How To Backtest a Strategy?
Posted: Wed Dec 29, 2010 2:38 pm
Upd: See also how to backtest the strategy and optimize the strategy parameters using Indicore SDK 2.0 on FXCodebase Wiki:
http://fxcodebase.com/wiki/index.php/Op ... by_Step%29
How to Use Backtesting?
Notice: Hypothetical or simulated performance results have certain limitations. Unlike an actual performance record, simulated results do not represent actual trading. Also, since the trades have not been executed, the results may have under-or-overcompensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profit or losses similar to those shown.
Notice: We strongly recommend to use 1.09.101210 or later version of the Trading Station for strategies and backtests.
Backtesting is an execution of a strategy or signal on historical data. So, you are “pretending” that historical prices are happening “right now” and looking at how the strategy would work if the market would be as it had already been. So, to backtest you have to choose the strategy you want to look at and the historical range you want to test your strategy on. Usually it's interesting to backtest a strategy over a long period of time, such as months and sometimes years.
http://fxcodebase.com/wiki/index.php/Op ... by_Step%29
How to Use Backtesting?
Notice: Hypothetical or simulated performance results have certain limitations. Unlike an actual performance record, simulated results do not represent actual trading. Also, since the trades have not been executed, the results may have under-or-overcompensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profit or losses similar to those shown.
Notice: We strongly recommend to use 1.09.101210 or later version of the Trading Station for strategies and backtests.
Backtesting is an execution of a strategy or signal on historical data. So, you are “pretending” that historical prices are happening “right now” and looking at how the strategy would work if the market would be as it had already been. So, to backtest you have to choose the strategy you want to look at and the historical range you want to test your strategy on. Usually it's interesting to backtest a strategy over a long period of time, such as months and sometimes years.