In this thread, I will be teaching readers one of my methods for performing accurate backtests of automated trading systems as well as post-test analysis. This method is great for someone who does not have much start up capital as it is [B]completely free[/B], yet still very powerful and comprehensive.
My aim is to help readers set up a complete system development infrastructure. By the end of the tutorial, one will be able to very easily develop and test trading systems with a high efficiency.
The setup process is pretty straightforward:
- Download tick data
- Format the data so it can be used in our testing
- Streamline steps 1 & 2
- Further formatting so we have the data required to test various styles of algorithms
- The actual backtesting
It primarily focuses around MetaTrader 4 but also incorporates other software designed around MT4 that are easily accessible for any individual (as well as a small piece of Python code I wrote a couple days ago).
This thread will cover:
[li]Setup and Tools Required
[/li][li]Getting Tick Data
[/li][li] Formatting Tick Data for MT4
[/li][li]Converting to Various Time Frames
[/li][li]Backtest Result Analysis Technique
[/li][li]Portfolio Backtest and Analysis
In the following posts I will start discussing each in detail. I recommend readers to read this thread in order as it is step-by-step.
Note: I am not endorsed by any of the companies or products I am discussing. In no way do I intend to sell anything. I’m in a giving mood today.
If you’d like to collect your own tick data from any broker via MetaTrader 4, visit this thread: