Testing the code for the Bumblebee

Now that we’ve expended brain cells in the coding of a trade idea, we’d like to make sure the thing works as we think it should. Before we spend any more brain cells determining how well our system will perform going forward, we’d better complete this important step.

With TradersStudio, a list of trades is generated with a backtest run. These trades can be depicted on a chart as neat little arrows at the point where a trade was transacted. The Bumblebee system requires the programming of a proprietary indicator, which I’ve done behind the scenes. Now we overlay the chart (with the neat little arrows) with the proprietary indicator to see if the arrows are where they’re supposed to be.


The first time I ran this process through I was horrified to find a mistake in my programming, which generated all manner of errant trades. After removing the poltergeist, I was able to get a clean programmed code.

I ran the code test on data from 1973 to 1974 in the Cotton market. My future backtesting (I know, bad choice of words) will not touch this data. I will begin in 1988 and include a total of 10 markets. But for now, I’ve chosen some data that I don’t mind contaminating.

If you’re suspicious about my worries concerning contamination, suspend your doubts for now. We are participating in best practices; that’s the point of using way out of range data. Though it may not matter now, later on it will be important to keep backtest data separate from walk-forward data. This best practice is designed to help avoid curve fitting.

Alright, we’re now done with the first third of our system development. Next we run the second third, which includes Backtest, Optimize, Walk Forward, or for acronym fans, BOW. Each phase is progressively more interesting, which keeps us doing what we’re doing. During this second phase, we will generate all manner of data that we need to process and understand correctly.

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