Backtester having trouble loading data

[Guest]

hello, I'm using backtester to test some high frequency intra day strategies and have come accross a bug that is preventing data being loaded intermittently for stocks and futures.

I've tried to get an answer to this from esignal customer services and they suggested I contact the forum.

I'm testing a simple strategy and more often than not I can eventually get testing results up.

The problem is that I have to click the "Test" button (restart the test request) about 10 times before I can get the data loaded. It doesnt load the data into the backtester first time every time. Its very frustrating and wasteful of time. Sometimes there's a nice surprise and it generates results first or second time. This is rare.

Let me know if you need more description to help me get to the bottom of this. Also if anyone else is having problems with this, please let me know.

The strategy I'm testing calculates 6 price points and fair value for each day being tested. I just want to emphasise this DOES eventually give me results but after much heartache and restarting of the backtester. I feel this shouldnt happen and is a bug. It needs to be reported.

thanks a million in advance for any help out there. if anyone else has these problems please let me know.

[ACM]

That can happen if the Strategy Analyzer itself has to request the data and/or the Time Template is set to Dynamic.
The best way to perform a back test is to first load a chart with the specific amount of data set through a Time Template and then run the back test on that chart.
For more information on how to use the back test module you may want to review the Back Testing Tutorials 1-3 which are provided in the EFS KnowledgeBase in the Help Guides and Titorials-> Beginner Tutorials folder
Alex

[Guest]

Thanks Alexis, that fixed it right away. The documentation however does state that it's not required to apply the time template to the chart.

"Once a back testing formula has been created, running the back test is very simple. First, it is recommended to apply the formula to the advanced chart in which you want to back test. However it is not required to do so. The amount of history the back test will process is dependant upon the data requested by the selected time template." (P2, Line 6 Back Testing Tutorial I).

I was selecting the time template from the back tester dialog box but this doesnt work, so it can be confusing for new users like myself.


Just wanted to point this out and many thanks for helping me.

- Mark

[Guest]

Futures back testing

Are there any plans to enable continuous contract back testing - I think this would be a fantastic feature to have if esignal could develop it? Thanks for having such a great tool, I'm finding it very useful for rapid idea exploration.

[ACM]

Mark
That functionality is already available. Create a chart for the continuous contract you want to use for the back test then run the script and the Strategy Analyzer on that chart
For information on user configured continuous contracts and how to create them see this article in the eSignal KnowledgeBase
Alex

Originally posted by markswall
Are there any plans to enable continuous contract back testing - I think this would be a fantastic feature to have if esignal could develop it? Thanks for having such a great tool, I'm finding it very useful for rapid idea exploration.

[Guest]

Thank-you Alexis. I have been trading off the Z 1!-EEI contract for some time yet the back testing always generates null trades without fail. Only Z M7-EEI generates results in the back tester.

I already phoned esignal support here in the UK about this on the customer services number and they informed me back tester was not available on continuous contracts.

I can run the test on the M7 june contract, no problem its just on the continuous contract I can't test, hmmmm... does this sound like I'm doing something wrong?

Are there any plans to build parameter searching and optimisation into back tester like in tradestation? This would be a major plus for esignal over tradestation. I find esignal more flexible to use than ts.

[ACM]

Mark
As far as I can see the Strategy Analyzer is working with the Z 1!-EEI (and other) continuous contracts as shown in the enclosed screenshots of the back tests run on a 15 minute and daily chart using eSignal 8.0 (build 782).
Alex

[Guest]

Aha - I found its not able to backtest on less than 15 minute resolution on a continuous contract. This is posing a problem for intraday strategies.

1 minute on the M7 - no problem.

1 minute on the 1! - no go.

Please can you help?

[ACM]

Mark
As far as I can see the Strategy Analyzer is working also with a 1 min interval (see enclosed screenshot)
At this point you will need to post your script for someone to be able to offer further help
Alex