Testing intraday-systems with TB?

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Bud Fox
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Testing intraday-systems with TB?

Post by Bud Fox » Fri Nov 12, 2010 3:38 pm

So far I haven't tried out TB yet because at the moment all of my systems are intraday-systems. Now I've seen on the TB-website that TB Pro and Builder can be used to test intraday-systems.
Are there any restrictions or does TB support intraday-backtests just the way it does support backtests on daily data?

Which data vendor do you recomment for intraday data? I've seen that most traders around here go with CSI, however they don't offer intraday data.

Thanks.

sluggo
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Post by sluggo » Fri Nov 12, 2010 5:22 pm

The Blox User's Guide is online and freely downloadable, on this page: http://www.tradingblox.com/tradingblox/ ... tation.htm . You may want to check it out to see whether the features you require, are supported.

Also on that page is the freely downloadable programmer's manual (called "Blox Builder's Guide"), which might interest you if you're thinking of writing trading system code yourself.

The Data Vendors page on the sales website, names some vendors of intraday data and discusses Blox's preferred intraday data vendor (and you're right, it's not CSI -- however CSI is the preferred EOD data vendor): http://www.tradingblox.com/tradingblox/ ... rtners.htm

Bud Fox
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Post by Bud Fox » Sat Nov 13, 2010 10:32 am

Thanks sluggo. I've gone through the user guide. From what I found there I rather think that what's called intraday-testing here is not what I'm thinking of.
So far I've been working with Metatrader mostly. MT supports intraday-testing in a way, that all backtests are done on emulated tick data. In a former version you could even import tick data, now MT emulates tick data from M1 data. So basically you "only" have to feed it with proper M1 data and MT renders M5/M15/... up to daily and weekly bars out of it. Although running tests on emulated tick data is not 100% accurate, this is way better than running tests on for example H1-bars (if that's the system's target-timeframe), like Ninjatrader or Amibroker does it.

I'm explaining this because this is what intraday-testing means to me. And I'm still unsure what's meant if they claim TB is capable of intraday-testing. Maybe I'll contact their sales team because I've been going through the forum as well (yes sluggo, by using the search function) - and haven't found an answer.

Concerning the data issue: at the moment I'm working with TradeStation data. Although I really don't like the software itself, their data is quite good and affordable for me. As a small trader you may find yourself in a dilemma, like I do at the moment: you're trading small accounts, way too small for LTTF. Daily data to create such systems is relatively cheap though. Also creating LTTF-systems is - in my opinion - way easier than creating intraday-systems. However intraday-systems are the only way to go, because of the accountsize. So you have to work your way up, working with crappy software and data, trying to make the best out of it. And by the time you could afford CQG's intraday-data, you don't need it anymore. you can go with CSI then, paying a few hundred dollars a year for daily data.

Zoso
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Post by Zoso » Sat Nov 13, 2010 9:06 pm

Sluggo is definitely not in the same boat

Bud, you mentioned that short term systems are the only way to go since LTTF requires more capital than you have. I disagree: not trading is a very relevant choice. Maybe that is the difficult but correct choice?

Forcing yourself into the short term space due to inadequate capital to trade does not sound like a recipe for success to me.

How many intraday systems and intraday professional traders can you name that have held up over time? Have you seen their actual, net of fees and costs, audited track records? The number is very small.

Bud Fox
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Post by Bud Fox » Sun Nov 14, 2010 4:53 pm

I'm not "forcing myself" to create intraday-systems. My business partners expect me to create intraday-systems, so I'll create some. It's as simple as that.

Your right, not to trade is also an option. Not to try something is always an option, if the task appears to be difficult. I'll keep that in mind, thanks...

Tim Arnold
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Post by Tim Arnold » Wed Apr 06, 2011 9:06 am

And I'm still unsure what's meant if they claim TB is capable of intraday-testing.
Trading Blox will test intraday data as small as one minute bars. So the data format would be a text file in a DTOHLCV format and the testing process would be much the same as with EOD data. The date and time of each market is synchronized in order to test many markets at the same time, with differing bar sizes and missing bars. Script hooks are available to process data Before Bar, and After Bar, as well as the usual places such as when an order is placed and when an order is filled. There are also the EOD script hooks such as Before Trading Day and After Trading Day.

If you have any further questions feel free to contact me directly.

Zoso
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Post by Zoso » Wed Apr 06, 2011 1:31 pm

"My business partners expect me to create intraday-systems, so I'll create some. It's as simple as that."

Unfortunately, Bud, it is not quite as simple as that. You'll see. :)

catalytic
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Tick data into minute bars

Post by catalytic » Thu May 12, 2011 9:44 pm

Bud I am doing the same thing for my fund. I have a simple VBA macro that takes quality tick data and creates 1-minute bars for my TB testing. We also use MT4 but their backtesting tools are primitive compared to real backtesting systems like TB.

So it's doable if you have the tick data although I would prefer tick testing.

Here's my question for anyone on this thread. I need to run these 1-minute bars for my trade but use 1-day bars simultaneously so I can calculate an N-day ATR that I need intraday. Could someone please give me a concise 1 sentence answer to point me in the correct direction to accomplish this? Code is best of course.

Thanks
CIG

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