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Keith,
I placed an order to buy those CDs. Do you have any problem to read data from them into amribroker? Is the quality of data good?
Thanks.
Charles
--- In amibroker@xxxxxxxxxxxxxxx, Keith McCombs <kmccombs@xxx> wrote:
>
> Mike, gariki, and James --
> I have stock data from PItrading.com. 1100 stocks, most going back 7 years.
> AB uses 40bytes to store one data point, OHLCV. That means for 1min of
> data 15,600 bytes per day, 3,931,200 bytes per year. For 1100 stocks
> that is 4,324,320,000 bytes, 4GB for one year. I'm running XP64 with
> 8GB RAM, which is about my limit without a lot more $ for RAM. Most of
> the testing I do requires portfolio testing with large number of stocks
> with few trades per stock.
>
> PITrading has a 'market' disk which contains over 235 actively traded
> symbols, including ten futures with from 5 to 12 years of data each.
> Check with them as to how they handle rollover date.
>
> With my particular strategies, I see practically no difference between
> having running with SetBarsRequired(sbrAll, sbrAll); present or
> commented out. I ran this simple test with the same strategy on two
> equities:
> AAXJ, has data going back only to 8/18/08.
> BHI, has data going back to early 1992.
>
> I optimized for a variable which was set to a random number on each
> iteration. I also included in the strategy Buy = C < .01 AND (rest of
> strategy); // so no trades are generated
> EOD data was used and the Range was 8/1/2008 to 12/31/2009.
> Optimize: 1000Steps 2000Steps
> AAXJ 3secs 7secs
> BHI 8secs 16secs
>
> The tests were performed multiple times giving each stock a chance to be
> cached in RAM.
>
> Thank you for your feedback. But I would still like to try breaking the
> data up into smaller time periods and would appreciate suggestions on
> how to go about it.
> -- Keith
>
>
> gariki wrote:
> >
> >
> > I have done exactly this recently; but with only about 5years of
> > intraday 1min data. In the end once the 5year database got loaded (the
> > initial database creation took a while) i started using that database
> > instead of the five 1year databases and used walkforward settings to
> > set the backtest periods to 1year intervals. Backtesting did not seem
> > to be slow for me on the bigger database so it worked out well.
> >
> > This saved me a bit of time since i dont need to switch between
> > databases etc.
> >
> > BTW, you mind revealing where you bought your data from and how much
> > it costs; i am myself contemplating buying some futures 1min data from
> > http://disktrading.is99.com/disktrading/#data1.
> > <http://disktrading.is99.com/disktrading/#data1.> The cost seem pretty
> > reasonable and i will have 7 more years of intraday data than i
> > currently have.
> >
> > thanks
> > -gariki
> >
> > --- In amibroker@xxxxxxxxxxxxxxx <mailto:amibroker%40yahoogroups.com>,
> > "Mike" <sfclimbers@> wrote:
> > >
> > > Kieth,
> > >
> > > I will admit that I have not used it. But, wouldn't a single
> > database using QuickAFL solve the problem for you?
> > >
> > > Mike
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx
> > <mailto:amibroker%40yahoogroups.com>, Keith McCombs <kmccombs@> wrote:
> > > >
> > > > I recently purchased 1min historical data, in ASCII format, for
> > system
> > > > development and backtesting. Some of it goes back many years and
> > > > therefor the files can be enormous. I have NO problem with how much
> > > > disk space they take up. However, I do mind how much time is used in
> > > > back testing.
> > > >
> > > > One of my thoughts is to somehow break the data up into smaller time
> > > > periods, for example years with some overlap of November and
> > December.
> > > > So I might have one data base that goes from 11/1/1998 to
> > 12/31/1999 and
> > > > the next from 11/1/1999 to 12/31/2000, etc. This would
> > allow/require me
> > > > to test one year at a time, which might also help me keep my "back
> > > > testing" separate from "forward testing" I might also consider even
> > > > smaller time periods such as quarters or months or weeks.
> > > >
> > > > Has anyone else thought about, or better yet, done this?
> > > >
> > > > Is there any efficient (time wise) way to implement this. I don't
> > care
> > > > about disk space; it's cheap.
> > > >
> > > > Your thoughts and suggestions are appreciated.
> > > > -- Keith
> > > >
> > >
> >
> >
>
------------------------------------
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