Back testing software?

PKFFW

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Hi All,

I'm trying to develope my own mechanical trading system. So I was wondering if anyone can recommend a good stand alone back testing software package. Preferably not too expensive and easy to use as I'm not a computer programmer.

Cheers,
PKFFW
 
TS2000i is pretty good and you can pick up a second hand copy pretty cheap.


Paul
 
I also agree. Metastock tester is good too but for simpler things.

I used TS2000i for a while but I had to hire a programmer to do the job for me. It is a very powerful product but programming it can get tricky especially if you want to do things like pyramiding of positions for example.

Any comments about Amibroker and Wealth-Lab? I really want to get detached from Metastock but I lack the skills I guess.

Joe
 
PKFFW said:
Hi All,

I'm trying to develope my own mechanical trading system. So I was wondering if anyone can recommend a good stand alone back testing software package. Preferably not too expensive and easy to use as I'm not a computer programmer.

Cheers,
PKFFW

IMHO: I think you should write your own. Programming isn't as difficult as you might think, logical thinking is all you need. I have written many useful applications for myself, 'backtester' being one of them! Microsoft Visual Basic 6 is probably one of the easiest programming languages and I learnt most of what I need and use from a Complete Idiot's guide!

I bought historical data that I use from:

http://www.tickdata.com/index.html

It's only after doing it that you realise that most commercial trading systems are nothing but snake oil. You would probably make more money selling one you wrote yourself rather than using it to trade.

I am now learning JAVA, but I am not sure if it can do what I need, but the great thing is it’s completely FREE!
 
new_trader said:
IMHO: I think you should write your own.....

I thought the man said he has no programming skills. I have the same problem to a degree, I can only do basic stuff.

Please, if you know of a fast and efficient way for someone who is not skilled in the programming art and science to become proficient in it let us know.

As far as developing you own back-testing software it may be a good idea I guess but did you compare your results with those of other packages? any surprises?

I have noticed several times differences in the back-testing results generated by various programs out there even for simple systems like a key reversal. It is curious to me as to why this happens.

Joe
 
Thanks everyone for the replies. I think I'll give TS2000i a try if I can get a cheap copy somewhere.

Before I buy it though, do you need a specific data supplier? I don't want it to actually trade with, just to do back testing on so I don't want to be locked into a specific supplier or broker.

New_Trader, I have absolutely no programming knowledge at all so doing it myself really isn't an option. Would you mind giving me a look at yours?? :)


Cheers,
PKFFW
 
PKFFW said:
Thanks everyone for the replies. I think I'll give TS2000i a try if I can get a cheap copy somewhere.

Before I buy it though, do you need a specific data supplier? I don't want it to actually trade with, just to do back testing on so I don't want to be locked into a specific supplier or broker.

New_Trader, I have absolutely no programming knowledge at all so doing it myself really isn't an option. Would you mind giving me a look at yours?? :)


Cheers,
PKFFW

PKFFW

This is my version of a “dummies guide”. Writing a program that a computer understands is analogous to writing a set of instructions that a human can understand. You only need to know a few key words and have a basic understanding of syntax. I’m not sure how many words there are in the English language (not including proper nouns), but even a concise dictionary has around 50,000 definitions. How many words do you use in everyday life? I’d say like most people, you only need and use about 300 or less. Same as programming, although I’m not sure how many commands there are in VB6, but I have a Microsoft VB6 Programmers Guide book that is almost 1000 pages thick and I hardly ever use it. Sure, if you expanded your vocabulary you could say/write things using fewer words, but the end result will be the same. It’s all about logical and lateral thinking.

If I remember rightly, you are a fire fighter? I don’t know much about fire fighting so forgive any errors, but as an example, if you were asked to write a simple set of instructions that would allow ANYONE to identify a fire and take appropriate action, would you consider it impossible?

If you were to write it in “computer” language it would look something like this:

If condition= Heat + Fuel + Oxygen then

triangle= fire

Else

triangle=safe

End if

If triangle=fire then

If fire height >1meter then

Activate fire alarm and call fire brigade

Else

If fire= electrical then

Get C02 fire extinguisher

Point at fire base

Extinguish fire

Elseif fire= wood or paper then

Get water fire extinguisher

Point at fire base

Extinguish fire

Else

Get foam fire extinguisher

Point at fire base

Extinguish fire

End if
End if
End if

(I hope I put in the right amount of “End If’s”, I always have trouble with them)

A real VB computer program wouldn’t look very different from the above. I would say that you could write a very useful back test program using only the following:

1) If, Then, Else
2) Arrays (very useful)
3) Loops
a) For, Next
b) Do, While, Loop
c) Do, Loop, Until
4) Mathematical Operations (+, - ,* ,/ )
5) Logical Operators (And, Or, Not, Xor)
6) Relational Operator (<, >, =, etc)
7) Data Types (Whether something is a number, word, etc)
8) working with files, txt,dat, etc


Like the fire fighting analogy, the hardest part of programming is not so much knowing the language, but the flow of the logic. Also, if you really had to write a fire fighting program you would need to take into account many other factors such as, whether the fire is accidental or controlled etc. This would involve many “If, Then” type commands. This is what can cause you to tear your hair out in frustration when things aren't working right, but still, it's fun!

One last thing I should say. VB6 is ok if you already have an idea for a mechanical system that you want to trade and just need to test it, like a breakout strategy. A good charting program is necessary to develop the concept.

One extra last thing, I know only a little of what there is to know about VB6, but I know absolutely nothing about TS2000i, Wealth-lab or Metastock :eek:
 
Last edited:
Amibroker Function Library

equtrader said:
I also agree. Metastock tester is good too but for simpler things.

I used TS2000i for a while but I had to hire a programmer to do the job for me. It is a very powerful product but programming it can get tricky especially if you want to do things like pyramiding of positions for example.

Any comments about Amibroker and Wealth-Lab? I really want to get detached from Metastock but I lack the skills I guess.

Joe
equtrader
I use Amibroker and rather like it. I am not a programmer, but am used to programming languages.

If you want to see the level of complexity of their language their function library is freely available at the links below. This shows you all the functions available and gives you a flavour for how easy it would be to amend them or create completely new ones.
http://www.amibroker.com/library/

http://www.amibroker.com/library/list.php

http://www.amibroker.com/guide/afl/

Charlton
 
Yup. Amibroker is THE best, and fastest of all. It's the second best option to writing your own.
You will be amazed at what a 64kB VB app can do.
 
Has anyone here used Trader's Studio, Mechanica, or Trading Blox?

These are all fairly new backtesting software that will allow you to test an entire portfolio at once.
 
:cool: where can i get a used copy and how much should i anticipate spending?
thanks
garrett

Trader333 said:
TS2000i is pretty good and you can pick up a second hand copy pretty cheap.


Paul
 
Kunal said:
Yup. Amibroker is THE best, and fastest of all. It's the second best option to writing your own.
You will be amazed at what a 64kB VB app can do.

I have been demoing Amibroker and Neoticker and am a bit concerned with the complexity of the programming language in Amibroker...It looks like a fantastic tool,but it didnt appear to have a very thorough manual...

I would appreciate any insight to the product.
 
ahem.

if you really want to backtest then use software to get a feel as to the success of the strategy - but there is no substitute for hand testing and getting down and dirty with charts. I'd never invest any of my hard earned into anything before it had been hand tested.
 
TradeSim & MetaStock

PKFFW said:
Hi All,

I'm trying to develope my own mechanical trading system. So I was wondering if anyone can recommend a good stand alone back testing software package. Preferably not too expensive and easy to use as I'm not a computer programmer.

Cheers,
PKFFW


I use MetaStock 9.0 EOD and TradeSim and it seems OK; MS backtester is good for single securities/futures/FX, or for basket tests, but does not works for backtesting a portfolio.
On the other hand, TradeSim was designed to do just that.
You may want to visit their website at http://www.compuvision.com.au ; also, MetaStock language is very simple in comparison with EasyLanguage or others, and there are users groups with will help you in writing your strategies (that is in addition to the collection of written strategies you can find on some magazines).
The only problem might be with TradeSim, it has a bit of a learning curve, but even there you can find a user group willing to help.
 
inflector said:
Has anyone here used Trader's Studio, Mechanica, or Trading Blox?

These are all fairly new backtesting software that will allow you to test an entire portfolio at once.

I just ordered Traders Studio as it is very well priced relative to mechanica and traders Blox and has virtually all the power and capabilities of them..It is also a great charting package as well...

I would highly reccomend you look into tradersstudio
 
what i,m looking for is a program that will allow me to scan for something like the following,oversold/bought gap up/down on volume,with drag and drop or something simular,no codes! looking at Amibroker and the list of potentials is to much for my tiny brain.
 
mroalan said:
what i,m looking for is a program that will allow me to scan for something like the following,oversold/bought gap up/down on volume,with drag and drop or something simular,no codes! looking at Amibroker and the list of potentials is to much for my tiny brain.

dont sell yourself short!!! from tiny little brains grow greta big brains!!.

If you like amibroker,which is pretty nice,get it with the add on program called Amitools.It will do what you want,and its really pretty simple.No programming necessary..
 
PKFFW said:
Hi All,

I'm trying to develope my own mechanical trading system. So I was wondering if anyone can recommend a good stand alone back testing software package. Preferably not too expensive and easy to use as I'm not a computer programmer.

Cheers,
PKFFW

Here is a tip that may save you hundreds of hours and much moolah!
Do not put the cart before the horse. In other words learn to trade successfully first, using the greatest computer of them all - your brain. And then, and only then see if the system - and I mean the sequence of every little nuance that the thousands of impulses the neurons in your brain fire off every second - can be expressed in computer code, if indeed you really have that level of self awareness to realise this.
Losing money is not a great crime but wasting time is IMO.
If you think this is crap then try trade station or many of the others available to take the human element out of trading.
Good luck!
 
taowave said:
dont sell yourself short!!! from tiny little brains grow greta big brains!!.

If you like amibroker,which is pretty nice,get it with the add on program called Amitools.It will do what you want,and its really pretty simple.No programming necessary..
Thye also have an online function library with loads of ready made stuff plus a user group on Yahoo ?? I think

But I wholeheartedly agree with the advice given by Rols - learn to understand the market before you trust in these tools or attempt to do your own "semi-programming". Any indicators are one step removed from the basic price and volume.

Charlton
 
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