Backtesting with data from CSV file

21 Nov 2013, 15:52Backtesting with data from CSV file#1
Spotware Teamposts: 3359since: 23 Sep 2013

A new feature will be available in the next release of cAlgo: Backtesting with data from a CSV file.

Before backtesting, you will have the option to choose data source - Either one minute trend bars from a broker server or one minute trend bars from a CSV file on your local disk. If you choose to use a CSV file you will need to specify its location, after which cAlgo will analyze the file and adjust minimum and maximum available dates for backtesting.

CSV file format

In order to use trend bars from the file you need to have comma-separated CSV file with following columns:

  • Date
  • Time
  • Open Price
  • High Price
  • Low Price
  • Close Price
  • Volume

Example:

2003.06.18,16:01,1.11423,1.11428,1.11332,1.11374,19
2003.06.18,16:02,1.11364,1.11436,1.11361,1.11405,7
2003.06.18,16:03,1.11402,1.11455,1.11400,1.11440,5
2003.06.18,16:04,1.11446,1.11461,1.11401,1.11447,14


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25 Nov 2013, 23:03#2
Hyperloopposts: 87since: 23 Oct 2013

Do you have an ETA on tick data testing?

27 Nov 2013, 15:33RE:#3
oktraderposts: 21since: 03 Aug 2013

Will this allow the use of more accurate historical data (tick-data)?

27 Nov 2013, 16:50RE:#4
Spotware Teamposts: 3359since: 23 Sep 2013

Hyperloop said:

Do you have an ETA on tick data testing?

We cannot provide an ETA but it is planned.


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30 Nov 2013, 09:41RE: RE:#5
kyro747posts: 14since: 19 May 2013

Will it be possible to load 1m data in blocks rather than have to run it off one file as it is unlikely you have all the data in 1 file? E.g. I have it in 1 year files.

02 Dec 2013, 16:19#6
Spotware Teamposts: 3359since: 23 Sep 2013

It is not possible to load more than one file. You can merge the files manually into one.


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07 Dec 2013, 23:58RE: RE:#7
AwarenessForexposts: 6since: 07 Dec 2013

Spotware said:

Hyperloop said:

Do you have an ETA on tick data testing?

We cannot provide an ETA but it is planned.

can you go into more details as to why tick data backtesting wasn't considered from the start of cAlgo development?  I find it hard to believe that a modern trading package post-metatrader 4 is limited to 1 minute data bars for testing strategies.


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10 Dec 2013, 09:42RE: RE: RE:#8
Spotware Teamposts: 3359since: 23 Sep 2013

AwarenessForex said:

can you go into more details as to why tick data backtesting wasn't considered from the start of cAlgo development?  I find it hard to believe that a modern trading package post-metatrader 4 is limited to 1 minute data bars for testing strategies.


You are right, tick-based backtesting can be very useful. The reason is that we have of lot of things to do. Tick-based backtesting will be implemented release of tick-charts.


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13 Dec 2013, 00:47#9
lec0456posts: 427since: 14 Nov 2012

Can you download a csv from the server?

13 Dec 2013, 14:50RE:#10
Spotware Teamposts: 3359since: 23 Sep 2013

lec0456 said:

Can you download a csv from the server?

No, this is not possible.


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