in real time outside of MultiCharts?

Don't confuse ASCII mapping with regular importing of data, they are two different things.

Mike

Understand the difference now, didnt before TBH..
Dont need the real time updating ATM so importing and being able to backtest own data is priority..
The message I get is

File is corrupted ES0306TK.csv

and also if I use text format
File is corrupted ES0306TK.txt

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  #16 (permalink)
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FAUGH45568 View Post
File is corrupted ES0306TK.csv

and also if I use text format
File is corrupted ES0306TK.txt

You confirmed this is a plain text file? Open it in notepad. Maybe you accidentally saved it as Excel format using the csv extension.

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  #17 (permalink)
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Big Mike View Post
Amibroker is C# right?

Mike

They call their language AFL, which is derived from C...

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  #18 (permalink)
ireland
 
 
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Got everything working, csv files issues, and not seeing name in file an issue, few others..
I have now loaded my first text file 128mb as an example, data looks like it is loaded correctly...
I have loaded the next data file into quotemanager, loads up fine and is available to see in Multicharts DT, however
How do you merge previous data files and the new data file so that it is continuous.?

When I know actually how to do it I will look into the accuracy issues of rollovers etc..

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  #19 (permalink)
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FAUGH45568 View Post
How do you merge previous data files and the new data file so that it is continuous.?

When I know actually how to do it I will look into the accuracy issues of rollovers etc..

If you create a synthetic imported instrument, there isn't much need to do rollover. If you are importing years of CL tick data for instance, instead of CL 08-10, 09-10, 10-10, 11-10, 12-10 and etc, you could just create "CL" and import.

For real data feeds, like IQfeed, Zen Fire/Rithmic, etc, you can create a custom futures contract and then specify a rollover schedule in QuoteManager based on several different criteria including volume or dates.

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  #20 (permalink)
ireland
 
 
Posts: 18 since Mar 2011
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Thanks Mike, I will try that..

Came across this for other reference just in case any newbies like me to multicharts need it later...

https://www.multicharts.com/downloads/tutorials/multicharts.pdf

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  #21 (permalink)
ireland
 
 
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What program is the best for joining text files of over 120mb..?

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  #22 (permalink)
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FAUGH45568 View Post
What program is the best for joining text files of over 120mb..?

If you make sure your text files have no header lines, you can do a simple DOS command:

copy file1.ext+file2.ext target.ext

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  #23 (permalink)
ireland
 
 
Posts: 18 since Mar 2011
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Thanks Mike....

I have started reading the easylanguage manuals but they reference tradestation as the platform...

Is there a Manual out there or Videos for Multicharts out there that can;

1) Brings you through how to create simple strategies
2) Test them
3) Review results.

Please keep in mind my programming skills are 0 so hence the basic i.e the process in building strategies, signals, backtesting etc in Multicharts....

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  #24 (permalink)
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FAUGH45568 View Post
Thanks Mike....

I have started reading the easylanguage manuals but they reference tradestation as the platform...

Is there a Manual out there or Videos for Multicharts out there that can;

1) Brings you through how to create simple strategies
2) Test them
3) Review results.

Please keep in mind my programming skills are 0 so hence the basic i.e the process in building strategies, signals, backtesting etc in Multicharts....

I'm not aware of such a tutorial. But you can find some basic info here:



and:



And then in August we're holding a webinar where a systematic trader for a big fund will be talking about how he uses MultiCharts.

Mike

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  #25 (permalink)
ireland
 
 
Posts: 18 since Mar 2011
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Very good thanks... I decided to download the Multicharts for Trial.. Happy I haev enough info to try it out and get most out of it..


Found this particular site, decided to try simple inside bar indictor (_Tutorial1) with New Trial Multicharts

Tutorial 1 – Create Simple Inside Bar Indicator Study | Chartplex

Here is my code

Quoting 
Condition1 = H < H[1] and L > L[1];

If condition1 then plot1( (H + L)/2 );

Same as above code in tutorial program


However keep on getting this in the Build Tab when compiling


Quoting 
Study: "_Tutorial1" (Indicator)
Please wait ....
------ Compiled with error(s): ------
Compile error
errLine 0, errColumn 0, errLineEnd 0, errColumnEnd 0
causal study: (Function)

and the following Microsoft windows error


Quoting 
as.exe has stopped working.
A problem caused the program to stop working correctly.
Windows will close the program and notify you if a solution is available.

I have downloaded the Multicharts Trial

What could the problem be?

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  #26 (permalink)
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You are getting off topic for your own thread, please create a new thread in the MultiCharts section for a MC specific question or problem. Briefly, your code looks fine but maybe you created more than just this (like you created a function called "causal") and the problem is there.

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  #27 (permalink)
ireland
 
 
Posts: 18 since Mar 2011
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No problem..

The problem was my end and nothing to do with MC...

.exe related problem.

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