Anyone doing any historical back testing?

Which exchange did you get your data from?

I need to draw a few plots.... I'm seeing some patterns.

 

Free data at www.quandl.com

 

Thank you

 

Hello Here4money,

I use CQG data feed and it is free if using NinjaTrader.

I am happy you are seeing some patterns to back test.

 

Yes. DTN IQFeed. No more than 6 months back, but high trade frequency and sample size. All intraday

 

Hello digitalnomad,

What do you mean by "but high trade frequency and sample size. All intraday" ?

 

Thanks

 

Not HFT, but frequently trade on same instrument allowing large sample size to analyze. I generally do this monthly in regards to statistical signifigance. Just collect real-time data until that point

 

Thanks digitalnomad for response.

I also trade intraday and I constant question the following "How many trades for this system I developed and backtested is statistically significance enough". I try to develop on recent data just to see the difference.

I am not sure I understand your comment. Can you go in detail please?

 

Sure. As much as I can. While I actually trade monthly, what I perceive to be the most optimal inputs for my algorithms, using my pricing model, I simultaneously run thousands of trade simulations across multiple instruments and time series. I choose the most optimal variation at discretion to trade live for the following month. Most would assume this by what I just typed, but the simulations take hours to run, and run on multiple machines