Backtesting Data

October 11, 2006 by Trader Rich

I figured I'd mention this before I forget. I'm back to doing backtesting of a couple of strategies including the H-system in an attempt to find this tradeable on another currency pair other than the GBP/USD. I've been learning to do more backtesting via Metatrader but I still like writing my own PERL backtesting scripts because it gives me unlimited flexibility. Anyway, I stumbled upon Alpari's data bank which provides Daily and 1 minute data for multiple currency pairs dating back to June of 2004. It comes in multiple formats such as Metatrader, XPO, and Metastock so you can use it just about anywhere. You can find the data bank at http://www.alpari-idc.com/en/dc/databank.php

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Filed Under: Investing and Trading
Tagged: alpari, backtesting, metatrader, october 2006
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Comments

4 Responses to “Backtesting Data”

Forex Trader on March 11th, 2007 10:22 am

Hi Rich,

Could shed more light on how you handle major news releases in your backtesting: do you leave them as is, or do you filter them out? If you do filter them out how do you deal with the gaps?
Rich on March 12th, 2007 9:32 am

Forex Trader, you bring up a great question that I actually have considered but not yet built into the logic. I’m assuming you consider the US news releases to be the “major news releases.” Most of the entries don’t occur during an US major economic release but the one’s that did were not filtered. I realize these results are not totally realistic but it’s really hard to simulate real world results considering ….
Patrik on March 16th, 2007 7:38 am

Hi, I heard from different sources that the Strategy Builder included in MetaTrader is delivering wrong results and shows profits that are far too optimistic that the system would generate in livetrading.

Any thoughts on that?

Thanks & Kind Regards
Patrik
Rich on March 16th, 2007 8:58 am

All I can say Patrick, is that I would certainly not be surprised. Maybe I’m just inexperienced with metatrader backtesting but if you backtest using their fastest method, which are 1 minute open prices, you might as well throw a dart at a chart to see what direction it’s going….