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Hi david,
I have no stake in AB (apart from being a rather happy user), these
represent my personal opinions and experience.
AB database can be configured to import prices tick by tick, the
backtester can be run with up to single tick granularity, no problems
there, moreover this is probably the fastest backtesting platform on
the retail market short of custom coding, you shouldn't find
performance problems at tick resolution.
As for other popular products price series hold OHLC, Open Interest
and Volume, no standard facility for bid/ask, you'll have to play some
tricks to use those (eg.: use two series instead of one), there's a
custom backtester mode that allows you to do and control pretty much
anything, if you are willing to spend the hours/days to learn the
programming language.
I use 1-min average (actually bid) forex data, I simulate the spread
(ask/bid) in my buy/sell/short/cover rules, actual trade price can be
controlled in the code. I also customized the way margin is computed
to reflect a particular market maker rules (Oanda).
Not asked but I'll say this anyway:
Biggest plus: the sw author (TJ) is completely dedicated to improve
the already impressive product, no nonsense, no marketing BS at all
Biggest minus: documentation, you'll end up digging this list for help
like the rest of us, and you'll get your answer more often than not
neuro
On 9/11/05, Tomasz Janeczko <amibroker@xxxxxx> wrote:
> I wrote you already that importer in 4.71 and up
> supports importing TRADES tick data.
> Bid/ask is not trade, it is offer (quote).
> (unless you speaking forex - in that case you can use
> either bid or ask as "trade" price.)
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "david_w_t" <davidwt@xxxxxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Sunday, September 11, 2005 5:00 PM
> Subject: [amibroker] Using historical tick data for backtesting
>
>
> >I wish to know if anyone has actually imported/used tick data
> > (timestamp, bid, ask data) for backtesting purposes. If so, can you
> > give a brief description of how it went? difficulties?
> >
> > The demo version is the standard version, so I can't test the use of
> > tick data and was hoping someone has been able to.
> >
> >
> >
> >
> >
> >
> > Please note that this group is for discussion between users only.
> >
> > To get support from AmiBroker please send an e-mail directly to
> > SUPPORT {at} amibroker.com
> >
> > For other support material please check also:
> > http://www.amibroker.com/support.html
> >
> >
> > Yahoo! Groups Links
> >
> >
> >
> >
> >
> >
> >
>
>
>
> Please note that this group is for discussion between users only.
>
> To get support from AmiBroker please send an e-mail directly to
> SUPPORT {at} amibroker.com
>
> For other support material please check also:
> http://www.amibroker.com/support.html
>
>
> Yahoo! Groups Links
>
>
>
>
>
>
>
--
Janeczko for President!
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