How to Backtest a Dataset from Quandl.com

Posted by Profitspi Admin at 5/27/2015 4:00 AM

Our new Data Manager tool allows you to easily retrieve any dataset from Quandl.com and refresh that data when needed.

Data Manager

When you first view the Data Manager it will look similar to what is shown below:

First Time Retrieval

Now you just enter the Quandl code from Quandl.com, Eg ICE/BZ2015, and click 'Get Quandl Instrument(s)'. The API key is needed if you are making high use of Quandl data or need to access any premium dataset. Once the data is retrieved and updated the page should now look like this:

The Symbol Id has been stripped to 'BZ2015' and the retrieved history is shown in the bottom panel. You can use 'Edit Grid Data' to change the Symbol, Name, etc.

Access User Instruments via Backtesting, etc

When accessing your Instruments on any other part of the site the Symbol Ids are prefixed with '!' to identify them as User Instruments. So in this case you would use !BZ2015.

To run a Backtest against this Instrument just choose the Specific Symbol Id(,s) option on the Strategy Test panel as follows:

You could also create a Watch List of your Instruments and Test against that.

Refresh Data at a Later Date

On subsequent visits to the site, if you need your Instruments to be appended with any recent price activity, just go to the Data Manager page and click 'Refresh Quandl Data'. This function will check your Quandl related Instruments and append any recent price history found.