Straight-through Back-testing

I would like a strategy back-testing method that starts as far back as possible in the history, and runs straight through - rather than simply day by day. For example:

If you are running back-tests on a 15-minute chart, about the farthest back that you can back-test is 7 days - if you set your strategy up right. The problem is that you have to test each day separately - day 7, then day 6, then day 5, etc.. In addition, depending on the day of the week that you are testing in - like suppose that you are running your tests for the previous week on a Wednesday, Wednesday to Wednesday, that is - at least two of the days run the same. And for some days, it seems to be 3 days that run the same.

If you are running a 1-hour strategy, you can go back about 27 or 28 days max. But you have to run it in chunks rather than all of it in one shot. Four-hour settings go back around 110 days of history. But, again, you only get to run one chunk of it at a time. The chunk sizes vary depending on which hourly setting you use (or day or week). And it is difficult to tell if you have covered all the intervening spaces between each chunk.

Would it be too hard to set ActFx strategy back-tester up to have the option of running the maximum number of days back that you can go, and then continue running in one fell swoop right up to the present minute or hour? This way you could see in one glance what your strategy would have done over a single long period of time rather than broken chunks.

Thanks.

Black

Author	Message
black	Posted Wednesday, December 02, 2009
Supreme Being Group: Forum Members Last Active: 2 hours ago Posts: 462, Visits: 848 1,421	I would like a strategy back-testing method that starts as far back as possible in the history, and runs straight through - rather than simply day by day. For example: If you are running back-tests on a 15-minute chart, about the farthest back that you can back-test is 7 days - if you set your strategy up right. The problem is that you have to test each day separately - day 7, then day 6, then day 5, etc.. In addition, depending on the day of the week that you are testing in - like suppose that you are running your tests for the previous week on a Wednesday, Wednesday to Wednesday, that is - at least two of the days run the same. And for some days, it seems to be 3 days that run the same. If you are running a 1-hour strategy, you can go back about 27 or 28 days max. But you have to run it in chunks rather than all of it in one shot. Four-hour settings go back around 110 days of history. But, again, you only get to run one chunk of it at a time. The chunk sizes vary depending on which hourly setting you use (or day or week). And it is difficult to tell if you have covered all the intervening spaces between each chunk. Would it be too hard to set ActFx strategy back-tester up to have the option of running the maximum number of days back that you can go, and then continue running in one fell swoop right up to the present minute or hour? This way you could see in one glance what your strategy would have done over a single long period of time rather than broken chunks. Thanks. Black
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stone	Posted Friday, December 04, 2009
Forum Guru Group: Forum Members Last Active: Thursday, September 30, 2010 Posts: 21, Visits: 20 63	Hello Black, It looks like you have noticed the same problem as we have discussed in the topic 'Strategy Tester'. If really so, I can gladden you - they know about it and will fix. :-)
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black	Posted Tuesday, December 08, 2009
Supreme Being Group: Forum Members Last Active: 2 hours ago Posts: 462, Visits: 848 1,421	stone (12/4/2009) Hello Black, It looks like you have noticed the same problem as we have discussed in the topic 'Strategy Tester'. If really so, I can gladden you - they know about it and will fix. :-) Thank you. Can't wait.
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dwight	Posted Wednesday, December 16, 2009
Forum Member Group: Forum Members Last Active: Friday, February 05, 2010 Posts: 17, Visits: 26 35	I heard that in some other platform it is possible to use several hundred values at once...
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eMoe	Posted Friday, December 18, 2009
Supreme Being Group: Forum Members Last Active: 2 days ago @ 2:45 AM Posts: 201, Visits: 299 619	The Tester is perhaps the weakest part of ActFX. (As to my opinion, the language is great). Actually, the design and functionality of the tester is fine too, but I often face the problem of chart data lack. Best regards!
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scriptor	Posted Friday, December 25, 2009
Supreme Being Group: Forum Members Last Active: Monday, October 04, 2010 Posts: 67, Visits: 186 183	I also vote for this functionality Sincerely, Benjamin Hoover
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Stephan	Posted Friday, January 15, 2010
Forum Member Group: Forum Members Last Active: Monday, January 25, 2010 Posts: 8, Visits: 14 28	Does anyone know when this functionality would be available?
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Straight-through Back-testing

Straight-through Back-testing

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