Backstudy of Futures

[mdausman]

When a backstudy is executed, it uses the price delta of the symbol between the buy and sell to calculate PnL. However, when dealing with Commodities and Futures, each tick/dollar/etc. is worth $5/$12.50/$50/etc.

Any ideas on how to tell the Backtesting engine to use a multiplier in its calculations?

[dloomis]

Try trading x contracts in the backtester, where x = the # of points per futures contract.

[DanDuchardt]

Backtest Report

Originally posted by dloomis
Try trading x contracts in the backtester, where x = the # of points per futures contract.

Hi Dave

I have a more fundamental problem. New user (V7.2) trying to run one of the provided test scenarios (BtMovingAverage.efs). I know the test is running and depositing a report file (*.xml) in the BtOut folder, but how do I view it? Apparently a new sindow is supposed to open, but it does not. What if I have saved reports that I want to view at a later time? How do I read these files?

[dloomis]

HEY DAN!

Welcome aboard!

Here is what I do to see the report

Right click on the chart, Tools, Backtesting

Fill in the squares and hit Test.

Then a eSignal Strategy Analyzer comes up in it's own window

Are you still running that TRS80?

There is an icon for saving the files flater in html format, so you can call them up from the saved location.

What version are you running, btw?

PS - You did tell them I refered you, right?

[dloomis]

see if you have this on your screen

[dloomis]

and this

[DanDuchardt]

[Then a eSignal Strategy Analyzer comes up in it's own window]

The problem is this window never opens. When I try to open one of the reports using File\Open I get an error message saying "unexpected format"

[What version are you running, btw]

7.2 build 544 1/27/2003

[PS - You did tell them I refered you, right?]

OOPs! I messed up on that I guess. I just wandered over to their booth at the Expo and signed up.

Yes I do have the study up on my chart, and it looks like yours except I'm doing it with a Renko chart

[JayF]

Hello Dan,

"juano" from this thread is also reporting a similar issue. Please check that you have the latest version of Internet Explorer. Not having that could cause errors as you describe.

[DanDuchardt]

JayF,

Thank you for the reply and for directing me to the related discussion. I spoke to tech support today and they were unable to arrive at a solution.. so far. I am running eSignal V 7.2 (Build 544) and I have been running IE V 6.0.2600.0000 for at least a year now on a stable (believe it or not) Windows 98 machine. Here is some additional information:

I am certain that when I run a backtest an output file is created in eSignal\BtOut with a .xml extension. If I try to open one of these file from within eSignal I get an error dialog box that says "Unexpected File format".

I determined that my system (which has Netscape set as the default browser) would open these files in Netscape if I double clicked the file outside of eSignal. All I saw in Netscape was an unformatted stream of readable words and numbers.

I went into the File Types area of Folder Options and changed the .xml extensions to open in IE. If I now open these files I see the bracketed codes identifying the fields, and the expand and collapse buttons (+ and -) for each record (and these do work). The first record of one of the files looks like this (the data is for ES H3):

- <BackTester>
- <BarData>
<BarIndex>0</BarIndex>
<Date>02/14/2003</Date>
<Time>09:31:00</Time>
<Open>819.25</Open>
<High>819.75</High>
<Low>819.25</Low>
<Close>819.75</Close>
</BarData>

I can scroll to the end of the file and see the summary section, and all the trades along the way in proper sequence with the individual bar records.

I opened one of the files in Word and I see the same thing except for the expand/collapse buttons not being there. Using a series of string manipulations I created a tab delimited text document for reading into Excel, which I used to sort the records to isolate the trades and calculate the results. The summary numbers in the .xml file agree with the Excel results with one exception. In every file I have looked at the report file says the TotalShortProfitLoss is zero, even though many short trades have been recorded. The Excel spreadsheet I created for the one file tells a different story. There are in fact short profits and losses in the records that do not net to zero.

FWIW, I noticed that while doing the string manipulations in Word that there were some unreadable characters in a few of the records toward the end of the file, and in a few cases I encountered some unexpected residual strings I thought had already been replaced. Maybe Word just missed some, but I suspect there might be a few more invisible characters lurking here and there.

Hope this is helpful.

[JayF]

Dan,

I believe I mistook your post. I thought it was related to juano's, when in fact they are different. His issue was that he could not use the Back Tester at all. In rereading this thread, it seems your question is with the .xml files and how to read them. This thread has a post from Dion that discusses this process.

[DanDuchardt]

You were right the first time. I was unable to use the Back Tester as intended. I just happened to observe that the .xml files were bing created and went poking around in them to see if I could dig out the information.

I have it working now, as intended. The normal Back Testing Strategy Analyzer window opens, and I can see all the different pages, charts etc. I believe the reason it works now and not before is that not all IE6.0 are created equal. I've had mine for a long time. Last night I ran it through the update process, and now it is working.

I was unable to link to the discussion from Dion. Apparently I need some additional authorization. It takes me to the same form I already filled out to gain access in the first place. Do I really have to fill out a new form for every board I want to visit?? Seems strange to me.

I would like to know more about how one can use these saved files, hopefully to load them into the Analyzer. Right now I have the results of a backtest open that I have saved as the default .HTML file. I'm nervous about closing it and trying to reopen it. If I try to open it from within eSignal I get that same error message as when I try to open one of the .xml files. I cannot find anything that will let me open the Analysis window and load in a saved file. the description in the Help area says nothing about how to open a report, just how to read one.

Originally posted by JayF
Dan,

I believe I mistook your post. I thought it was related to juano's, when in fact they are different. His issue was that he could not use the Back Tester at all. In rereading this thread, it seems your question is with the .xml files and how to read them. This thread has a post from Dion that discusses this process.

[JayF]

Not sure why you can't access that thread, but here's Dion's post that has the information you are looking for.

Originally posted by DionLoy
You can open up previously run backtesting strategies by running the program SPReportM.exe in your \Program Files\eSignal folder. After that, click on the 'Open' icon, and browse to the BtOut\<etc> folder to find the saved XML files. That should open up the strategy report.

[DanDuchardt]

Thanks JayF,

I'm still learning my way around eSignal, and finally figuring out how to get back to follow up on messages I have posted here. I just found the executable and used it to open one of my saved files. Exactly what I was looking for.

Originally posted by JayF
Not sure why you can't access that thread, but here's Dion's post that has the information you are looking for.