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Hello Eugene,
One strategy I would like to test involves intraday trading but 'in
theory' the multiple intraday trades interlink together to work over the
long term for at least 6 months and ideally 18 months. First I need to
reverse engineer a version of the reported trading strategy to see if it
works and then I want to be able to go back beyond 18 months and test to
see if will hold up under previous conditions and movements, hence the
requirement for long term intraday data.
I want to see is the success of it over the last year a one off
condition? Does it matter when the strategy starts? Could I tweak the
strategy to make it work better under unfavourable conditions etc. etc.
Also, in the past I have developed strategies that work well in 2004,
but fails miserably in 2002. So I would prefer to be able to test a
strategy the works well in any year, as far back as I can go.
If no better solution is forthcoming then I will use your solution to
'chunk' the data down to minute resolution so your tip has been filed
away :-)
Regards
Alan
Eugene wrote:
>the reason for my suggestion is because if you are looking for a
>sample of intraday history 6 months of intraday history is the
>equivalent of 4 years daily history on an hourly chart if the market
>is open for 8 hours a day. I would hope that it would be enough to
>backtest any strategy.
>
>
>
>--- In amibroker@xxxxxxxxxxxxxxx, Alan Lam <firehorse888uk@xxxx> wrote:
>
>
>>Eugene wrote:
>>
>>
>>
>>>--- In amibroker@xxxxxxxxxxxxxxx, "firehorse888uk"
>>><firehorse888uk@xxxx> wrote:
>>>
>>>
>>>
>>>
>>>>Hi,
>>>>
>>>>Current spec AMD 1800+, 1.5GB
>>>>Will be upgrading to AMD 3200+, 2GB
>>>>
>>>>I'm loading large forex databases and it's getting slow. 14
>>>>currencies, tick data from 2000 onwards. I'm importing source data
>>>>month by month. I'm up to 2003 Nov and it's taking 2-3 hrs to
>>>>intialise/load all the currencies. Current database folder is 1.08GB.
>>>>The actual importing of data of each month only takes a few minutes.
>>>>
>>>>If I have 2GB ram, what is the best settings in the data page. I've
>>>>read in past posts to set "in memory cache" to 11. But there are 2 "in
>>>>memory cache", Symbols and Maxdata. Which one or should both be set
>>>>to 11?
>>>>
>>>>Windows XP - paging size 2GB-4GB.
>>>>Mem Usage - Adjust best performance for "programs"
>>>>
>>>>And is there anything else/settings in amibroker/windows to speed
>>>>things up in the above particular case?
>>>>
>>>>Thanks
>>>>Alan
>>>>
>>>>
>>>>
>>>>
>>>May I suggest using only 6 months of intraday history and creating a
>>>mixed database with eod data and intraday data.
>>>
>>>What I would do is import 6 mos data at a time and then compress it to
>>>daily. Use the following afl if you like...
>>>
>>>dao=TimeFrameGetPrice("O",inDaily,0);
>>>dah=TimeFrameGetPrice("H",inDaily,0);
>>>dal=TimeFrameGetPrice("L",inDaily,0);
>>>dac=TimeFrameGetPrice("C",inDaily,0);
>>>Filter=C>0;
>>>AddColumn(dao,"Open",1.4);
>>>AddColumn(dah,"High",1.4);
>>>AddColumn(dal,"Low",1.4);
>>>AddColumn(dac,"Close",1.4);
>>>
>>>
>>>
>>>
>>>
>>Hi Eugene,
>>
>>Thanks for the code to convert intraday history into daily.
>>
>>However, I didn't explain what I was trying to do. I'm testing for
>>
>>
>intra
>
>
>>day transactions so daily history would not serve this purpose.
>>
>>I'm wondering if there are any particular settings that would optimize
>>Windows or Amibroker for this purpose.
>>
>>Regards
>>Alan
>>
>>
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