Any good structure for a simple self-made backtesting platform?

Discussion in 'App Development' started by j2ee, May 11, 2013.

  1. j2ee

    j2ee

    I cannot apply my strategy in retail level or open source trading systems, the logic is totally different from the straight forward apply one indicator or few indicators then backest it with price/volume.

     
    #31     May 13, 2013
  2. Interactive Brokers have an ActiveX API for live trading (I've used it for intra-day trading for a year now and I'm 100% satisfied).

    If you insist on C/C++/C#/..., my recommendation would be to do prototyping in Matlab and then port to any other language - in this way you'll save yourself a lot of time. Learning Matlab is way easier than e.g. C++. You don't need the whole OOP thingy with simple trading scripts anyway (and Matlab has that too just in case).
     
    #32     May 13, 2013
  3. j2ee

    j2ee

    So you are saying after someone spends a lot of money buying matlab to just do backtesting, then he needs to build his own live auto trading system with IB API from scratch. If someone knows how to build a live system with IB API, of course he knows how to create a backtest system as well, then no point to buy matlab or whatever.

    If someone buys a retail system, of course he wants the auto live trade part too, not just a backtesting system like matlab.
     
    #33     May 13, 2013
  4. You don't need to build from scratch - there's plenty of source code available out there. Anyway, I'm not a salesman so if you're not yet convinced I'm not gonna argue - I'm just saying what works for me and it's your call what to do next.
     
    #34     May 13, 2013
  5. I suggest R instead of Matlab for those looking at Matlab for whom cost is an issue.

    The two are equally (and widely) popular for financial modelling.
     
    #35     May 13, 2013
  6. There are free Matlab alternatives as well, e.g. Octact - not sure about compatibility though.
     
    #36     May 13, 2013
  7. j2ee

    j2ee

    If someone can understand source code and work with it with programming skill, why would he choose matlab but not build his own system?
     
    #37     May 13, 2013
  8. How about saving time and money perhaps?
     
    #38     May 13, 2013
  9. j2ee

    j2ee

    Saving money? Matlab is crazy expensive as a backtest only package.
     
    #39     May 13, 2013
  10. Well, it all depends on how you price your time and the opportunity cost...
     
    #40     May 13, 2013