TradeStation

[mmillar]

TradeStation 2000i

In issue 2 of Traders magazine (page 54) the author backtested the Eurostoxx 4.5 years with TradeStation. When I look at TradeStation's website they only offer US stocks and futures. An e-mail to TradeStation just gets me a cryptic reply about 'an old version not available in the US'. Can anyone shed some light on this? Which version? Is it still available 'outside the US'? Can it import third party data files?

Thanks

mmillar

 

[wysinawyg]

I assume they're talking about Tradestation 2000i which is still available in Europe and comes without being limited to the wired in data but also without the direct connection to the Tradestation brokerage account. It also comes without the option of a monthly subscription so you're looking at £2k ish I think to buy a new copy. Does come with some data but not entirely clear what the streaming support you get with it is.

wysi

 

[mmillar]

cheers

 

[Trader333]

Hi Mmiller,

I have Tradestation 2000i and I am able to download intra-day data for all US stocks, futures and many other instruments and all FOC. I am not sure if I could download the European exchange data but I will check this.

Tradestation does allow you to import data and then write your own rules for backtesting which I have done on many occasions. I have seen people advertise it second hand at a very reasonable price so if you wanted it I am sure you could get it.

Cheers


Paul

 

[mmillar]

Paul,

Thanks for this. I've just seen 2000i for sale for 600 euros which seems perfectly reasonable.

When you say you download intra-day data FOC is this from Yahoo or someone like that? Would/could you buy a $15 complete history of, say, the ES and just plug that data in?

On the backtesting side do you just pull the code (is it .ela's?) from the web? Is the coding language changing with the new versions (v7 being the latest)? Do you have any compatability issues?

Many thanks for your help.

mmillar

 

[zambuck]

Hi there

Could you please provide the link where TS is avilable in 600 euros?..

I have been searching the local links on web without sucess..

Also is it possible to download the data from yahoo etc using TS2000i?

Is history of US stocks avilabe fron TS site or from web?

I would be grateful for any comments.

regards

 

[Trader333]

The downloadable data is from a site specifically for Tradestation users and is not from Yahoo.

Yes you can buy a complete history from sites such as www.is99.com but you would need to specify the format you want it in which for Tradestation is *.omz

To backtest you have to build a strategy which involves inputing signals that come either ready made or ones you have written yourself. So, for example, I may have a signal that I have written that says

1) Dont start this test unless it is 10.00am at the Exchange

2) If the fast moving average crosses above the slow moving average then buy next bar at open

3) If the fast moving average crosses below the slow moving average then sell next bar at open.

4) If profit since entry is =< -10 exit this bar at close

You would add all sorts of conditions and then you can get Tradestation to optimise parameters such as the optimal moving averages to maximize profit or minimise drawdown.

I once setup up a strategy that had so many variable parameters that is took 15 hours to calculate the optimum conditions. There were over 100,000 possible variables.

Anyway it is not a good idea to optimise a strategy that is not in itself profitable at the basic level which can also be tested very quickly. An example is shown in the attached spreadsheet and be sure to look at all the worksheets as there is something different on each of them.

The attached spreadsheet is a real case scenario that I was playing around with using FTSE100 data starting in 1984 and running until 2001 which is when I did the test. The time interval was weekly, ie I only checked the weekly OHLC and as you can see it gave a very nice profit (in theory).

Now before anyone asks what have I done to improve the £2.8 Million profit that would have been made trading this strategy, bear in mind that the intra-day drawdown was too much but it does show what can be done with this software.

I hope this helps


Cheers


Paul

 

[mmillar]

Paul,

Sorry you don't have the £2.8m - perhaps next time.

I'm backtesting with eSignal at the moment, but there is a serious lack of historic data, which is why I'm looking around for other options.

One final question. On the last worksheet it says 'Version Type: End of Day'. Are there different versions of TradeStation 2000i (EOD and intra-day)? I'm looking for intra-day analysis.

Thanks

mmillar

 

[Trader333]

Hi Mmiller,

No the data that I put in was EOD for that particular study. TS2000i is a realtime intra-day or EOD package in one.

Cheers


Paul