Alternative ways to back-test a strategy

Discussion in 'Strategy Development' started by Mut1ey, Oct 8, 2003.

  1. Mut1ey

    Mut1ey

    I read with interest the Training section here on ET, accepting that its built around Tradestation platform. However, I wonder what other options there are?

    Mutters
     
  2. Any AMIBROKER users here?

    I just purchased AB and I would love to hook up with other users on ET.

    Learning to program AFL now, any help or hints are greatly appreciated !

    Who is using AB for backtesting ??

    :)
     
  3. PetaDollar

    PetaDollar Moderator

    Plenty! If you are looking to buy something someone else can point out some products if you post what you'd like to test (stocks, futures, options, etc.).

    However, there is a WHOLE LOT of good work you can do without buying anything. Assuming you are using charts, going through the charts by hand, and filling out a spreadsheet as you go, is a very valuable exercise. The key is to base any signals (entry AND exit) on closed bars. In real time, the last bar and any associated indicators will wiggle around.

    More important than backtesting is forward testing. Get yourself one of the free simulators (TSim+ or NinjaTrader) and trade real time with fake money for at least a month, if you are talking about day trading. If you are doing something longer term I would test for at least 50 trades to get a feel.
     
  4. Mut1ey

    Mut1ey

    Pete

    Thanks for that.

    I am looking to test the Dow Index Future, on a 15 minute chart basis.

    The problem I have is getting access to those charts going back longer than, say, 7 days. End-of-day charts are obviously a lot easier to obtain, but of no use to me.

    Mutts
     
  5. ...E-Signal offers a very powerful strategy development and testing platform for less fee than TS (if you don't open a TS brokerage account, that is). I pay $113 per month (the IB customer discount) including CME fee. The E-Signal programming language is a Java extension, which is a plus if you have programming experience and want your "code" to look like REAL code. I have used it for nearly two years and am very satisfied with its capability.
     
  6. Mut1ey

    Mut1ey

    Unfortunately I can't see what you mean as I don't have access.

    Mutts
     
  7. Sorry about that. If you go to the home page you can see samples of alerts. Here is a list of all the options. http://www.trade-ideas.com/Config.p...inPrice=5&MaxSpread=8&MinVol=300000&MinRV=1.5

    The history link I sent you allows you to go and back test how a particular pattern or alert behaved. You can continuously adjust your settings until you get the desired result.
     
  8. PetaDollar

    PetaDollar Moderator

    If you subscribe to ESignal your problem will be solved.

    If you don't want to plunk down the monthly fee you can still obtain, say, the whole trading history of the Sept. contract and work with that. There are online vendors who can sell you the data, maybe even someone would be nice enough to just email it to you. Sorry I don't have any YM data.

    SierraCharts is a nice ($7/mo.) solution if you choose to look at old data by hand with indicators, fibs, etc.