"Can I Backtest a Scalping Strategy in Amibroker?"
By Dave Mabe
List member Kacper sent in this question about a scalping strategy that works well for him. He's curious if you can backtest this strategy using Amibroker.
Kacper:
My strategy is a very short-term scalping strategy, usually biased towards the long side. I'm a momentum trader, so I'm in and out in approximately 10 seconds, sometimes longer, sometimes shorter.
Is it possible to backtest and also automate such fast scalping trades using Amibroker?
Dave:
I don't have much experience backtesting a strategy on such a small timeframe in Amibroker, but it should work.
I just set up a new database in Amibroker with 1 million 1-second bars using IQFeed as the data source.
I added the SPY to the database and backfilled, and I get data going back to 11/5 (almost 2 months).
Here's a screenshot showing the Quote Editor in Amibroker that shows what's in the database for a particular symbol:
Here are the options for the database size in Amibroker:
I'd be careful using a timeframe this small, though. Any issues with small timeframes are going to be magnified here, so keep that in mind.
Thanks for the question and for sharing with the list, Kacper!
Next time, I'll share a plan for a common scenario: discretionary traders who've had some success and want to start backtesting.
-Dave
P.S. Afraid to size up because you don’t trust your edge? Build confidence to trade your strategy with bigger size with MabeKit.