Thread full details on how to backtest

Thread full details on how to backtestThread: Full details on how to backtest

Join Date Oct 2009 Posts 48

Full details on how to backtest

I saw the FAQ on how to backtest an stEA and unfortunately it does not list full details. So, I'll ask here.

Suppose I want to backtest an EA from one specific date to another specific date. How do I do that? Your FAQ does not say how to specify from and to dates for testing, nor does it state how to actually run the test. Also, how do I actually get the data to backtest? I get error messages about not all data available, tick multiplier method turned off. And if I try to change the number of bars available for backtesting, I get unknown error.

On MT4 it is very easy to specify that you want to backtest from a specific date to another specific date. It is also easy to download the historical data so that you can do the backtest. Why is this so non-obvious in ST?

Please explain in more detail.

Last edited by fxmultitrader; 03-26-2011 at 04:20 PM.

How to backtest trading system

How to backtest trading systemHow to backtest trading system ?

How to backtest trading system ?

How to backtest trading system ?

I'm a noobie trader and so far i managed to get 5k forex demo account down to about 4k in one month. I'm not too happy with the result, but anyways.

I read about several trading systems, includig rapirforex, amazing forex system, surfing, 123-froex, surefire forex trading and explosive profits to name few.

I would like to test those system, and any other systems i may find using historical market data. I'm primarly looking for a success ratio for ach system. I did some searching on the net, but i cant locate anything anything 'constructive'.

What software would i need to do that. Where would i obtain histirical forex market data. Any particular websites i should chack out.

thanks in advance.

How to backtest manual trading strategies inside of your mt4platform using simple forex tester

How to backtest manual trading strategies inside of your mt4platform using simple forex testerForex Fortunes - 3/12/2015

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How To Backtest manual trading strategies inside of your MT4 platform using Simple Forex Tester

In this video we will be showing you how to backtest manual trading s trategies inside of your MT4 platform using Simple Forex Tester .

The Simple Forex Tester is a GUI interface platform that will let you backtest any manual trading strategy directly inside the strategy tester on your Metatrader 4 platform.

Simply open strategy tester and from the dropdown menu select Simple FX Tester and set your parameters regarding the dates to backtest, the currency pair, and the time frame that you are trading on.

As the charts update, you will be able to enter trades in a backtest environment and perfect your trading skills on any manual trading strategy using commonly used MT4 indicators.

You will be able to see the results directly in the strategy tester and identify where your trading system may need improvement or what kind of profits that you might expect in forward testing situaltions.

When learning to trade the forex markets it is critical that you are confident in your trading strategies and use good money management to maximize your profits and minimize your risks .

The Simple Forex Tester will be the most valuable tool in your trading tool arsenal and help you to become a better and more profitable trader.

Get your copy of Simple Forex Tester today.

Thread sunday gap trading ea-backtesting results but tick data backtest needed

Thread sunday gap trading ea-backtesting results but tick data backtest neededThread: Sunday GAP Trading EA - Backtesting Results but Tick data backtest needed

Join Date Jan 2012 Location UK Posts 989

Sunday GAP Trading EA - Backtesting Results but Tick data backtest needed

Hi everyone i have been testing a GAP trading EA that trades the weekend open on sunday. I have best optimised this as best i can but now i am in need of some assistance.

Now this EA is meant to only run on EURUSD on M1. I have included the backtest i ran on M1 and M5, the M1 test only had a 25% modelling quality but the M5 test had a 90% modelling quality. Results below are from August 2009 - August 2013 on a MT4 Backtest.

I have included the EA and set file used so you just need to download it and use the set file and your good to go.

Could anyone run a backtest from August 2009 - August 2013 on M1 with tickdata? I would like to see if these results are better or worse than the M5 backtest.

Any questions please fire away.

Forex strategy backtest

Forex strategy backtestForex strategy backtest

How can I backtest strategies? Trading Discussion. google forex strategy tester and then download the free software. It allows for testing without a lot of coding. DEFINITION of 'Backtesting' The process of testing a trading strategy on prior time periods. Instead of applying a strategy for the time period forward, which could. Forex; FXTrader; Analysis. look at what applications are used to backtest. traders pay attention to when they are backtesting trading strategies. Forex Strategy Builder an advanced tool for creating and analysing Forex strategies and easily turning them to Expert Advisors Strategy Backtesting Strategy backtesting is an essential tool to see if your strategy works or not. TradingView — Stock Charts Forex Charts. A backtest is an automated process to test a trading strategy. The backtest simulates orders that have been passed based on historical data. This therefore allows a. Find out how our forex trading beginners' strategy performed through backtesting over the past two years. Get all the data and methodology for this analysis. Many successful traders share one habit – they backtest their trading strategies. Backtesting your trading strategy will not alone guarantee that you. MetaTrader 4 Backtesting Optimization To get the most out of your expert advisor, you’ll need to optimize and backtest your strategy using MetaTrader’s Strategy. MetaTrader 4 Strategy Tester Tutorial. To get the most out of your expert advisor, you'll need to optimize and backtest your strategy using MetaTrader's Strategy Tester.

How to backtest forex

How to backtest forexHow to backtest forex?

How to backtest forex?

I want to backtest a strategy in Forex, but am not quite sure about how to go about it. There are a number of ways that spring to mind.

1. Export data to Excel and analyse it by means of self written functions ( could be difficult to construct the correct functions, and may well be reinventing the wheel)

2. Get some charts for the last 3 months or so and visually mark exits and entries, and take a note of profit/loss in Excel or

3. use some form of Platform Strategy tester such as the one in MT4 (which I guess means you need to be able to code your strategy into an expert, and understand how to write in MQL).

Before I go down any of these routes, has anyone any pointers/experiences that I should bear in mind? or any preferences as to which route to take? and how far back would provide a representative sample? Are there any handy references anywhere that explain in simple language how to write in the MT4 language?

Last edited by Fish; Oct 27, 2006 at 10:03am .

Backtest overfitting an interactive example

Backtest overfitting an interactive exampleOption 4: Try with stock market data

Please be patient! The program may take up to two minutes to display the results page after clicking Go! button

Default values . If you do not enter a value or enter a value that is outside the range mentioned above, a default value will be used. The default values are: maximum holding period = 7; stop loss = 10; sample length = 1000; and standard deviation = 1.

A few recent articles explaining the backtest overfitting in the financial press:

Related documents:

Tutorial of the online tool:

Questions or comments:

Use excel to backtest atrading strategy using an atr stop-loss

Use excel to backtest atrading strategy using an atr stop-lossUse Excel to Backtest a Trading Strategy using an ATR Stop-loss

By Tradinformed on February 17, 2013

This post continues the series of video articles about how to use Microsoft Excel to backtest trading strategies. In this post I show how to calculate a stop-loss using the ATR and then how to backtest the trading strategy.

The Average True Range

Developed by J. Welles Wilder the ATR is very popular with traders. On its own, the ATR can be used to measure market volatility and market range. It is also frequently used in other technical indicators such as the SuperTrend indicator and the ADX.

One of the most popular uses for the ATR was developed by Chuck LeBeau and is referred to as the Chandelier Exit. The chandelier exit sets the stop-loss distance as a multiple of the ATR. The ATR reacts to market conditions so when things are calm, the stop-loss will be relatively close and when things are volatile, the stop-loss will be further away.

How to backtest an expert advisor in metatrader

How to backtest an expert advisor in metatraderHow To Backtest An Expert Advisor In Metatrader

How To Backtest An Expert Advisor In Metatrader:

Metatrader is one of the forex platforms. Metatrader is one of the forex platforms. You can download and install it from many forex brokers like FXDD, Alpari etc. Most of them provide a demo account. This article is mainly about how to backtest an expert advisor on a metatrader forex platform.

Once you install metatrader, open it. It will be like in the following picture.

Forex Metatrader Platform

Copy the expert advisor files into the required folders as instructed by the expert advisor manual. Generally whenever you buy an forex expert advisor, you will also get a manual that tells you where to copy the expert advisor files. Generally this is the expert folder, you have to copy the files. Suppose you install metatrader application from FXDD, under program files in C drive, the path will be C:Program FilesFXDD MetaTrader 4experts. But you may have to copy some other files into other folders. Go through the manual and copy the files accordingly. Once you copy all the expert advisor files, you have to restart the metatrader application.

Thread how to backtest ea in mt4with99%quality

Thread how to backtest ea in mt4with99%qualityThread: How to Backtest EA in MT4 with 99% Quality

How to Backtest EA in MT4 with 99% Quality

When developing and evaluating EAs for MT4 (expert advisors), it is useful––if not required--to backtest strategies. Fortunately, MetaTrader has a backtesting utility built-in, but it's not very useful with its default settings.*

You will notice that MetaTrader reports somewhat low test modeling quality if you simply plug in a strategy and test against the data you have available. Here we will show you how to backtest expert advisors on MT4 with 99.9% modeling quality.

In order to maintain high-quality EA test results, it is necessary to import tick data into MT4 from a verified, external source. We recommend tickdata from Dukascopy, who have archived tick-by-tick market data *going back almost 10 years.*Tickstory is a program that will* automatically import tick data into MT4, which you can then use to backtest EAs.

Tickstory is FREE software, extremely convenient for traders developing and backtesting expert advisors with MT4 and MT5. You can download it from here:*Tickstory - The Historical and Real-time Market Database for Traders

Backtesting can be done on your local PC running MT4, or on the MT4 platform installed on your forex VPS.*To generate the files necessary to import into MT4 and begin backtesting, all you need to do is choose the currency symbols and timeframe you would like to download in Tickstory. The application will do the rest.*You can also produce custom formatted CSVs to import tick data into NinjaTrader, StrategyQuant, or another platform for testing.

James F. (jamesfxvm)

Vix and more

Vix and moreThursday, April 12, 2012

Buying SVXY Calls when the VIX Spikes

Based upon some of the emails I have received this week, it appears that a number of readers have been focused on buying some of the inverse VIX ETPs. notably XIV and SVXY. when they saw the VIX spike. Some have preferred shorting VXX. TVIX and UVXY. based partly on availability, while others have preferred to trade VXX options, generally by buying puts or limiting risk with the likes of a bear call spread .

I had thought that my recent Options on UVXY and SVXY Open Up New VIX ETP Trading Approaches might nudge some traders into considering strategies involving the +2x leveraged long VIX short-term futures ETF (UVXY) and perhaps utilize the -1x short VIX short-term futures ETF (SVXY) as well, but based on the volumes, these issues are still in the process of gaining a broader audience. In fact, UVXY did see record call volume of 7300 contracts on Tuesday, but SVXY has been the laggard so far, as the graphic below illustrates.

So here is a thought: the next time the VIX has a significant spike, one of the first trades you should investigate is fading that spike by buying SVXY out-of-the-money calls. This is a simple trade and has the potential to be quite profitable. The SVXY April 90 calls, for instance, have jumped 40% from Tuesdays close.

The exciting news about options on SVXY and UVXY is that traders can now easily structure a broad variety of trades that involve defined risk and substantial upside. While VXX (and VIX) options are still the gold standard in terms of liquidity, SVXY and UVXY options also deserve some love even if the spreads are still wider than those of VXX.

Related posts:

[source(s): LivevolPro]

Disclosure(s ): long XIV and SVXY, short VXX, TVIX and UVXY at time of writing; Livevol is an advertiser on VIX and More

Tuesday, March 27, 2012

Options on UVXY and SVXY Open Up New VIX ETP Trading Approaches

Whether or not I find it useful to flog the wounded horse otherwise known as the VelocityShares Daily 2x VIX Short-Term ETN (TVIX ), it seems as if investors and the media insist that the wild and crazy story of this +2x VIX futures ETN remain on the front page for now.

While the TVIX story is indeed a fascinating one (see links below for more details), I fear it has crowded out a potentially more useful development from last week that has been criminally overlooked, the launch of options on two important VIX ETFs :

ProShares Ultra VIX Short-Term Futures ETF (UVXY )

ProShares Short VIX Short-Term Futures ETF (SVXY )

First off, note that the fact that these two products are exchange-traded funds instead of exchanged-traded notes means that it was much easier for options to be approved. While their more famous ETN counterparts, TVIX and XIV. grab most of the headlines, the addition of options means that traders now have much more flexibility in terms of strategy and tactics with UVXY and SVXY. 

In the past when I have mentioned how options on VIX ETPs were critical to their long-term success, I was met with a few (electronic) blank stares. Part of this reflects that fact that many have been drawn to the VIX ETPs for the potential to reap huge profits in a short period of time (more on this in The Trader Development Stage Model and the Jump from Stocks to Options ) with leveraged trades. Talk to most professional options traders, however, and leverage is rarely a factor they mention as a reason for their focus on options trading. In fact, pros are more likely to cite the two key advantages of options as their flexibility and ability to structure defined risk (or limited risk) trades.

This brings me back to options on UVXY and SVXY. With UVXY down 83% for the quarter as of yesterdays close, one would think that defined risk positions on the long or short side would be a critical factor in structuring future trades. With the huge contango and negative roll yield currently in the VIX futures, a directional bet in either direction entails huge risk. For shorts, this means that a short position can have its risk capped by buying UVXY calls. For longs this means that a long position can also limit risk by buying puts.

There are other ways to implement defined risk trades, notably with vertical credit spreads and vertical debit spreads. where gains and losses are limited to the distance between strikes. Traders can also just simply buy puts and calls to put a directional idea to work, knowing that their maximum loss will be limited to the purchase price.

In hard to borrow situations which are common with some VIX ETPs traders can also use options to create a synthetic position. For instance, a long put plus a short call is the equivalent of a synthetic short, so if no shares are available to borrow, a synthetic position might be an excellent proxy, with the same profit and loss potential as a standard short position, yet typically tying up a lot less trading capital.

Note that the markets for options in UVXY and SVXY are only one week old and not particularly liquid at this stage. On the other hand, volumes are ramping up quickly (see graphic of UVXY options volume, etc. below) and the flexibility and risk control inherent in options products makes these attractive, particularly so when applied to highly volatile products like UVXY and SVXY.

Related posts:

[source(s): LivevolPro]

Disclosure(s ): long XIV and SVXY, short TVIX and UVXY at time of writing; Livevol is an advertiser on VIX and More

Monday, August 17, 2009

How to Trade the VIX

Based upon the search terms that are landing visitors on the blog this morning, it seems as if many readers are interested in how to trade the VIX. This question really boils down to two separate issues: strategies and trading vehicles.

Since I have talked about strategies repeatedly in this space in the past, I thought I would offer a quick summary of trading vehicles today.

First off, it is not possible to trade the VIX directly. Formally known as the CBOE Volatility Index, the VIX calculates market expectations of 30 day implied volatility for SP 500 index options. The VIX (sometimes referred to as the cash or spot VIX) is a statistic that the CBOE calculates and disseminates every 15 seconds during the trading day. While widely disseminated, this statistic is not available for purchase.

Fortunately, there are a number of VIX derivatives that allow traders to take positions on the VIX without owning the underlying. In no particular order, they are:

VIX options these include standard options as well as VIX binary options

VIX futures standard VIX futures contracts have a contract size of 1000 times the VIX; the recently added mini-VIX futures have a contract size of 100 times the VIX

VIX ETNs currently consists of two exchange traded notes: the iPath SP 500 VIX Short-Term Futures ETN (VXX ) and the iPath SP 500 VIX Mid-Term Futures ETN (VXZ ). The former targets one month VIX futures and the latter targets five month VIX futures.

In addition to VIX products, one can always trade options on the SPX (or SPY). A long VIX position is very similar to a long SPX straddle (or strangle ); a short VIX position is very similar to a short SPX straddle (or strangle.)

For some additional reading on these subjects, readers are encouraged to check out:

Bitcoin trading strategies backtest with pyalgotrade

Bitcoin trading strategies backtest with pyalgotradeBitCoin Trading Strategies BackTest With PyAlgoTrade

( 2 votes, average: 5.00 out of 5)

Written by Khang Nguyen Vo, khangvo88gmail. for the RobustTechHouse blog. Khang is a graduate from the Masters of Quantitative and Computational Finance Program, John Von Neumann Institute 2014. He is passionate about research in machine learning, predictive modeling and backtesting of trading strategies.


Bitcoin (or BTC) was invented by Japanese Satoshi Nakamoto and considered the first decentralized digital currency or crypto-currency . In this article, we experiment with a simple momentum based trading strategy for Bitcoin using PyAlgoTrade which is a Python Backtesting library. The Moving Average Crossover trading strategy we start with is defined as:

The bitcoin data can be obtained from Bitcoin charts. The raw data of this source is at minute based sampling frequency and we group the data to 15-minutes prices as follows:

BitCoin Trading Strategy BackTest With PyAlgoTrade

Atr channel breakout system backtest results

Atr channel breakout system backtest resultsATR Channel Breakout System Backtest Results

ATR Channel Breakout System Backtest

ATR Channel Breakout System Backtest In the previous article. I covered the basics of this strategy. In this article I will post the back testing results of it on Nifty. At some later stage, I will do the same for Bank Nifty. I review a system based on Profits, Drawdowns, Risk profile and R distributions. According to me these parameters form the core of system testing.

Testing Period January 1996 to June 2013

Slippage 5%

Commission 0.05% per side of transaction value

Risk Per Trade 1% of Equity

Testing Results

Equity Curve Draw down Equity Curve should be steady and should rise smoothly over time. Irrespective of market conditions, it should rise over a period of time. The equity in this system increased from $250,000 to $625,609 over a period of 16 years. CAGR was 5.4% per year. The Equity curve was largely flat from 1996 to 2002 and then later rose with the Bull run of 2003. This system has not used any leverage.

ATR Channel Breakout System Backtest Results Equity Curve And Drawdown

ATR Channel Breakout System Backtest Results

R Multiple Distribution R is defined as risk. In this system I have taken initial Risk as 1% of equity per trade. If a trading system is good, then over a period of time maximum loss making trades should give losses within 1 R or sometimes 2 R. Similarly, when the system profits, maximum trades should give profit above 1R. The bigger the better. This way cumulatively with every trade we will have a positive net R and the account will grow.

Need scriptcode for expert advisor in zerodha pi

Need scriptcode for expert advisor in zerodha piNeed ScriptCode for Expert Advisor in Zerodha Pi

Need ScriptCode for Expert Advisor in Zerodha Pi

Hi friends,

I am using the latest beta version Zerodha PI software to backtest the strategies. I found it interesting, checked with some strategies but didnt get desired results in backtest. I unfortunately have less knowledge of coding, so if possible can anyone code some strategies for me so that I can backtest them with little or no editing and upload the results. I believe everyone here can reap the benefits from that.

First strategy I would like to have coded is Karthik's Intraday using EMI and CCI :

Pivot trading backtest results

Pivot trading backtest resultsPivot Trading Backtest Results

Pivot Trading Backtest Results

Pivot Trading Backtest Results We have explained the Pivot Trading Strategy here. Amibroker AFL for the same can be downloaded from here. In this post we will look at detailed backtesting results for the Pivot Trading Strategy on CNX Nifty.

Initial Account Equity: Rs. 30,00,000.00

Trading Vehicle: Index

Round-turn slippage per contract: Rs. 5.00

Pivot Trading Backtest Results Equity Curve

Equity Curve chart is posted below. Equity curve is measured through K ratio. K-ratio is focused on consistency of returns over time and could be applied to any time frame of backtested data. The K-ratio provides higher values for systems that produces higher consistent returns with less deviation from a least-squares regression line of the equity curve. Any system which has K-ratio of 0.1 to 0.2 is regarded as very good. K ratio below 0.1 signifies less consistent returns and more drawdowns. K ratio of this system is 0.12.

Pivot Trading Backtest Results Monte Carlo Simulations


Total Net Profit: Rs. 1,10,64,156.00

Max Number of Contracts: 36.00

Final Account Equity: Rs. 1,40,64,156.00

Minimum Number of Contracts: 4.00

Return on Starting Equity: 368.8%

Average Losing Trade (%): -0.8548%

Average Trade: Rs. 21,779.83

Win/Loss Ratio: 2.098

Average Trade (%): 0.3157%

Win/Loss Ratio (%/%): 1.943

Trade Standard Deviation: Rs. 1,05,568.15

Max Consecutive Wins: 6.00

Trade Standard Deviation (%): 1.981%

Max Consecutive Losses: 13.00

Worst Case Drawdown: Rs. -12,19,326.00

Probability of Account Erosion over 100 Trades: