extending backtesting range

Francesco78 · 2017-04-09T17:55:33+00:00

Hello everyone, I have come up with a strategy on Ftse mib, based on the idea to take the opposite direction of the market after a day in which the market has moved at least 150 points, with a vol filter because I have the impression the strategy work if volatility is not too low. I also added and antimartingala, increasing the position step by step if the strategy remains positive. I saw that many people are posting backtesting on 30 minutes time frame with more than 100, 000 observation. I was wondering if you can help me in extending the backtesting range in this case as it looks really cod the last 2 years but I dont think is enough to be confident to use it on real. The code is attached. MAny thanks. Francesco

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04/09/2017 at 6:55 PM #31521 quote

Francesco78
Participant

Master

Hello everyone,

I have come up with a strategy on Ftse mib, based on the idea to take the opposite direction of the market after a day in which the market has moved at least 150 points, with a vol filter because I have the impression the strategy work if volatility is not too low. I also added and antimartingala, increasing the position step by step if the strategy remains positive.

I saw that many people are posting backtesting on 30 minutes time frame with more than 100, 000 observation. I was wondering if you can help me in extending the backtesting range in this case as it looks really cod the last 2 years but I dont think is enough to be confident to use it on real. The code is attached.

MAny thanks.

Francesco

04/10/2017 at 8:13 PM #31670 quote

Derek
Participant

Veteran

Hi Francesco,

200.000 bars are available on PRT if the datastream from Prorealtime is used.

So, if you are with IG 100.000 is the limit. I don’t know about Interactive Brokers, though.

regards,

Derek

04/11/2017 at 12:18 PM #31714 quote

Francesco78
Participant

Master

thank you Derek, yes I figured that out, Im trying to talk with IG to see if there is a way to get sponsored for the premium version

04/11/2017 at 1:53 PM #31721 quote

Nicolas
Keymaster

Legend

PRT-CDF Premium account features: https://prt.md.it-finance.com/IGIndex/features_premium.phtml?locale=en_EN

You’ll get 200k bars from there.

04/11/2017 at 1:59 PM #31724 quote

Francesco78
Participant

Master

Thank you Nicolas, I have asked IG if they can provide the upgrade
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