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                                                   Can one add a vector of price and trade signals and get a backtest?

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pat
2011-05-27 17:39:22


Hello All,

I am currently evaluating the system and I was wondering if there is a feature to import a vecto of signal data to use as
input to the backtest/evaluation platform:
ex. input1.txt contains
b,b,b,h,h,sh,sh,sh

the closing would be automatic when string is complete...

Thank You.



QuantShare
2011-05-28 05:26:02

  0

Hi Pat,

It is possible to import signal files and use this data in trading rules

You have to import files using "Data -> ASCII" import and save the signals in a custom database (You can also automate the import by creating a downloader)

Example:
Date, Signal
2/10/2010, B
2/11/2010,B
2/12/2010,B
2/13/2010,Sh
2/14/2010,Sh
2/15/2010,H
2/16/2010,B

Steps:
- Select "Data -> Edit Databases -> Manage databases" then create a new historical database. Example: Signal
- Select "Databases" tab, "custom -> signals" database then add a new field "signal" of "string" type.
- Select "Data -> ASCII Import"
- If the data doesn't contain ticker symbols then specify a default ticker symbol for each file using the "Update Symbol name" button (first screen)
- Add two columns:
signals -> Date
signals -> signal

- To buy a security when "B" signal is detected:
buy = GetDataStringCount("signals", "signal", "B");



pat
2011-05-30 15:56:29

  0

Thank you for the suggestions. I tried to repeat the above, and looked over tutorials, but could not get simulator to work as I wanted to.
1) I created a raw .csv file with B,H,H,..S,B,H,H,....S,B,H...S repeating vector column corresponding to 9/7/2005-5/30/2006. The idea was to have a buy and sell signal repeat every 25 bars during the time period enclosed by the corresponding dates. I could have also used continuous buys for 24 bars, followed by a 25th sell, but tired both combinations with no success.
2) I imported via ascii import tab on menu, but dates always seem to append time information to the date output, with no choice to omit them.
3) Tried to use the above rules (in your example) and a) They generate no ouput under simulator (with aapl selected as custom symbol to use) b) Used the wizard with an alternate strategy list, buy = (GetDataCount('signal1','signal'))==(GetDataString('signal1','signal','B'));
sell = (GetDataCount('signal1','signal'))==(GetDataString('signal2','signal','S'));
This worked to generate a strategy, but the trade events were erratic and non-synchronized to the date/event order I expected from my signal1 db.
[IMG]http://i55.tinypic.com/rsrj8o.jpg[/IMG]
Any suggestions on what I am doing wrong, or possibly a more explicit illustration of how to get the above scenario to work would be great.
Also, one other suggestion, would be to allow clipboard copy/pasting in the formula windows, as it is tedious to type out the entire rule set each time I test.

Thank You,
Pat



QuantShare
2011-05-31 07:31:24

  0

Best Answer
1) It looks like you have succeeded to import your list of signals (picture)

2) If the time is set to "0:0:0:0" then just ignore it (Everthing is ok)

3) The functions "GetDataCount" or "GetDataString" gets database data for the active symbol. Your signals were assigned to a symbol whose name is "SIGNAL" (Check the email I have sent you few days ago for more info)

Example:
When analyzing GOOG, the function (GetDataCount('signal1','signal')) returns 0 because there is not data associated with the stock GOOG in the signal1 database.

You have to associate signals data with the appropriate symbol or symbols (Example: AAPL)
or you can reference an external symbol (requires creating a custom function)

Let me know if there is anything else I can help you with



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