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Thanks, Ed. Much appreciated.
--- In amibroker@xxxxxxxxxxxxxxx, "Edward Pottasch" <empottasch@xxx>
wrote:
>
> hi,
>
> 1) on your first question I can say that I use IQFeed currently and
they have continues futures contract data. I find that for ES, YM, NQ
and TF contracts they roll over to the next contract at the same time IB
does. So I use the continues contract data they provide for backtests
and trade the corresponding contracts at IB accordingly. For CL and NG
contracts they postpone to switching to the new contract 1 day before
the last trading day of the old contract.
>
> 2) on your second question I believe there is a mixed intraday EOD
mode but not sure how to use it.
>
> 3) yes you can use foreign functions, see manual "foreign"
>
> rgds, Ed
>
>
>
> ----- Original Message -----
> From: rmicalet
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Friday, August 07, 2009 11:39 AM
> Subject: [amibroker] Questions about data management and advanced
backtesting
>
>
> 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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