Adding Data from Other Symbols into a Backtest

The beauty of using the Strategy Cruncher is that there's no reason not to add more columns to your backtest.

The Cruncher will tell you which ones are important.

I have over 200 columns in my column library - some traders have over 300 - that get automatically added to every backtest I run.

One type of data point traders often overlook is data from other symbols.

For example, you have a strategy that trades gapping stocks.

One useful column might be the current SPY gap.

If SPY is gapping up, maybe a stock gapping up isn't that unusual.

Amibroker makes accessing this data easy using the SetForeign function:

       SetForeign("SPY");
      SPYOpen = Open;
      SPYHigh = High;
      SPYLow = Low;
      SPYClose = Close;
      TimeFrameRestore();

      // Open, High, Low, Close variables now back to "normal"
      // SPY* variables still accessible and contain SPY data
   

Now, any calculation can be made on SPY data and included as a column in your backtest.

Next time, I'll share the alternate data points I include in my backtest - stay tuned.

-Dave