DocOTBackTest

OTBackTest.py

Besides using the backtest command in OTCmd2, you can run OTBackTest.py as a stand-alone script for backtesting:

usage: OTBackTest.py [-h] [-T] [-P] [-R SRECIPE] [-C SCHEF] [-H SHDFSTORE]

Give the Symbol Timeframe and Year to backtest. The Timeframe is the period in minutes: e.g. 1 60 240 1440.

CSV Files

In order to backtest, you will need some Open High Low Close (OHLC) data in CSV files. You can download the 1 minute history of major forex pairs from http://www.fxdd.com/us/en/forex-resources/forex-trading-tools/metatrader-1-minute-data/ The are much higher quality than using the Mt4 History Center to download.

The pairs include:

AUD / CAD
AUD / JPY
AUD / NZD
AUD / USD
CAD / JPY
CHF / JPY
EUR / AUD
EUR / CAD
EUR / CHF
EUR / GBP
EUR / JPY
EUR / USD
GBP / CHF
GBP / JPY
GBP / USD
NZD / USD
USD / CAD
USD / CHF
USD / JPY
USD / MXN
USD / TRY
XAG / USD
XAU / USD

The data comes as zip files, and are about 160Mbytes each, e.g. http://tools.fxdd.com/tools/M1Data/XAUUSD.zip

When you unzip these downloaded files they give a file in Metatrader HST format. It's probably best to make a subdirectory under the Metatrader history folder, perhaps called tools.fxdd.com.

To generate the CSV files, use the History Center in Metatrader. This is best done when not connected or logged in.

• Select Tools>History Center.
• Double click on the currency pair which you downloaded the data for.
• Be sure to Highlight 1 Minute (M1).
• Select Import.
• Browse to the file you previously downloaded to your computer (remember it has a .hst extension) and select Ok. Now the file has been uploaded to the History Center.
• Be Sure To Highlight 1 Minute (M1) and click on Export
• Give the name of the csv file you wish to save the CSV in, perhaps in a subdirectory under the Metatrader history folder called tools.fxdd.com.
• Click on OK.

These CSV files have no header.

Resampling to Longer Time Periods

Once you have the large 1 minute history files in CSV, you will want to resample them and save them as OHLC CSV files at longer timeperiods. You can use the OTCmd2 csv resample command to do this:

python OTCmd2.py -P "c:\\Program Files\\MetaTrader" \
       csv resample SRAW1MINFILE SRESAMPLEDCSV STIMEFRAME

which will resample 1 minute CSV data that you exported (above) in the SRAW1MINFILE, to a new timeframe such as 15, 60, 240, 1440 (minutes), and save it as CSV file SRESAMPLEDCSV.

These resampled CSV files are what you need for the backtest feed command (see below).

You may want to break them up into smaller chunks, such as one file per year, so that your backtests run faster. It can be also very informative to see how much your results vary in different years.

---

Parent: Components