Input Data

The Input Data tab in the Automatic Strategy Builder (ASB) allows users to configure the data settings crucial for building and testing trading strategies. The builder uses FinStudio's backtesting engine to test newly created strategies on historical data, ensuring they meet the defined fitness criteria.

Importance of Historical Data in Strategy Building

Historical data is paramount to the strategy-building process. The ASB relies on this data to simulate real market conditions, allowing it to test and refine trading rules. By using historical data, the builder can:

1. Evaluate Initial Strategy Performance: Test the trading rules on past market data to see how the strategy would have performed historically.
2. Optimize Strategies: Identify strengths and weaknesses in the initial strategy and make necessary adjustments.
3. Evolve Strategies: Use genetic algorithms to evolve the strategy. This involves trying new sets of trading rules, testing them on historical data, and iterating to find the most effective rules.

Key Components of Input Data

Instrument

Instruments are the assets on which the strategy will be tested. Users can add individual instruments, groups of instruments, or entire types (e.g., CFDs, Cryptocurrencies). This flexibility allows strategies to be tested across various markets, ensuring comprehensive performance evaluation.

Period

Periods define the timeframes for backtesting. Users select the timeframe (e.g., Minute, Hour, Day) and interval (e.g., 15 minutes, 4 hours) for testing. Different build modes determine the granularity of data used, ranging from exact tick-by-tick replay to specific price points like Open, High, Low, and Close.

Data Modelling

Data Modelling settings specify the date ranges, weekdays, and time ranges for the historical data used in backtesting. Users can choose from predefined date ranges (e.g., Last Year, Last Month) or set custom ranges to tailor the backtest period.

Download Missed Data

Users ensure all necessary historical data is available by clicking the Download Missed Data button. This feature automates the process of downloading data for the selected time range, facilitating accurate backtesting.

Weekdays and Time Ranges

• Weekdays: Specify which days of the week to include in the backtest.
• Time Ranges: Define specific time ranges within each day for backtesting.

Summary

The Input Data section in the ASB is essential for configuring the historical data parameters used in strategy building. Historical data is critical as it allows the builder to simulate real market conditions, evaluate the initial performance of trading rules, optimize strategies, and evolve them using genetic algorithms. By selecting relevant instruments, periods, and data modelling settings, users ensure their strategies are rigorously tested on accurate historical data, leading to more reliable and effective trading strategies.