hi, 1) on your first question I can say that I use IQFeed currently and they have continues futures contract data. I find that for ES, YM, NQ and TF contracts they roll over to the next contract at the same time IB does. So I use the continues contract data they provide for backtests and trade the corresponding contracts at IB accordingly. For CL and NG contracts they postpone to switching to the new contract 1 day before the last trading day of the old contract.
2) on your second question I believe there is a mixed intraday EOD mode but not sure how to use it. 3) yes you can use foreign functions, see manual "foreign" rgds, Ed ----- Original Message ----- From: rmicalet To: [email protected] Sent: Friday, August 07, 2009 11:39 AM Subject: [amibroker] Questions about data management and advanced backtesting I am a new amibroker user, desperately trying to get up to speed on the more advanced aspects of the software. My ultimate goals are to be able to backtest stocks, futures, and currency strategies on 1-minute bar data going back 10-12 years, and to backtest daily strategies for the same instruments going back even farther. I have both Interactive Brokers and eSignal real-time and historical data. I have three questions for which I would be extremely grateful if any experienced users had any insight on: 1. What is the best way to manage, store and manipulate futures data? Given that there are multiple contracts, is it best to store each individual historical contract and to simulate the rolls in the backtests (if so, any guidance on how exactly to do this would be greatly appreciated)? Or is better (easier?) to apply strategies to a continuous futures contract (despite the fact that if the contract is back-adjusted, the price levels will be distorted through time)? eSignal appears to have its own continuous futures contracts ready to go out of the box (I just subscribed to eSignal today, so I'm not sure how they compute their continuous contracts--I'm assuming they back-adjust them)--do most users simply run strategies against these continuous contracts? 2. As mentioned above, I'd like to test strategies on daily data and on 1-minute bar data for a variety of asset classes going as far back in history as possible for the given data. Does that mean I should create two databases, one for daily data and one for 1-minute bar data from eSignal? Are there any considerations I should be mindful of if I'd like to combine data from multiple databases during a backtest? Is this possible? eSignal claims to have intraday data going back to 1997--can amibroker read in 1-minute bar data going back this far (there seemed to be a limit on the number of bars one could specify in the "new database" dialog box)? If not, how could I incorporate all of eSignal's intraday history into an amibroker database? 3. Lastly, is it possible to incorporate cross-asset information in strategy development? For example, let's say I'd like to develop an intraday trading strategy for the S&P 500 using technical indicators of the S&P 500 as well as technical indicators of other assets (currencies, commodities) and non-tradable indices (e.g., TRIN, TICK, advance/decline, etc.)? Cursorily looking at the custom backtester interface tutorial, I get the sense that it *is* possible, but I would be grateful for pointers to any reference material that might describe how one can get price data for symbols that aren't under consideration to be bought or sold. Further, is it possible using the custom backtester interface to run cross-sectional regressions on a list of assets (where the asset list might change dynamically over the course of the backtest)? I apologize if the questions above are elementary, but would be extremely grateful for any insight, guidance, or pointers to reference material that would help me along the way. Thanks for your time and consideration. Kind regards, Ray Micaletti
