Data Collection for Strategy Forward/Back Testing.

Hello,

Currently, I been forward testing my trend intraday retracement trading strategy for about a 4 months now. I have been learning/reading/brainstorming to program this system in my spare time for backtesting which will decrease my testing time and allow me to view results efficiently.

I come ET for logically opinions as move forward.

My questions is:

1. I trade resistance and support levels, entry on retracements. Will a backtesting software collect data on retracement distance from the levels? In other words, I would like to know once price breaks the levels, how far does price retrace back to level allowing me enter. This will help me with where to enter limit order based on this data. Currently, I calculating this per trade by hand.

2. Any recommendation of data collection when testing a retracement trading strategy? So far I am manually collecting the following data: time of entry, how far (below or above level) price goes in opposite direction from my entry, how far price goes in my favor per entry.

Can a backtesting software or collect this data for me?

I do not mind sharing my system on here if it helps to understand what I am trying to accomplish and where I am stuck at as far as data collection. Please let me know.

Thank you.

 

http://prntscr.com/di9901

Here is an example even though this example would have resulted in a loss as I wait for price to break the resistance and I enter limit order at some distance above the resistance. I am trying to decide the optimal retracement to enter limit order from data collection for this type of setup.

Or is it best I just continue with the logic or rational of "I will enter at distance above resistance because my stop will be here cause for this type of setup I don't want to lose this much money. And if I never get a retracement that fills me, then I simply wait for another setup"

Thanks,

 

My approach would be to purchase historical intraday data, and optimize/analyze on that in Excel. Of course, I'd have to know how to automate the calculations of "support" and "resistance."

I have no knowledge as to whether the named-brands (NT MT etc.) can do what you are asking...I'd like to think they could.

 

Thank you userque for response.

The support and resistance I use can be calculated daily. Your approach is a good idea with Excel if the levels can be calculated.

 

No problem.

I'm sure the levels can be calculated; the hard part would be converting "however way you draw the levels on charts" ... into code. There is some process that you use mentally, that you must be able to articulate to a coder. These "internal rules/calculations" are hard for some to realize and articulate.

 

Thank you userque for response.

I calculate the levels (a certain price) at night and trade them the next day.

Yes, I understand mentally this must be explained to a coder logically. I am going to try and code myself.

I think Excel can calculate at this distance of retracement for me. I will proceed into how to accomplish this with Excel, my levels and some historical data.

Thank you

 

Excellent!

Let us know if you need assistance...and please keep us posted!

 

Thank you userque for response.

I am sure I will need help sooner or later. But I like ET for the logical thinking and reasoning and debates.

I am still in the early stages of writing down what I want to do test for when ready to code or have someone code. I am not a coder, atleast not yet.

 

I recommend:

1. Deciding what time frame you will work with (1, 5, 10, 15 min.?)
2. Converting raw data into a format you prefer
3. Laying-out/Calculating the spreadsheet columns, for example: DATE, O, H, L, C, V, SUPPORT, RESISTANCE, RETRACEMENT LEVELS, STOP LOSS LEVELS, SIGNALS, ETC.

All of the above can probably be done without writing any VBA code (depends upon how complicated calculating your support/resistance levels are, etc.); just using excel formulas. VBA may not be needed at all; you may be able to get by with using Excel Solver instead.

 

Thank you userque for response.

Your recommendation is a good starting point.

A few questions of Excel capabilities (I use excel, but not for programming) for what I am thinking and I can research on how to code it afterwards:

1. With the historical data and the support and resistance known, can i can calculate the distance price retraces back to support or resistance before going up or down? This way I can say "after +500 trades, prices retraces back to support or resistance by X ticks the most"? This way I have idea the optimal place to use limit orders for entry.

Because right now I trade discretionary and just pick entries. I would like to quantify it.