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Backtest accuracy



  • Hi,

    I am new here, so please be nice to me :)

    I have been trying backtester for a week now and trying to understand the best way to use it.
    I have data from 5minutes to 1Day.
    If I want to test my strategy on a daily basis, it is probably better to still use 5 minutes data, in order to have better accuracy when matching the orders?
    Something like this:

    data = btfeeds.GenericCSVData(
                    dataname=d[1],
                    headers=True,
                    name=d[0],
                    fromdate=datetime.datetime(2010, 1, 1),
                    todate=datetime.datetime(2017, 1, 1),
                    timeframe=bt.TimeFrame.Minutes, compression=5,
                    nullvalue=float(NaN),
                    plot=False,
    
                    dtformat='%Y-%m-%d %H:%M:%S',
    
                    datetime=4,
                    high=1,
                    low=2,
                    open=3,
                    close=0,
                    volume=-1,
                    openinterest=-1
                )
    
                cerebro.adddata(data)
                cerebro.resampledata(data,
                                     timeframe=bt.TimeFrame.Days,
                                     compression=1)
    

    Am I right?

    Thanks


  • administrators

    @edge7 said in Backtest accuracy:

    Am I right?

    Of course. Targeting 5-min bars is going to give a lot more accuracy than targeting 1-day bars.


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