J'utilise ça :
LINUX
mysqldump -u <user> -p <database> | bzip2 -c > <backup>$(date +%Y-%m-%d-%H.%M.%S).sql.bz2
WINDOWS (je l'ai googlé, car je n'utilisais que LIN)
@echo off
cls
echo Date format = %date%
echo dd = %date:~0,2%
echo mm = %date:~3,2%
echo yyyy = %date:~6,4%
echo.
echo Time format = %time%
echo hh = %time:~0,2%
echo mm = %time:~3,2%
echo ss = %time:~6,2%
echo.
echo Timestamp = %date:~6,4%-%date:~3,2%-%date:~0,2%-%time:~0,2%-%time:~3,2%-%time:~6,2%
%mysqldir%\mysqldump -u %mysqluser% -p%mysqlpassword% -h %mysqlhost% -P %mysqlport% --databases --routines --verbose gnucash_shockwave > %BackupDir%\gnucash_shockwave-%timestamp%.sql