Back Testing Data

[pistolpete]

When I first started building strategies I would test them using opentick then slowly migrate them to live market. Does anyone know of another data source that is cheap or free other then yahoo?
Also, if I am using live yahoo data to run simulated strategies during the day and recording the data, it seems to not let me then use yahoo data to run the backtest using yahoo data for dates that are from before I was recording.
Thanks
Pete

[NinjaTrader_Kyle]

Hello pistolpete,

Thank you for your post.

Unfortunately, Yahoo! is currently the only free data provider.

This occurs when using the Strategy Analyzer?
Do you receive an error message?

[pistolpete]

no error message but if I am in strategy analyzer and I am back testing stocks that I have recorded it doesn't give me the right data, example I back tested FAS on yahoo today from Jan 1 to yesterday and it only gave me 6 days of data, the only explanation for that is that it approximately started around the same time that I started recording. So I went to another computer with NT on it but no recorded and did the same test and it tested right from the date that it was supposed to, 67 trades compared to 6.
Thanks
Pete

[NinjaTrader_Kyle]

Hi pistolpete,

Thank you for your reply.

1.) The strategy analyzer uses historical data, not replay data.

2.) I take it you've set the to-from dates accordingly?

[pistolpete]

If I use my strategy analyzer, I set the dates from Jan 1 to april 27. I am connected to Yahoo, the same source I record from. For some reason the data becomes faulty after you record and then go back to backtest. If I run the exact same strategy with the exact same parameters on a system with no yahoo recorded data it gives the backtested results, much like opentick used to be able to. even if I run a strategy from jan 1 -30 when I was not recording it comes up as '0' across the board.

[NinjaTrader_JoshP]

pistolpete,

Make sure you actually have data. Disconnect from your data provider and open a chart. Whatever data you have for that time span will show up in the chart. If you run a backtest it will run it against that data. If you are connected to a data provider it may go off and try to download data for you to backtest on. Remain disconnected if you want to backtest on data already stored in your database.