Backtesting and Interactive Brokers... your solutions?

Discussion in 'Strategy Development' started by cfree5119, Nov 10, 2011.

  1. What do you all use to backtest when your broker is Interactive Brokers? Looking for some solid solutions to test strategies. Thank you.
  2. Might I add... would like it to be Mac compatible.
  3. ssrrkk


    Java, mySQL, Python, R
  4. Tick data (historical) is also important; your strategies will be tested on data, and where data is concerned "garbage-in-garbage-out" applies in backtesting.

    Make sure you have clean historical tick data (i.e. bad ticks removed). And if you're testing over bars or candles, build these yourself from your tick data to be sure you can trust the High and the Low.

    Here's a paper from Tick Data (no relation!) on data filtering:
  5. JackR


    There are those who feel that since we don't trade against clean data, one shouldn't test against clean data. Filtering for bad data should be done locally so as to recognize and filter only that data that will affect a specific system. IB's data stream is a sampled (time-slice) stream and presents its own challenges.

  6. Why not run XP OR W7 on a vmware instance on your Mac? Why limit yourself to the Mac world?