Backtesting Index Futures on longer time periods; where to download history data?

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I am searching for a way how to back test index futures on a longer time period than few months only. I have found two replies to a similar problem someone else had, but the below mentioned history center of MT4 didn't help. My problem is: recently only Dec 2010 Future on GER30 is active and the past data goes until April 2010 and we are in September now. This means I am not able to backtest further than Apr - Sep. Does anyone have a reasonable solution for that?

Below the answers of others to similar problem. I have added those replies because they help understanding the problem I mentioned above and they are answers to general problems anyone may face while backtesting:

nebeno 2010.02.23 17:12

I've been working to backtest as well, and am now realizing how worthless backtesting really is. You get more accurate data if you only test a couple months back, but that isn't enough time to determine anything (past couple months may have had big trends, or lots of small chops, and you can optimize a system to work with that). Then if you try to backtest further back, data is less reliable (at least on smaller timeframes), and so your results are less trustworthy. Not sure that there's a great solution to that. My advice though: don't rely on indicators very much, keep running forward tests day and night (demo account of course), and manage your losses (and manage your losses, and manage your losses :). And as for optimization, if it doesn't work, say with a stop of 50 pips, but then works great with a stop of 55 pips, it's probably not going to work. What I mean is if you have to optimize it so precisely to see profit, your probably fitting it to the data, and it's unlikely to work in the future.

gordon 2010.02.24 11:03

That really depends on the data you use. MetaQuotes data ('download' in history center) is indicative data. I agree the further u go back, the sketchier it is.

But who says u have to use it? There are other data sources that are much better and non-indicative (even for a few years back and for small time-frames).

syndrom wrote >>
... Maybe also I shouldn't take the best profit optimization result?

That is often the way - often minimum drawdown may be a better pointer or highest Profit Factor better than Max Profit...

But most likely you have a strategy that is too specific to a market pattern, i.e. it may be for trending, ranging or breakout patterns, which dont run all the time, far from it

Many strategies wont work at for any extended period in the low levels of ATR we have had for many months - just look at the ATR (20) and ATR (250) on the Daily chart of any pair of interest..

And see this EA

to see how types of market pattern can be tested for while the EA is running

Good Luck


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