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I have just finished to code my first strategy for NT (intraday ES trading), using market replay to debug code, and now I am ready to proceed with following testing phases.
I have got several years of MR data for various ES contracts (since 2013) but no 30 minutes historical data to backtest the strategy.
So I was thinking about coding a simple indicator that could make the conversion, replaying the contracts and writing a csv file with historical data.
Does it makes sense? Is there a smarter way to get historical market data? Does anyone gas already implemented something similar?
Thanks
Andrea
If you have replay data and were able to do testing, why would you do back-testing on 30 min ?
the 30 min data will create a situation where you don't know if the target was first reached
of the stop first (large swing)
With the replay data you should be able to do much better back-testing
With backtesting I aim mainly to Statistical analysis over a large number of years and to Montecarlo analysis to identify an estimate of maximum drawdown. NT provide these features with the Strategy Analyzer and you need historical data to use it.
Of corse you could implement a statistic engine and a Montecarlo Simulator as indicators/addon but it would be a hell of a work.
Interesting point, altough I already tried some of them and found constraints in the lookback period. It seems reasonable since demo account is given for evaluation purposes only. Anyway I am already paying for a Premium account of market replay data.that's why I was asking about a conversion tool.
You could write an indicator which exports what you need and then let it run in market replay. But it depends how many days / years you want to convert - might take to long even on max speed . Every other method would require to process the raw replay files - not sure whether the file format / structure is known
Yes this is what I am about to do. Market replay replays every contract at the same time. So the indicator will have to switch instrument at rollover date.and dump data in a csv file.will share the code when done.
Yes, this is how I started, but I found that it takes forever to save ticks from market replay when it comes something more than month or few month even with Max speed of the replay. Of course if you need only couple days than sawing manually can work.
