Strategy Testing

[PaulSmith]

How do you test your trading strategies?

I have sharescope gold. I use it to filter / datamine for stocks eg find momentum growth stocks which are still good value.

What I would like to do is find the answer to the question - How would this strategy have performed if I had run the filter last month?

At present I am testing a few strategies, but using the live data each day to rerun the filters, in other words it takes a month to test a months eod data!

Is there a better way? Bear in mind my filters are not just using closing prices they include percentage share increase, percentage EPS increase, forecast EPS increase...

Thanks for your tips.

 

[sidinuk]

Well, I don't think you can beat good old Excel for flexibility. Dump all your data into that and do any calcs you want.

 

[peterpr]

How do you test your trading strategies?
I have sharescope gold.

I used Sharescope for 12 months or so but moved to Esignal because of its scripting language and Backtesting capability. Sharescope has a lot going for it in terms of immediate access to a vast number of instruments and its fundamental data + data mining. It's the less than stellar charting + lack of integrated scripting that are it's main shortcomings (IMHO). More suitable for investors than traders I'd say.

As Sidinuk says, its easy enough to squirt everything into Excel but, superb though Excel undoubtedly is, it's no substitute for integrated backtesting with code access to all the indicators etc. + the mind-boggling strategy analyzer that comes with ESignal (and no doubt other packages like Metastock, Tradestation, WealthLab etc). Problem isit entails learning a new language (in ESignal's case a superset of Javascript). There is a wizard but you soon run up against the inevitable limitations and need to tweek the code yourself.

 

[Tuffty]

Apart from the tools you'll need a robust backtesting strategy otherwise you'll just be curve fitting and kidding yourself that you have a system that works. A phd from MIT in stats has helped some people but I find common sense also works well in forming a good backtesting strategy!!