Time/date periods
StartDate
Start of the simulation. The start date can be determined in several different ways:
-
A 4-digit number (f.i. 2006) gives the number of the historical data file with which the simulation starts (f.i. EURUSD_2006.t6). If the file has no year number (f.i. MSFT.t6),
StartDate is ignored and the simulation starts with the start of the file.
-
A date in the 8-digit yyyymmdd format starts the backtest at a certain date (f.i. 20090401 = April 1st, 2009). The simulation period begins earlier because the LookBack period is added in front of the date.
Due to the lookback period, StartDate = 2006 starts the backtest normally at a later date than StartDate = 20060101.
- StartDate = NOW; sets the start date to the current day, and executes the run function in [Trade]
mode immediately after the lookback period, regardless of the current time. Useful for strategies that do not run permanently, but are only started for modifying a portfolio.
- StartDate = 0; (default) starts the simulation with the year number given by NumYears before the current year.
EndDate
End of the simulation, either 4 digits for determining the number of the last historical price data file (similar to StartDate), or a date in yyyymmdd format for ending the backtest at that date (f.i. 20091231 = December 31, 2009).
If at 0 (default), or if the file has no year number, the
simulation runs until the end of the available price history.
NumYears
Number of years of the simulation if no StartDate or EndDate is given (default: 6 years). The current year counts as one full year. Set NumYears to -1 for not loading any prices by assetHistory.
MaxBars
Maximum number of bars of the simulation (default: 0 = no limit). The simulation ends either at EndDate or after the given number of bars (including the LookBack period), whichever happens earlier.
UpdateDays
Interval in days for automatically downloading new price data and adding it to the price history file (default: 0 = don't download new price data). If the price history is older than the given number of days, the download process starts automatically at the begin of a [Test] or [Train] cycle. Set UpdateDays to -1 for always loading all prices up to the current time.
ReTrainDays
Interval in days for automatically retraining a live trading system (Zorro S required; default: 0 = no automatic retraining). Set this to the duration of the WFO test period for keeping a WFO trained system in sync with the market.
GapDays
Maximum allowed gap in days in the historic prices and in the downloaded price data (default: 0 = no gap checking). Set this to 2 or above in order to check the price curve for gaps and inconsistencies, and give an Error 047 message if any are detected. Weekends and international holidays are except from gap checking. Gaps of 1 day are normal in historic prices due to national holidays.
StartWeek
Start of the business week in dhhmm UTC, where d = day number (1 = Monday .. 7 = Sunday), hh = hour and mm = minute
(not used). Default: 72300 (Sunday 23:00 UTC). Used to determine the
weekend for BarMode flags.
EndWeek
End of the business week in dhhmm UTC. Default: 52000 (Friday 20:00 UTC).
Weekend begins at or after this time. Used to determine the weekend for BarMode
flags.
StartMarket
Daily market opening time in hhmm local time format, hh = hour and mm = minute. Default:
0930. Used for the day and market functions
and for AssetMarket.
Also prevents trading before this time and sampling of bars dependent on
BarMode flags.
EndMarket
Daily market closing time in hhmm local time format, hh = hour and mm = minute. Default: 1600. Used for the day and market functions
and for AssetMarket. Also prevents trading at or
after this time and sampling of bars dependent on BarMode
flags. Set StartMarket = EndMarket = 0 for disabling
market closing.
Type:
int
Holidays
Pointer to an int array of holiday dates either in
yyyymmdd or in mmdd
format, ending with 0. Default: { 0101, 1225, 0 }. Can be set
to a 0-terminated array for defining local stock market holidays.
The yyyymmdd format specifies a holiday only in a certain year,
mmdd for all years.
Type:
int*
Now
Date/time in Windows DATE format for passing a certain
point in time to the contractUpdate function or to date/time functions
that support the NOW argument. When at 0 (default), the current PC date and time is used
for NOW.
Type:
var
Remarks:
- The earliest possible StartDate is determined by the availability of historic price data. M1 data back to 2002 can be downloaded from the Zorro website. In 2002 the EUR replaced national currencies; currency backtests before that date make not much sense as the EUR pairs were not traded in volume and the Forex markets behaved different.
- StartDate and EndDate can be used to 'zoom' the backtest to a certain period and examine the trades of that period in more detail. For the chart, PlotDate and PlotBars can be used for zooming.
- If the StartDate lies before the history start of the
first asset, the simulation begins with the first bar of the history. If
COMMONSTART is set, the simulation begins with the
latest history start of all assets. The simulation ends with the earliest
history end of all assets or with EndDate, whichever is
earlier.
- StartDate, EndDate, NumYears and UpdateDays affect price data loading and thus must be set before loading historic prices or calling asset.
- WFO parameters and rules are only valid for the simulation period with which they were created. If the period is changed, the strategy must be trained again.
- When re-training the last WFO cycle, set EndDate to 0, otherwise the training period ends with EndDate.
- The initial run of a strategy (INITRUN) has no valid date since the start and end date are set in this run.
Example:
StartDate = 20150901; // start the simulation in September 2015
EndDate = 20160901; // and simulate one year.
static int USHolidays[10] = { 0101, 0218, 0419, 0704, 0527, 0902, 1128, 1225, 0 };
Holidays = USHolidays; // set up US holidays
See also:
bar, BarPeriod, LookBack, Detrend, time/date functions, PlotDate
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