3. Backtesting Using Intraday Data
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Backtesting Using Intraday Data

  • C

    My data is in the format below:
    bdeaa232-df1f-4913-a134-03a19c37e7a7-image.png 7/29/2019 6:00
    7/29/2019 6:15
    7/29/2019 6:30
    7/29/2019 6:45
    7/29/2019 7:00
    7/29/2019 7:15
    7/29/2019 7:30
    7/29/2019 7:45
    7/29/2019 8:00
    7/29/2019 8:15

    i.e I get a price every 15 minutes.
    This is stored in Pandas Dataframe.

    When I load it,

    data = bt.feeds.PandasData(...., timeframe=bt.TimeFrame.Minutes, compression = 1)

    Compression should be = 1 or 15?

    0
  • L

    Hi, it should be compresssion = 15. Note: if your data is large, you may want to consider bt.feed.PandasDataDirect that seems to be faster than PandasData. Someone has conducted a perf analysis on this forum. you should be able to find easily. Cheers

    0
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