Tradedata backtest
Author: Domiciano
Creation Date: 6/26/2009 9:35 AM
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Domiciano

#1
Hi, I have all the data (15 min data with open, close, high and low) with the buy and sell signals from another system (matlab).

Is it possible to load the database to Wealth Lab with the buy and sell signals in order to check the strategy, I mean to evaluate the performance, number of trades, winning and losing trades?
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Eugene

#2
Hi Antonio,

Yes, it's possible. Export both the historical trades and the data to ASCII, and there you have 2 options:

1) Wealth-Lab 4: use ChartScript - SimTradeFile 1.1 to pick up your historical trades as if they were made in WLD4 and analyze the results.
2) Wealth-Lab 5: since we will be adding the necessary functions (EntryAtPrice and ExitAtPrice) to Community.Components anyway early next month, it makes sense for us to prepare a strategy like "SimTradeFile" that would make possible analyzing historical trades in WL5 as well.
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Eugene

#3
Regarding (2): until Fidelity implements support for custom position sizing (we need a SetShareSize/PositionSize analogue from V4), it won't be possible to utilize actual position sizes from a text file. The positions will be sized by WL5, according to selected PS option.
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Eugene

#4
The support for real (historical) trade import is added, look for it in a Community.Components update within a few days.

Import real (historical) trades
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