Topic: Goomboo's Journal - page 48. (Read 281461 times)

Nice one. One could actually earn a nice pile of cash if he used it back then.

Blah :p

Alright, got it!

Now let's do a simple backtest of a 10 / 21 daily SMA crossover.  I entered it as a stock, so this assumes you trade in 100 BTC blocks.  See why I'm totally skeptical of this and why I don't think it represents the future?

Lol, another rookie move!  The open is greater than the high on several candles too!

Doing some Excel on that too :p

Oh and an error people will probably encounter is that BTC data has decimal volumes - this probably needs to be rounded before importing...almost done!

Lol, rookie move!  BitcoinCharts.com has data points where the open is less than the low!  I have to do some Excel to fix this

Yep, forever!

Great. Thank you.  Could I potentially use this free software forever if all I ever wanted to do was backtest on imported historical data?

If you're in the NinjaTrader program, click F1 (help) and type import.




File Name

When using the NinjaTrader format, the name of the text file to be imported must be the NinjaTrader instrument name followed by a period and "Last", "Bid", or "Ask" depending on the data type. For example:

 

MSFT.Last.txt for Microsoft stock last price data

ES 12-09.Bid.txt for the S&P E-mini December contract bid price data

$EURUSD.Ask.txt for the Euro/U.S. dollar currency pair ask price data

 

Tick Format

Each tick must be on its own line and fields must be separated by semicolon (.

 

The format is:

yyyyMMdd HHmmss;price;volume

 

Sample data:

20061107 000431;1383.00;1

20061107 000456;1383.25;25

20061107 000456;1383.25;36

20061107 000537;1383.25;14

 

Minute Bars Format

Each bar must be on its own line and fields must be separated by semicolon (. Only 1 minute bars can be imported.

 

The format is:

yyyyMMdd HHmmss;open price;high price;low price;close price;volume

 

Sample data:

20061023 004400;1377.25;1377.25;1377.25;1377.25;86

20061023 004500;1377.25;1377.25;1377.25;1377.25;27

20061023 004600;1377.25;1377.25;1377.25;1377.25;24

20061023 004700;1377.50;1377.50;1377.25;1377.25;82

 

Daily Bars Format

Each bar must be on its own line and fields must be separated by semicolon (. Only 1 day bars can be imported.

 

The format is:

yyyyMMdd;open price;high price;low price;close price;volume

 

Sample data:

20061023;1377.25;1377.25;1377.25;1377.25;86

20061024;1377.25;1377.25;1377.25;1377.25;27

20061025;1377.25;1377.25;1377.25;1377.25;24

20061026;1377.50;1377.50;1377.25;1377.25;82

Id love to do it too.  Care to point me towards a pre formatted $BTC.txt file? Or the formatting specifications?

Meh fine, I'll do it real quick :p

If I were going to import BTC data into NinjaTrader:

1.  Download NinjaTrader
2.  You don't need a broker / a demo feed
3.  Download BTC data and get it into the format required by NinjaTrader and save it in $BTC.txt
4.  Create a new instrument in instrument manager called $BTC
5.  Import data using import historical data
6.  Create strategies / charting / backtests from there.

Here's a picture of the level 2 and time & sales (the stuff you see on bitcoin.clarkmoody.com) for the currency markets.

This is a picture of how much volume actually occurs in these markets.  Yes, those are millions.  And the level 2 book only includes a few small liquidity providers.  If you want to see a true ECN with true depth, check out Dukascopy platform - $100 million plus within the first 10 pips on each side of the book during standard hours.

NinjaTrader connects to IB using the FIX protocol.  But it's entirely your preference!

That's because Mt. Gox is an exchange / broker all in one.

Exchanges prefer big customers or brokers primarily to minimize risk as well as a few other things:
-Counterparty risk - a little guy is more likely to go belly-up on a trade than a broker.  Also, some exchanges required you to post margin daily and they would rather collect this margin from a few hundred brokers than several hundreds of thousands of traders
-Size - Your few thousand dollars simply isn't worth the time to a large exchange (your order is probably grouped in a large block trade by your broker before being sent to the exchange
-Liquidity - You don't add very much volume to the market and you are a drag on the network
-Leverage / brokerage perks - brokers offer benefits to attract more customers and get lower rates at the exchanges



-A way the BTC market could adapt would be a "broker" starts business in which they just have a single Mt. Gox account for all of their clients and they offer the rock-bottom commission to all clients, regardless of size.

Thank you very much for your kind words - I wish you the best as well!

Thank you very much for contributing to this thread as well.  I wish you the very best in your trading endeavors.

It was entirely a matter of trading preference.  Also, my resolve was strengthened for the following reasons:
-Less trades = Less commissions / less slippage / greater chance of catching a "major" trend
-Less noise = Less churning of capital

Thank you very much, I wish you the best in your trading!

Ill check this out too Thanks

EDIT WTF is that...