Wealth-Lab 101

Discussion in 'Strategy Development' started by Gordon Gekko, Mar 2, 2003.

  1. Uhhh.. I admit I'm somewhat clueless on how to use Wealth-Lab Developer, but I'll learn.

    To start, where/how do I get intraday ES data to test systems on? Say I have a system and I would like to test it on 1, 3, 5 min. bars, etc. Where do I get this data?

    I have no idea if this means anything, but I have esignal, too. Can I get data from esignal? How are you backtesters that test intraday ES data getting your data to test systems with Wealth-Lab?

    THANKS :cool:
  2. nitro


    e-sginal offers intraday data for some number of days back. Qcharts does the same thing.

    Any of the vendors that WL developer supports that also supports an on-demand data server will work.

  3. Thanks, nitro, I got some data. 2000 bars of 5 min ES data.

    Now I have a couple more questions (to anyone):

    1) If I wanted to backtest on more than 2000 5 min bars, where would I get more data? I tried typing in like 10000 bars when getting the data from esignal, but it wouldn't work. I stepped down 1000 at a time from 10000 and 2000 is the first value that worked.

    2) I looked at the data in the data editor and I saw that there seems to be 24 hour data. If I wanted to test my strategies only from 9:30 to 16:15, how would I do that?

    THANKS :cool:
  4. u're going my way mr. gecko...
  5. What do you mean? Are we in the same boat? Or do you mean that you already know this stuff?
  6. onelot


    hey gg,

    wealthlab is a great tool for testing ideas and for helping to shape one's ideas about the markets. to answer your questions.

    1) qcharts has intraday data back to 97 for the minis. you'll need a program to get the data like hquotes or qcollector. this was the most economical route that i found for id data (definitely not the best data though).

    2) you would include a line like:

    if (MyTime > 930 ) And (MyTime < 1540) then begin

    in your buy and sell rules portion of you script. where mytime was assigned as an interger variable and was defined in you script as

    MyTime := GetTime(Bar);

    3) you didn't ask this question but if what i wrote above sounded like greek then you're probably wondering where you can learn more.

    go to the wealth-lab site and look at other intraday scripts. do searches on intraday in the discussion forum. basically, go to work. the elite forum probably won't be the best source for figuring out wealth lab script so i would concentrate your efforts over there. the community over there i've found to be extremely helpful in script development so you shouldn't have too many problems.

    a word of advice: pick apart other people's scripts. that's where most of the learning will be done. pick any script and try to do some variations off it so you get accustomed to the language. then begin trying to formulate your own. if you try from the gekko (hehe) to write your own you WILL get frustrated. i know because that's what happened to me. also, stick with it and acknowledge beforehand that it's gonna give you headaches. if you've never done any programming, it WILL give you headaches. as long as you're willing to work at it though, you'll get it.

    good luck,
  7. pretzel


    Hi Gordon ,

    You can backtest a system directly by running it on the realtime chart.

    • wl2.png
      File size:
      16.2 KB
  8. pretzel


    Here is the settings page. If I put in 3000 bars I only get 2000 bars maximum, I thinks that's a limitation of eSignal

    • wl1.png
      File size:
      8.8 KB
  9. Thanks for the help, pretzel. :)
  10. GG,

    Im glad you've invested in wealth lab. I think it will make you the trader you really want to be.

    #10     Mar 7, 2003