Back Testing Intra-day Trades...

[Nvesta81 10]

Hi,

 

I'm looking to find intra-day data for at least a year or two to back-test a trading system I have in mind. Does anyone have any recommendations on where I could find a data provider and chart package that can accommodate my needs? I'm looking for something fair priced. My broker only allows me to backfill up to 30 days of intra-day data...

 

The charting doesn't have to be all that great as the trading system is fairly simple in nature. I'm more interested in getting the intra-day chart patterns, even if I have to do all the testing manually with a pen and paper.

 

thanks.

[Sparrow 10]

Hi Nvesta,

 

Check out this site, I haven't bought any data myself but it's not a bad idea.

 

Cheers

[zdo 20]

You might consider a one month subscription to TradeStation.

$100 ??

It's good for prototyping and visual marking etc.

[justlurkin 10]

Assuming OpenTick is good enough for your needs (not sure if you can get 2 years data, but 1 year should be fine, depending on product), you can download NinjaTrader 6. It is free to back test and simulate and they support OpenTick...

[thrunner 10]

TS has 6 months of tick data. Gain capital has some forex data for free but the quality may be suspect. You weren't specific about the instrument symbol, some one may have what you need for free. A good charting platform and backtesting is more important than you may think, a good platform can usually ferret out bad data and improve strategic backtesting.

[Nvesta81 10]

Thrunner, I'm looking for YM data. I'll check out some of these sources.

 

thanks for the replies people.

[torero 10]

TS has 6 months of tick data. Gain capital has some forex data for free but the quality may be suspect. You weren't specific about the instrument symbol, some one may have what you need for free. A good charting platform and backtesting is more important than you may think, a good platform can usually ferret out bad data and improve strategic backtesting.

 

True that TS offers only 6 months of tick data but if you look at the forum, there are users that has at least 2 yrs of tick data saved and shows you how to incorporate that into the platform you have. Mostly they are eminis (including Dow). I did this before changing to something else.

[torero 10]

TS has 6 months of tick data. Gain capital has some forex data for free but the quality may be suspect. You weren't specific about the instrument symbol, some one may have what you need for free. A good charting platform and backtesting is more important than you may think, a good platform can usually ferret out bad data and improve strategic backtesting.

 

True that TS offers only 6 months of tick data but if you look at the forum, there are users that has at least 2 yrs of tick data saved and shows you how to incorporate that into the platform you have. Mostly they are eminis (including Dow). I did this before changing to something else.

 

TS uses Gain feed for forex so it was one reason I decided to move out of TS (they are good at stocks and futures, but a lot more to be desired for forex, brokerage is dealing desk btw).

[brownsfan019 17]

nvest - I posted a link to a company that I purchased data from and it was quick, easy and cheap. I can't find the link now, but it's floating around TL somewhere...

[Dr Who 10]

A very good book to read is by Art Collins,

Beating the Financial Futures Market. He tests a lot intra day ideas on different markets.

[LS_Chad 10]

Take a look at the Trading System / Backtesting Videos on Investor/RT at www.linnsoft.com/videos. You can use Investor/RT with DTN IQFeed, and get 1.5 years of 1-minute data on ES (for instance) from DTN. Investor/RT will run you $79 per month for the Pro Backtester version. And if you need any help putting your system into Investor/RT, I'll be glad to lend a hand (I've been coding systems in IRT for 10 years).

[Guest forsearch]

Chad, which data source for I/RT has the most tick-by-tick historical data available? -fs

[LS_Chad 10]

Chad, which data source for I/RT has the most tick-by-tick historical data available? -fs

 

Unless something has changed recently, I believe you can get 8 days of tick data from IQFeed, and 50 from eSignal...although I think IQFeed provides much more 1-minute data (maybe 1.5 years vs 6 months for eSignal). I have heard some discussion that DTN will be expanding their tick limit in the near future, but I don't have the details.

 

If you really need years of tick data, there is a solution in tickdata.com. More information on pricing and how to pull tickdata.com data into IRT: http://www.linnsoft.com/tickdata/. You could purchase years of tickdata from tickdata.com, import that into IRT, and then continue to add another day each day from your realtime feed.