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data mining, indicators vs historical data
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data mining, indicators vs historical data

  #1 (permalink)
Elite Member
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data mining, indicators vs historical data

I have been considering launching a project to back test 20-40 or so indicators/price action vs historical forex data vs time frames to try and get an idea of which combinations are best.
I have had some mt4 EAs running on a vps for a while now so have some limited experience, but have only tested a few indicators/strategies. I now think the best approach is to back-test a wide range of indicators and record the outcomes.

It occurred to me that probably many people have done this before and I ask the community if there is a reliable resource for this?
or is this the golden cookie people are not prepared to share...If I do go ahead with this project I would share the results no problem!

There is a simulator on myfxbook.com that I am aware of, but it is limited and does not back-test all the indicators I would like to see.

Would I be better off building my own back tester in c# (or?) or should I use an existing platform like Multicharts or Ninjatrader....next question....are NT and MC reliable for back-testing? (as mt4 is useless)

Also, which data source is reliable for back-testing, do people think the Dukascopy freebie is good? (I recently acquired Dukascopy data).

Thanks

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  #3 (permalink)
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Hi there I don't think its a top secret thing, but more that people take a more manual approach in layering indicators rather than what you are proposing here. Which is very interesting I might add to take a clinical approach to it, I suspect though that you may come to the same findings with your approach, but well worth doing (I'd be very interested in seeing your results - and would be happy to give my advice).

In my testing I've found there is no fool proof panacea solution for this challenge but plenty of varying combinations of indicators that work well together. Note that you might see that different indicators work better/worse in different markets and conditions (e.g., trend/chop). And well worth noting the different categories of indicator (e.g. whether you look at momentum. volatility. price action etc).

NT7 is what I've used fro back-testing and optimization and I think the analytic's are pretty neat. give it a go see what you think.

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It would be great if there was an online source with simulator of back tested automated strategies with accurate performance results, tested over last 5 years with perfect tick data!
Like a top fifty strategies, that is transparent and we know what is inside the program.

One day this might happen...

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There are tools out there available that do this and some produce MQL or NinjaScript. The most widely respected is Price Action Lab and it appears their latest version is much more affordable than before. Adaptrade Builder is another option.

There is still a lot of work involved and you're still going to want to further test any resulting strategy.

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I'll also quote from the Price Action Lab documentation FAQ section:


Quoting 
PAL can be used to find patterns in intraday data after data files are properly converted to the program intraday format. Finding statistically significant patterns in very fast timeframes, like for example 1 - 10 minute bars, may turn out to be very hard or even impossible due to the presence of noise and the demand for very large samples.

Tick is not recommended since the Open, High, Low and Close have the same value. Also, it is unlikely that tick data patterns can have only statistical significance at all.


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Correction:

Trading System Lab is the most widely respected trading system data mining tool and is said to cost $60k/year.

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  #8 (permalink)
Trading Apprentice
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MrYou View Post
Correction:

Trading System Lab is the most widely respected trading system data mining tool and is said to cost $60k/year.

Does anyone know where to get a demo of this software even with limited functionality? It appears this is based on a low priced GP engine called Discipulus. Why such a high price then? I tried developing something along the lines of priceactionlab but I gave up due to a busy schedule. The developer of that program seems not to like GP algorithms due to the data mining bias. Is there anything else besides these softwares?

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There is a book called The Encyclopedia of Technical Market Indicators where the author does what you are thinking about doing (backtests popular indicators and reports the results).

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  #10 (permalink)
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AlanKarlsson View Post
There is a book called The Encyclopedia of Technical Market Indicators where the author does what you are thinking about doing (backtests popular indicators and reports the results).

And you can find copies for $0.75 (used / library books) at www.half.com

After all, it's what you learn AFTER you know it all, that counts!
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