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    Backtesting Using Intraday Data

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    • C
      chaT123 last edited by

      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?

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      • L
        lampalork last edited by

        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

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