Backtesting Intraday

[kd7]

Is it possible to backtest on intraday data? I've tried constructing EFS studies, but the backtester keeps using daily data rather than intraday tick data. If anyone could point me in the right direction or tell me that it's not possible, it would be very helpful.

[DuaneG]

Hi Kd,

Yes, it is possible to backtest intraday data. The way this works is by applying an EFS file that has been formulated to be backtested. We have included a few examples in the program as an example. In this case, you would want to apply the EFS to an intraday chart through the backtesting dialog window.

Figure 1



Once all the parameters of the backtest are complete, you can check the result by hitting the Test button. This in turn generates the Strategy Analyzer

Figure 2



I would suggest first working with some of the default EFS, backtesting formulas and then applying the appropriate code to your own studies to get familiar with the process. I hope this helps.

[Gavishti]

Duane,

Is there any way to use a $PLAYBACK tick file with the back tester? It would give more accurate results than an interval chart.


Thanks

[DuaneG]

Hi Gavishti,

This is quite possible albeit a multi step process.

One must begin by downloading data via the Tick Dowloader

Figure 1



Next, you have to play the file via the Tick Playback feature.

Figure 2



....and finally, you run the file through the Backtesting feature.

Figure 3



Hope this helps.

[Gavishti]

Thanks. I'll give it a try.