Backtesting - Preparing the Dataset

Overview

When running a backtest, oftentimes, the dataset needs to be transformed prior to running the backtest. In some cases, this is required because the data requires some cleaning. More often, transforming the dataset is done to make it easier to calculate indicators from the data and also to run the trading algorithm.

Topics

• Data Formats - discusses the common formats found for asset price datasets.
• Retrieving the Data - shows how to load data into a desktop, including commercial third party data.
• Converting Between Formats - shows how to convert between the common data formats
• Grouping Data
• Creating a Price Map - a price map is a map that makes it quick and easy to retrieve any given price in a backtest.