How Can I Backtest Intraday Data?

[ewelicusovaku]

I can only go back so far on the 1 minute time-frame in ThinkOrSwim. How can I test back a year, or five?

Here's my 10 day 1 minute time-frame result.

[fuokxsen82]

Well that's no good. But it's trading 1 contract of /CL.

Max trade P/L: 1,750.00

Total P/L 84,690.00

Total 1013 order(s)

That's all the information TOS gives me. Wish I could see total unrealized loss to define risk, average win, average loss, etc.

[feepjgug23]

CL 1 Contract 10 Day 1-Minute Time-Frame
1013 Total Trades 995 Winners 18 Losses (98.2%)
+$86 Average Winner -$64 Average Loser (1.34 R:R)
Total P/L $84,690

Is all backtesting this good, or did I break the system?

[Gelfordmi]

I've factored in $2.50 commission (to include ECN and other fees) and applied slippage of 2 ticks.

[groczzbq00]

Just out of interest - what instrument are you doing it on ?

Over 100 trades per 24 hrs means approx 4 to 5 trades an hour - fine in the busy 10 hrs of the day but very difficult in the other 14 hrs unless your targets are just a 5 to 7 pip/ point move with your stop at 75% of your target size.

You will not get that result in real forward time - not just because of the spread and slippage etc even if you have a great robot - simply because the market is the market and theory and live conditions - never quite line up ;-) - well they might if you have the resources of super computers and a very large R & D budget etc etc.

Also - pick out another 5 x 10 day periods over next 5 -6 months to see how they compare - that would be interesting