backtesting a signal file

before I spend lots of time figuring this out, and come to find out that it is not possible... I figure I ask the community...

I want to gather performance stats on a number of trades, I didnt collect price data for the trades, if not I could manually do it...I only collected, date/timestamp and long(+1)/short(-1)... so all I have is this..


2/14/2012 16:01 1
2/14/2012 16:03 1
2/14/2012 16:21 -1
2/14/2012 16:23 -1
2/14/2012 16:37 1
2/14/2012 16:38 1
2/14/2012 16:39 1

what I want to do is the following:

load up the data into MC from csv/xls file. Walk through ES data stream and execute the trades as the date/timestamp is met with the given action.. then evaluate performance metrics...

simple.. I tried it with TS9 and they dont support importing date/time from excel...

anyone has any ideas?

Hello Ofthomas,

That is possible to create a custom dll that will read from the file and send trading signals based on the file contents.

ok, do you have pointers to sample DLL code accomplishing that kind of task?

ofthomas,

that should be doable with ELCollections and the DLLs ability to read the data into the memory to access it from there and execute the trades. The ELCollections manual contains examples on how to read text files into maps and lists and how to work your way from there.

Regards,

Chris