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