Back Testing

Hello All...

This is my first post here. I have been reading the boards for a few days and am looking forward to discussion some basic automated trading topics with all of you.

I have just started looking into automated trading. It's more of a fascination than a quest to develope a system, but non the less I'd like to do some research and testing of my own theories. To start this process I am looking for a program that will allow me to back test very simple principals on one security at a time(Stocks). I'd like to be able to:

1. Set entry rules based on simple technical principals
2. Set exit rules again based on simple technical principals
3. Employ a system of stop loss/trailing stops

All of this should be based on intra day data.

As a result of this testing I would like to be supplied with a simple P/L statement that I can then add commissions and a constant rate of slippage to.

This will help me formulate some very basic strategies that I can apply to my everyday trading. At some point it could be developed into an ATS, but for now I'm just looking to generate some basic signals based on historical data.



Any suggestions are appreciated.



Thanks

 

Tradestation:

http://www1.tradestation.com/strategy_testing/st_creation.shtm

 

Thanks...

I've looked into Tradestation, but I'm looking for something I ca use without an account. I'd rather purchase a program I can run on my PC.

 

Depending on the scale of your research the answer varies.

Most of the high-end trading software includes backtesting.

So if all you are looking for is just some basic research results than just choose the one you are comfortable with will do.

 

It doesn't get cheaper or simpler than Yahoo for historicals, Excel for analysis.

 

True, Yahoo is available at my favorite price, FREE!!!, but wouldn't I have to transfer the data to Excel by hand? I think it would take a very long time to back test a year or 2 worth of data. Please correct me if I'm wrong.

Thanks

 

Lawrence,

I have spent some time on your site and it looks like NeoTick may do the trick. It is more than I was planning to spend, but if it can be used to develope a trading system as well it could be worth the money. A few Q's if you don't mind:

1. As long as I have a data feed I'll be able to back test?
2. Do I need to purchase historical data as well?
3. I can program my trading system right in the software, let it run, and then go over the results that are stored in the dat base, correct?
4. How complex can the trading system be, I'm no lokking for anything crazy, but I do want to base entry points on technical indicators such as moving averages, bollenger bands (sp), etc.

Thanks for your time

 

really also look into Amibroker

 

haha, yea, get yahoo data by hand! certainly that would take forever.

no no, u can download as much as u want right from the finance page right into spreadsheet form. i think they call it historical quotes. just pick the dates u want the security and go.

 

There is a "download data" link at the bottom of the tables.