Batching of backtesting

[doowell]

Hi, wondering if it's possible to automate backtesting in any way.

I have a strategy that I would like to optimise, by varying 16 different parameters. Doing it by hand would take about a year per market I follow! Is it possible to automate backtesting in anyway and control it from EFS or the Desktop API and then harvest the test results?

Thanks

[eSignal_JasonK]

Hello doowell,

Currently we do not have an EFS optimization feature you are looking for. Please feel free to submit a request for future consideration to our development team at [email protected].

You could develop the routine yourself with the Desktop API. However, the API only provides a means to access the data. Any indicators and back testing logic would need to be developed by you in your custom app.

[DavidZ]

Had to write my own backtest function

Hate to see an important question on backtesting die. I waited until ver 7.8 hoping eSignal’s backtester would get fixed so I wrote my own crude backtester/debugger so I can see what my code is doing. eSignal's backtester is an enormous code & statistical effort, unfortunately I don't trust it as Periodical Analysis/Daily Trading Summary ( both columns) are not reliable. ( Daily not even in ver 7.9.1, Hopefully being fixed to be put back in).

I created an Alert Function and send an Unique # to it immediately Before any simulated trade action taken (Stop, Profit Targets, Sell, Cover, Reverse etc)
Function has 3 sections: (these sections are clearly separated, could be 3 functions)
Alert.addToList to use Triggered Alert List ( for Real Time notification of each input)
Compute Profit per deal , cumulative Long / Short & Total profit
Used modified Trace.efs by Steve Hare, to create Tab delimited output for quick viewing in Notepad/Excel of changing conditions( stops, target, profit etc). Great for debugging, checking profit and making sure variables are reset properly.

There are several advantages of having all this in one function. The main reason is keeping a running text output of changes tried( with results), Actual Time I ran a Reload, edited a study parameter, or ran eSignal’s Backtest (what was that method I just tried?).

I am very near the point of attacking the heavy number crunching of optimizing multiple variables, but need to create "End of Routine Run" code and move important stats into an Array so I can do a quick sort at the end.

My free advice, for what its worth:
Get a debugging function done first, know where your variable are
Consider calculating profit like I did, your own baby backtest function.
Find a working strategy ( without being overly optimized) , think in terms of months/years trial and error and LOTS of backtesting and creative thinking. Play with various means of doing Trailing Stops, I would lose big time without them.

http://www.autohotkey.com/ is a nice free & powerful & complicated keyboard/mouse recorder that I use to help me download tick data, saves a ton of repetitive keystrokes and mouse clicks.