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Date/Time: Sat, 25 Jan 2025 00:45:24 +0000
[Programming Help] - automated backtesting - tips, best practices
View Count: 2247
| [2019-02-05 04:35:13] |
| Chad - Posts: 234 |
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Question: if possible, could you offer some general tips or 'best practices' on what might be the most efficient configuration for backtesting in context of long-timeframe (e.g. 5 years), granular (e.g. 1-min OHLCV bars) data on ~100 instruments with several studies to test for each, and routines to vary the values used for study parameters and order logic while in backtesting mode? E.g. - run multiple instances of SC? - work mostly/totally at ACSIL level (if possible)? - only use bar-based backtesting? I've been told by someone with substantial experience developing for SC that, at the application level, it can only perform ~150 backtest permutations per hour. Given the thousands of different combinations that I'll have for the *first* and largest backtest, that'd take several days. But, that may be assuming backtests within the Market Replay module. I plan to run longer-timeframe and more intricate iterations of backtests each weekend between 17:00 Friday to 02:00 Monday, so a 57-hour window; then Mon-Thu, from 17:00-02:00, I simply run backtests on the prior trading session only, for each instrument. I could do most or all of the Market Replay backtests during the weekend, and limit to bar-based Mon-Thu night. Additional background info, if interested: I'm looking to build a systematic, fully-automated trading system within SC as much as possible, which includes a backtesting routine to do 'limited optimization' of study parameters and order logic (sizes, limit prices, etc). An obvious, simple example would be a 'fast' SMA crossing above/below a 'slow' one - the backtest would vary the period of both SMAs within their own separate ranges and increment/step-size, as well as some price bar or indicator reference to use with limit prices of buy/sell orders. I'll be testing across 80 different futures markets (most are outrights, some are spreads) and 30 US stocks. Price bar types (tick vs time) and intervals (1-min, 1-wk, 100-tick) will be set by-instrument in a config file of-sorts, as well as the allowed trading hours (Europe and US session only for most futures, US ETH for stocks). I figure setting this part up will be fairly simple. Date Time Of Last Edit: 2019-02-06 00:40:54
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| [2019-02-06 18:20:48] |
| Chad - Posts: 234 |
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As far as automating the running of backtests, would it be possible by setting a timer routine within the study/studies, or calling an external DLL from a study that has some sort of linkage to a Windows Task Scheduler entry? Sorry for the hasty idea, just thinking out loud.
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| [2019-02-07 04:33:54] |
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- run multiple instances of SC? - work mostly/totally at ACSIL level (if possible)? - only use bar-based backtesting? The back tests really have to be started manually. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2019-02-07 17:04:34] |
| Chad - Posts: 234 |
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Okay, thanks. Is there any notion among SCE staff to add a feature for automating the initiation of backtest cycles, in an upcoming release? Is there any kind of work-around I might try, such as a timer function within an ACSIL script to execute a backtest routine every n hours? As for iterating the study parameters, what if I create a dummy variable then a conditional like: if dummy variable = 1 { variable 1 = x variable 2 = b [etc...] } else if dummy variable = 2 { variable 1 = c variable 2 = s [etc...] } else if .... Possible? Sorry for asking you to repeat yourself, but this area is crucial to my attempts to go full-auto without working at the lower level of C++ or other language. Date Time Of Last Edit: 2019-02-07 18:49:07
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