Limitations of backtesting tick charts

[beaker]

Couple of questions...

I've started to write some backtesting code ... and my need is to backtest on tick charts.

1) I understand that soon eSignal will be increasing the current 60 days of intraday data (where lowest resolution is 1 min bars) to 6 months of intraday data. Will the current 10 days of tick data also be extended?

2) Say I've been keeping my own library of daily ticks for an instrument and say I paste 30 days of them together for the tick playback feature... and play all 30 days back. If I get 30 days worth of ticks on the chart (assumming that would work) ... could I then run the backtest on that chart's contents? Basically, if I can get the data on the chart (even if it doesn't come directly from the eSig tick server) ... will the backtest still chug on all 30 days worth of tick data?

Thanks.

[ACM]

beaker
1) eSignal has indicated that it will increase tick data availability to 15 days.
2) FWIW I have stitched together a few downloads and have successfully run backtests on that data.
Alex

[ScottJ]

Hi,

To clarify Alex's response on our tick history, we are evaluating the possibility of increasing our tick history from 10 to 15 days but we have not made a decision as of yet. We will be expanding our intraday interval history from 60 to 120 days starting with the release of 7.5 ( mid-Nov ) but the tick history will likely remain at 10 days for now.

From a general standpoint, we will be re-designing our tick servers so they can store and process data faster. While we are adding more intraday history with 7.5, it's unlikely we'll make any other major changes until the redesign is complete ( early q2 of 2004 ).

Thanks.

[beaker]

Scott, thanks for your response.

Can you also give your opinion of if I get 30 days of tick data on the chart through means of tick playback of a custom 30 days tick file .... would eSig backtesting properly chug on those bars?

Thanks

Thanks for your response too Alexis

[ScottJ]

eSignal has yet to incorporate a "data import" tool. As it stands today, aside from the tick replay, where data has been retreieved and stored locally, all requests for data go directly out to our servers. I'm not really sure how you'd patch tick replay files together and extend beyond that 10 days. Perhaps Alex or another user has found a work-around.

Thanks.