Backtesting Automation Sequence Manager
Definition File (Professional Software Solutions) |
All details of a specific automated backtesting sequence
run are stored in a simple text file
with the "bts" file extension (Backtesting Automation Sequence).
Sample Backtesting Sequence File
Below is one of supplied sample (RSISample1.bts):
Workspace=M:\srcpss\Apps\StockData\TS\MyIdeas\RSIPlain\RSIPlain3159.tsw
SequenceFile=C:/Program Files/Backtesting Automation Sequence Manager (BTSeqMgr)/DJ30.bts
Symbols=@ES,@YM,@NQ,@BP,@EC,@JP,@ER2
EndDate=7/1/2006
Template=
Intra/60|6/1/2005
Intra/45|6/1/2005
Intra/30|6/1/2005
Intra/20|6/1/2005
Intra/15|6/1/2005
Tick/~20|6/1/2005
Tick/~50|6/1/2005
Tick/~100|6/1/2005
OptSet=
1/RSILength|6|30|2
2/OverSOld|30|50|2
3/OverBght|50|80|2
5/LossAmt|200
6/GainAmt|200
;
; Aborted at 2/5/2009 14:35:58
Abort=1=AA|OptSet|Daily|2 Years|2/1/2008|
===== LIST EXAMPLE (ListSeq.bts) ====
LIST=DJ30|SP100
Backtesting Sequence File Struture
Below is one of supplied sample (RSISample1.bts)
Workspace= | Specifies the "seed" workspace, which should
contain one chart with the strategy to be backtested BTSeqMgr will make a copy into the Sequence folder and then further copies for each sequence, so the original workspace is always untouched! |
SequenceFile | Shows the actual location of the original BTSeqMgr sequence definition file |
Symbols= | Specified the list of Symbols to be used |
EndDate= | Specifies the last date to be used thoughout the backtest |
Template= | Indicates the start of the timeframes to be used for each
symbol: {Type/Interval} | {StartDate|X Bars|N Days} The "Type" can be: Intra, Ticks, Daily, Weekly, Monthly The "Interval" applies only to: - Intra (specifies the minutes) and - Ticks (specifies the ticks per bar) -or- specifies the bars per day - example: Ticks/~50 specifies 50 bars per day based on the Avg Daily Volume as defined in the configuration file BTSeqMgr.ini (if nit defined defaults to 10,000): [TickDailyVolume] @ES=47000 @ER2=41000 @EC=26000 @YM=30000 @NQ=23000 @TY=14000 @BP=12000 @FV=8000 MSFT=10000 EURCHF=10000 StartDate specifies when the data should start N Bars specified how many bars back should be used |
OptSet= | Specifies each parameter, which should be set or varied
thoughout the backtests: N[/Name] | Value [ | Max | Incr ] N = Parameter number (1 = first in the list) Name = Parameter name (optional, but can help you keep track) Value= Starting Value Max = optional Ending Value Incr = Increment Note: If the warning box appears because the value is larger than MaxBar then BTSeqMgr will click automatically on YES If the Max value is equal or less than the Starting Value (or on other errors) - BTSeqMgr will abort - so you can correct it |
Abort= | Market to save were a sequence was aborted, so that
BTSeqMgr can re-start at that left off point again when you re-run the aborted sequence This market will be automatically removed when the sequence has completed. |
List= | List several entire sequences here - creating a
"super sequence" which will run all listed sequences. If a sequence exits with errors - BTSeqMgr will either stop (MultiScriptStopError=YES) or continue anyway with the next sequence until the list if finished (MultiScriptStopError=NO) See "ListSeq.bts" for an example |
"Backtesting Automation Sequence Manager (BTSeqMgr)" Main Page
© Copyright 1998-2009, Burkhard Eichberger, Professional
Software Solutions
All Rights Reserved Worldwide.