Sep
24
2009
Algo-Trading 101 Part 2: Backtesting
By SD
| One of the great benefits of quantitative trading models is that they can be backtested against historical price data to measure past performance. A great excercise is to find a strategy that you’re interested in (published somewhere, for example Futures & Options Trader magazine) and perform the backtest yourself. You should get the same results as the they did – this will ensure that you understand the strategy correctly and have avoided common pitfalls. |
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Historical Data
There are numerous sites offering various levels of quality historical stock price data. Below you can find some common sources of free historical data. Google is also your friend here, there’s lots of datasources out there.
Our aim will be to minimize costs
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Interesting read, do you have a broker that allows you to algo-trade easily? ie via socket connection then XML feed? PS: I found your site via the Curtin Uni – Dept of Computing site.
Hi Andrew,
Yes I believe Interactive Brokers allows good connectivity for individuals looking to trade using their API (for algorithmic trading for example).
I would search elitetrader.com for some more opinions on which broker to use, depending on your needs.
If it’s only data you’re after, check out weblink.com.au for ASX streaming data at a good rate.
Best,
SD