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Post From: automated backtesting - tips, best practices

[2019-02-05 04:35:13] Link To Thread - Link To Post [Go To First Post]
Chad - Posts: 231
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