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I am trying to backtest using 5min intraday data. I'm on TS 4.0 b19.6. I
have been in the stock side of this business for years but I love this futures
stuff! I have been glued to the TS all day and tinkering with systems at
night, my wife loves it!
1.I have collected the S&P contract since july 1997 by renaming the the old
contract to the new contract ie sp8h is renamed to sp8m. The old data is
retained and the new data gets added/appended. At least, I think that is
happening.
How could I determine the beginning and ending dates in such a file?
2. when I apply a system to my files say the 5min SP I only get data and
system trdaes for about 14 days (12x8hrsx14 days=1344bars)( actually I should
note that I collect both sessions so maybe many more bars, but nowhere near a
limit?). This rolls forward each day or so, picking up the next day and
dropping the oldest. I would like to have a much longer system history.
How many bars would you consider to be a satifactory test of a 5min system? I
am trying to test a simple breakout system AROON with a few additional
filters. (Logan467@xxxxxxx Did you put AROON on the list months ago?)
(Hey!... I'm still on aol because my 80 year old mother is and checks her mail
three times a day expecting something from me)
How do I change increase the length of the data to be analyzed? I have
incresed the number of days to 100&500 with no change. maxbars back are 50 in
almost all cases. The lookback is not more than 25.
3. I also understand this non adjusted data is probably not the best where
would I be able to purchase intraday (Tick?) data - continuous and adjusted?
for the S&P, DOW30, Euro ND?
I have also seen some comments from some suggesting that their systems don't
need more than a few weeks test as they seem to adjust/reoptimize frequently.
How can that be a successful strategy?
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