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Saturday, November 22, 2014

Unlimited Free Backtests with Large Tick Data Source

There are other services out there that allow free backtests. However, QuantConnect is the only service I know of that allows unlimited free backtests with tick data. Let me say that again: they have tick (i.e. time and sales) data going back to 1998--something around 4TB of data. And, if you prefer, or want to utilize it along side the tick data, they also have minute and second data.

QuantConnect even allows you to pull in the backtest data using their easy to use Rest API, or utilizing their (currently in beta) Visual Studio plugin. If you decide to utilize the backtesting portion of the Rest API more than 5 times a day, it’s a relatively cheap upgrade to unlimited api backtests: 19.95. You can always switch back to their Web IDE for continued unlimited backtesting.

Plus, even better, Visual Studio 2013 Community Edition has just been released. It has all the features of the Professional Edition for use with small teams and for personal use. As mentioned above, QuantConnect has a plugin (currently in beta, and open sourced on github) that allows you to easily develop strategies directly from Visual Studio. Given Visual Studio is easily one of the best IDEs on Windows, this is beyond a blessing; and, definitely worth going along for the “beta” plugin ride. This is not available through other services that typically require API access through the browser. Although, I won't forget to mention that QC also has a nice browser-based IDE.

At a bare minimum, I would recommend signing up for free and trying out their web IDE. They use C# which is considerably more powerful than some of the languages used on other backtesting sites. This power comes in handy when you’re dealing with many, many data points and complex algos. It’ll keep things snappy while data is massaged across a number of cloud servers, allowing you to have your data points crunched in no time. And, if you’re new to C#, QC also has good documentation to help you along.

There are also many innate features (e.g. ability to have multiple files in a project) that you will come to appreciate as you delve into their system. They are adding things and upgrading frequently. I continue to expect more in the coming weeks and months. They have good documentation and are easy (and free) to sign up with. Here's another link to their site:

Please, feel free to post any backtests you run in the comments; I’d be interested to see!

Thursday, November 20, 2014

Gödel's Market on Github

There are some snippets of useful code on this blog that could transform into even more useful code if placed in a more conducive environment. I've created a Github account for blog related code here:

Right now I've only had the time to put up a repository for the IB Historical Data Downloader. I had to clean up the code formatting a little bit and transfer over the article's content to a readme to make things a bit clearer.

I'd really like to get all the code from the site transferred over. Then I would like to make it more user-friendly so that individuals who do not have as much experience with programming can get their feet wet. That's the goal :)

If you have any questions on how to make a piece of code do something more interesting than it does, please ask. These are basic starting points. I love to help, but I'd rather not just give all the answers right up front. For one, it's no fun that way (check out Project Euler and tell me, with a straight face, that it would be fun to have the answers given to you...). Second, you'll learn far more trying to develop your own program, which will give you more confidence to create more complicated things. Third, if you want it all done for you, I'm available for hire. :)

Now, back to the data.