Great, 1) Understood, I assume it fills with an average price of the bar closing price? Honestly I'm not looking to gear it for backtesting day trades, I am considering tweaking things a bit to work with futures and would like to use settlement where possible, ultimately
2) Got it, I do not know of free intraday data either. Just a shot in the dark whether you already started tackling it. You'd also have to likely deal with sessions once you dig into inter-day bars :( I may write a parser for CQG Data Factory files which are pretty simple, if so I'll see how difficult getting daily going is. 3) Ah makes sense Thanks! On Wed, Nov 13, 2013 at 5:30 PM, Jon Herron <jonhdispatch01-fac...@yahoo.com> wrote: > Hi Dexter - > > Thanks for checking out the code. Looks like you interpreted the code > correctly, hope I can do the same for your questions. > > 1) Currently the answer is yes. This however is not ideal, and is on my list > of (undocumented) TODOs. I was thinking of having something equivalent to > SML's Option. Not sure if something like that exists in Factor currently or > not. > > 2) Would love to. This is also something I considered but do not have (free) > access to less than daily data, at least that I am aware of. If you know > of a data provider from less than daily prices I'd love to hear about it. I > tried to make the individual pieces (data fetching vs signal detection vs > backtesting) separate so that any of the pieces could be swapped out for > another implementation. This of course has never actually been done yet, so > may not be as simple as it sounds. In theory though one could have a > different data fetching mechanism and plug that in to the rest of the app. > > 3) You do. The reasons for this are 1) I wanted to keep the main layers of > the app separate so they could in theory be swapped out for other > implementations, and 2) so that I could see the signals outside of an actual > backtest. For instance every Sunday I could run my weekly signals to see if > I should buy or sell from my current portfolio. I suppose a higher level > word such as detect-signals-and-backtest could be added. > > Hope that answers your questions. > > Jon > > > On Wednesday, November 13, 2013 3:36 PM, Dexter Haslem > <dexter.has...@gmail.com> wrote: > Hi Jon, > This is really great. I have a few questions. I'm still learning > Factor so I may have misunderstood the code, but these are more of > general usage questions: > > 1) Is any given signal price between high/low of the bar for the > period you select a buy/sell signal? > 2) Any thoughts about increasing granularity to below daily bars and > adding additional data providers? > 3) You have to do detect-signals before backtest, is that correct? It > seems redundant unless I am misunderstanding something > > > Thanks, > Dexter > > > On Thu, Nov 7, 2013 at 11:39 PM, Jon Herron > <jonhdispatch01-fac...@yahoo.com> wrote: >> Hi all - >> >> About a month ago I got some really helpful feedback on the start of my >> backtesting app. Tonight I finally got something that is close enough to >> call version 0.1. So far the app supports downloading historical data, >> detecting signals and simulating buy/sells against a configurable >> brokerage >> account. At the end of the run a simple report is provided of the >> account's >> cash, assets, transactions and (really rough estimate of) taxes owed. >> >> There are still lots of things I want to do with the app, but wanted to >> go >> ahead and share it in the off chance it was of interest to anyone. >> >> https://bitbucket.org/jherron/btp >> >> As always, any feedback/bug reports/contributions are welcome, and thanks >> again for the help. >> >> Jon > >> >> >> ------------------------------------------------------------------------------ >> November Webinars for C, C++, Fortran Developers >> Accelerate application performance with scalable programming models. >> Explore >> techniques for threading, error checking, porting, and tuning. Get the >> most >> from the latest Intel processors and coprocessors. See abstracts and >> register >> >> http://pubads.g.doubleclick.net/gampad/clk?id=60136231&iu=/4140/ostg.clktrk >> _______________________________________________ >> Factor-talk mailing list >> Factor-talk@lists.sourceforge.net >> https://lists.sourceforge.net/lists/listinfo/factor-talk > >> > > ------------------------------------------------------------------------------ DreamFactory - Open Source REST & JSON Services for HTML5 & Native Apps OAuth, Users, Roles, SQL, NoSQL, BLOB Storage and External API Access Free app hosting. Or install the open source package on any LAMP server. Sign up and see examples for AngularJS, jQuery, Sencha Touch and Native! http://pubads.g.doubleclick.net/gampad/clk?id=63469471&iu=/4140/ostg.clktrk _______________________________________________ Factor-talk mailing list Factor-talk@lists.sourceforge.net https://lists.sourceforge.net/lists/listinfo/factor-talk
