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I am a new amibroker user, desperately trying to get up to speed on the
more advanced aspects of the software. My ultimate goals are to be able
to backtest stocks, futures, and currency strategies on 1-minute bar
data going back 10-12 years, and to backtest daily strategies for the
same instruments going back even farther. I have both Interactive
Brokers and eSignal real-time and historical data.
I have three questions for which I would be extremely grateful if any
experienced users had any insight on:
1. What is the best way to manage, store and manipulate futures data?
Given that there are multiple contracts, is it best to store each
individual historical contract and to simulate the rolls in the
backtests (if so, any guidance on how exactly to do this would be
greatly appreciated)? Or is better (easier?) to apply strategies to a
continuous futures contract (despite the fact that if the contract is
back-adjusted, the price levels will be distorted through time)? eSignal
appears to have its own continuous futures contracts ready to go out of
the box (I just subscribed to eSignal today, so I'm not sure how they
compute their continuous contracts--I'm assuming they back-adjust
them)--do most users simply run strategies against these continuous
contracts?
2. As mentioned above, I'd like to test strategies on daily data and on
1-minute bar data for a variety of asset classes going as far back in
history as possible for the given data. Does that mean I should create
two databases, one for daily data and one for 1-minute bar data from
eSignal? Are there any considerations I should be mindful of if I'd like
to combine data from multiple databases during a backtest? Is this
possible? eSignal claims to have intraday data going back to 1997--can
amibroker read in 1-minute bar data going back this far (there seemed to
be a limit on the number of bars one could specify in the "new database"
dialog box)? If not, how could I incorporate all of eSignal's intraday
history into an amibroker database?
3. Lastly, is it possible to incorporate cross-asset information in
strategy development? For example, let's say I'd like to develop an
intraday trading strategy for the S&P 500 using technical indicators of
the S&P 500 as well as technical indicators of other assets (currencies,
commodities) and non-tradable indices (e.g., TRIN, TICK,
advance/decline, etc.)? Cursorily looking at the custom backtester
interface tutorial, I get the sense that it *is* possible, but I would
be grateful for pointers to any reference material that might describe
how one can get price data for symbols that aren't under consideration
to be bought or sold. Further, is it possible using the custom
backtester interface to run cross-sectional regressions on a list of
assets (where the asset list might change dynamically over the course of
the backtest)?
I apologize if the questions above are elementary, but would be
extremely grateful for any insight, guidance, or pointers to reference
material that would help me along the way. Thanks for your time and
consideration.
Kind regards,
Ray Micaletti
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