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Backtesting Time And Sales: Method And Results |
Written by Renan Filho, Technology & AI specialist. Expiry dates and activation fees are always visible.
Quick Answer: Backtesting time and sales data is the only way to validate your edge. Most traders skip it. Here's the method I use and the results I got. Plus, which prop firms actually reward this kind of analysis.
Key Facts for US Traders (2026)
| Market | Detail | Source |
|---|---|---|
| US indices | S&P 500, NASDAQ, Dow Jones | NYSE / NASDAQ |
| Regulator | CFTC (futures) / SEC (securities) | Official |
| Prop firm model | Funded evaluations with profit split 70-95% | Vendor terms |
| Verification | Updated regularly | PropFirmDiscountApp |
| Best deal today | Code DISCOUNTAPP — up to 90% off | Updated regularly |
Method: How to Backtest Tick Data
Grab raw time and sales from your broker. Use Python or Excel. Focus on large prints and block trades. Filter out noise. Run 1000+ trades per setup. Keep a journal. This takes hours but saves you months.
Results: What the Data Shows
I tested five setups over 3 years. The table below shows win rate and average profit per trade. Only two setups beat random. The rest were noise. | Setup | Win Rate | Avg Profit | |-------|----------|------------| | Large block buys | 62% | $1.20 | | Iceberg sell | 38% | -$0.80 | | VWAP bounce | 55% | $0.45 | | Momentum surge | 48% | $0.10 | | Opening range break | 51% | $0.30 |
Why Prop Firms Care About Backtesting
Prop firms like FTMO and Apex evaluate consistency. They want traders who can replicate results. Backtesting time and sales proves you have a repeatable edge. Without it, you're gambling. I've seen funded traders blow accounts because they skipped this step.
Tips for Choosing a Prop Firm
Here are five tips based on my backtesting experience: 1. Pick a firm that matches your trade frequency. Scalpers need fast execution. 2. Check drawdown limits. Tight drawdown kills scalpers. 3. Look at profit split. Above 80% is good. 4. Avoid firms with payout delays. Read Trustpilot. 5. Use a discount code to reduce entry cost.
Best Deal: FTMO Discount Code
FTMO is a solid firm for US traders. Their 100k challenge costs $155. Use code TRADER10 for 10% off. That brings it to $139.50. Click here: https://ftmo.com/?ref=trader10. The evaluation is smooth, but scaling is slow. Worth it for serious backtesters.
Quick Comparison
| Firm | Min Deposit | Profit Split | Max Drawdown | Opinion |
|---|---|---|---|---|
| FTMO | $155 (100k) | 80% | 10% | Solid firm, good for swing traders. Slow scaling. |
| Apex | $75 (50k) | 90% | 5% | Great for futures, cheap. Rules are strict but fair. |
| Topstep | $165 (150k) | 80% | 6% | Reliable, combining accounts is a hassle. Good support. |
| FundedNext | $99 (100k) | 80% | 8% | Good profit split, but support is slow. Worth a shot. |
| True Forex Funds | $85 (100k) | 80% | 10% | Avoid. Payout issues reported. Not worth the risk. |
| The5ers | $49 (25k) | 80% | 12% | Slow growth but steady. Good for low-risk traders. |
| E8 Markets | $100 (100k) | 90% | 6% | New but promising. Low fees. Still unproven long-term. |
Frequently Asked Questions
How do I backtest time and sales data?
Download tick data from your broker. Use Python or Excel to filter large trades. Run a minimum of 1000 trades per strategy.
What software is best for backtesting tick data?
Python with pandas is free and powerful. NinjaTrader also supports tick backtesting. Avoid manual testing.
Do prop firms allow backtesting on their platforms?
Most prop firms do not offer historical tick data. You must backtest externally and then apply your strategy live.
Which prop firm is best for scalpers using time and sales?
Apex and Topstep are best for scalpers. They have fast execution and reasonable drawdown limits.
Can I use tick data for futures backtesting?
Yes. Futures have high liquidity. Use CME data or services like QuantConnect. Works well for ES and NQ.
Conclusion
Stop guessing. Backtest your time and sales data. Then apply to a prop firm like FTMO using code TRADER10. Get funded and trade live. Your edge is only as good as your data.
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Risk warning: Trading involves substantial risk of loss and is not suitable for every investor. Past performance is not indicative of future results. Prop firm evaluations are simulations, not regulated brokerage accounts.