eSignal 10.6 - Back Testing

ICE Data Services -

The Back Tester allows you the ability to develop and test EFS studies against historical data to see how they perform. Back testing results can be presented in a series of Strategy Performance Reports that help take the guesswork out of trading. Using the Strategy Performance Report, you'll have the unique ability to see the pros and cons of your strategy, change the way you buy and sell, improve trading robustness and gain faith in your trading performance.

Using EFS Formulas
Not every EFS formula will work with the Back Tester. The formula must be a strategy that includes buy and sell signals. The formula with trading signals is often referred to as a "Trading System or Strategy" because they are definite rules for selling and buying that a trader strictly follows. Several sample formulas/systems/strategies are available in the BackTesting folder that is accessible by right-clicking in the Advanced Chart window and selecting Formulas, then BackTesting. Additional back testing formulas have been posted on our eSignal Support Forums and File Share.

Starting the Back Tester
To start the Back Tester, right-click in an Advanced Chart window. Left-click on Tools and then left-click on Back Test. This will open the Back Tester dialog box.

The Output File
The output file is the Strategy Analyzer Report. This performance report basically tells you whether your trading strategy works or not. You can see the advantages and disadvantages of your strategy and make decisions to buy and sell, to improve trading robustness and gain faith in your trading performance. Trading system performance is analyzed from different approaches. Overall, the report provides over 250 values useful for strategy analysis, with multiple presentations including the ability to modify and create personal settings for displaying the values in the report and analyzing the trading strategy.

Auto Save

The Auto Saving Options dialog box gives you the flexibility to automatically save the trading strategy EFS formula in the BtOut (BackTest Output) folder according to your preferences.

You can create a folder called "IBM" that would automatically file and save any BackTest efs using the symbol "IBM" when activated in the program. Highlighting "Symbol" and clicking "Save" creates folders identified by symbol.

Example: Base Dir: C:Program FileseSignalBtOutIBM

You can modify both these options to suit your use of the Strategy Report. If you have several different BackTest efs strategies (i.e. different formulas) that you perform for the same symbol, you can have the program automatically save each under a different file name according the formula.

Example: Base Dir: C:Program FileseSignalBtOutIBMmastudy
Example: Base Dir: C:Program FileseSignalBtOutIBMstoch
Example: Base Dir: C:Program FileseSignalBtOutIBM1_2_3rsi

Testing the Close
You can use Strategy.CLOSE to specify the closing price of the specified bar in your back testing strategy. Strategy.MARKET uses the opening price. An example of this is as follows:

Strategy.doLong("Buy!", Strategy.CLOSE, Strategy.THISBAR)

To view our Back Testing Formulas in eSignal Forums, please click here.