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How to Backtest and Optimize Parameters using SDK 2.0?

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How to Backtest and Optimize Parameters using SDK 2.0?

Postby Nikolay.Gekht » Thu Apr 07, 2011 12:11 pm

We recently released Indicore SDK 2.0. Now you can use it to backtest and optimize the strategy parameters with new, ultra fast and precise market simulator, using 1-minute price archives for the whole Jan 2010-Mar 2011 period.

Please read how to use the Indicore SDK 2.0 here:
http://fxcodebase.com/wiki/index.php/Op ... by_Step%29

Please also read articles here for more information about SDK, prices, backtesting and parameter optimization:
http://fxcodebase.com/wiki/index.php/Ca ... ndicoreSDK
Nikolay.Gekht
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Re: How to Backtest and Optimize Parameters using SDK 2.0?

Postby alepan72 » Wed Apr 20, 2011 11:07 am

Good work, as always!!!
The new SDK is simple and mutch better than older one.
I have all historical archives from
http://fxcodebase.com/wiki/index.php/Co ... ce_Archive

and I wonder if it's possible to have the price archive for 2009. I observed that between two years (2009 and 2010) there is big difference in the way that price go on.
So, if we can backtesting both years we draw useful conclusions on the strategy that we use.
Thanx in advance and best regards for your services!!!
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Re: How to Backtest and Optimize Parameters using SDK 2.0?

Postby mfoste1 » Fri Apr 22, 2011 1:31 pm

i think something might be wrong with indicoresdk download....i try to open strategy debugger to backtest and it keep saying "no one strategy can be found"

could someone please tell me what is wrong or what im doing incorrectly?

thanks
mfoste1
 
Posts: 66
Joined: Thu Oct 21, 2010 6:55 pm

Re: How to Backtest and Optimize Parameters using SDK 2.0?

Postby sunshine » Sat Apr 23, 2011 2:06 am

alepan72 wrote:Good work, as always!!!
The new SDK is simple and mutch better than older one.
I have all historical archives from
http://fxcodebase.com/wiki/index.php/Co ... ce_Archive

and I wonder if it's possible to have the price archive for 2009. I observed that between two years (2009 and 2010) there is big difference in the way that price go on.
So, if we can backtesting both years we draw useful conclusions on the strategy that we use.
Thanx in advance and best regards for your services!!!


Hi alepan72,

Thanks for your feedback.

I've asked fxcodebase developers to upload the historical data for 2009. I'll post link here once the data will be available.
sunshine
 

Re: How to Backtest and Optimize Parameters using SDK 2.0?

Postby sunshine » Sat Apr 23, 2011 2:15 am

mfoste1 wrote:i think something might be wrong with indicoresdk download....i try to open strategy debugger to backtest and it keep saying "no one strategy can be found"

could someone please tell me what is wrong or what im doing incorrectly?

thanks


Hi mfoste1,

You should copy the strategy you are going to optimize to the strategies folder. This folder is located in the folder where the Indicore SDK 2.0 is installed. By default the path is:

C:\Gehtsoft\IndicoreSDK\strategies

Just place your strategy to this folder and the error won't appear.
sunshine
 

Re: How to Backtest and Optimize Parameters using SDK 2.0?

Postby mfoste1 » Sat Apr 23, 2011 9:33 am

sunshine wrote:
mfoste1 wrote:i think something might be wrong with indicoresdk download....i try to open strategy debugger to backtest and it keep saying "no one strategy can be found"

could someone please tell me what is wrong or what im doing incorrectly?

thanks


Hi mfoste1,

You should copy the strategy you are going to optimize to the strategies folder. This folder is located in the folder where the Indicore SDK 2.0 is installed. By default the path is:

C:\Gehtsoft\IndicoreSDK\strategies

Just place your strategy to this folder and the error won't appear.


yea i tried this and its still giving me that same message
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Re: How to Backtest and Optimize Parameters using SDK 2.0?

Postby oceanus1 » Mon Apr 25, 2011 3:23 pm

I have come across data from forextester.com that is in a *.txt format and appears to be complete in 1m duration and from 2001 through 2011. Is there any way that this data can be converted to work in SDK?

Here is the first part of the data
<TICKER>,<DTYYYYMMDD>,<TIME>,<OPEN>,<HIGH>,<LOW>,<CLOSE>,<VOL>
EURUSD,20010102,230100,0.9507,0.9507,0.9507,0.9507,4
EURUSD,20010102,230200,0.9506,0.9506,0.9505,0.9505,4
EURUSD,20010102,230300,0.9505,0.9507,0.9505,0.9506,4
EURUSD,20010102,230400,0.9506,0.9506,0.9506,0.9506,4
EURUSD,20010102,230500,0.9506,0.9506,0.9506,0.9506,4
EURUSD,20010102,230600,0.9506,0.9506,0.9506,0.9506,4
EURUSD,20010102,230700,0.9505,0.9507,0.9505,0.9507,4
EURUSD,20010102,230800,0.9507,0.9507,0.9507,0.9507,4
EURUSD,20010102,230900,0.9507,0.9507,0.9507,0.9507,4
EURUSD,20010102,231000,0.9507,0.9507,0.9507,0.9507,4
EURUSD,20010102,231100,0.9507,0.9507,0.9506,0.9507,4
EURUSD,20010102,231200,0.9507,0.9507,0.9507,0.9507,4
EURUSD,20010102,231300,0.9507,0.9507,0.9507,0.9507,4
EURUSD,20010102,231400,0.9507,0.9507,0.9507,0.9507,4
EURUSD,20010102,231500,0.9507,0.9507,0.9507,0.9507,4

Thanks for the help in advance
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Re: How to Backtest and Optimize Parameters using SDK 2.0?

Postby Nikolay.Gekht » Mon Apr 25, 2011 3:58 pm

Yes. The SDK format is pretty similar (http://fxcodebase.com/wiki/index.php/Pr ... ile_Format), so any language for the text processing can be used.
The only point is that SDK requires both, bid and ask data, but you can easily get them by adding some fixed spread.
If you need help in converting this data, please write us.
Nikolay.Gekht
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Location: Cary, NC

Re: How to Backtest and Optimize Parameters using SDK 2.0?

Postby Nikolay.Gekht » Mon Apr 25, 2011 4:04 pm

alepan72 wrote:and I wonder if it's possible to have the price archive for 2009. I observed that between two years (2009 and 2010) there is big difference in the way that price go on.
So, if we can backtesting both years we draw useful conclusions on the strategy that we use.
Thanx in advance and best regards for your services!!!

2009 will be available soon. We are preparing the data.
Nikolay.Gekht
FXCodeBase: Base Builder
 
Posts: 1222
Joined: Wed Dec 16, 2009 6:39 pm
Location: Cary, NC

Re: How to Backtest and Optimize Parameters using SDK 2.0?

Postby vstrelnikov » Mon Apr 25, 2011 6:04 pm

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