Backtesting and Data Maintenance

Discussion in 'Data Sets and Feeds' started by cordura21, Jun 3, 2009.

  1. Hello I am trying to decide on a backtesting (and money management) platform. I want to try multi-market combinations. Since that's the case, having access to multiple assets data is an issue.
    From what I learned, there are packages with included data (like TradeStation and Prorealtime) and other with ascii files import and other such interfaces. Many of these packages with no data by themselves, have some really good features like multi-market analysis, equity curve correlation analysis, etc...

    My view is that having the data included is a huge plus, since data maintenance, incremental addition, and other issues will be time consuming and could lock the process. On the other hand, Prorealtime doesn't have export features that I know, and Tradestation runs on EasyLanguage (and I have vba knowledge).

    1) Is there a third solution, like a plugin for Tradestation that will allow you to use a more robust backtesting/money management module with it?
    2) In the case of using Tradestation, is it feasible to use it with other brokers (I guess not)? Does it have an API to export its events to Excel?
    3) The vba to C# step looks hard, specially for the syntaxis. Is that a wrong assumption?
    4) Going to specifics, for starters I'd want to backtest and modify Mebane Faber's simple crossover system ( What do you think is the best software to do it (I don't want to do it in Excel?)

    Thanks, and feel free to correct any wrong assumption
    Cheers, Cordura21
  2. I think I'd go the TradeStation route because they take care of data maintenance, and all the code availability (although I really liked Traderstudio for the logic that's build in it)
    Can you export from TradeStation?

  3. I use both Trade Station and TradersStudio but for this task personally I would choose TradersStudio. Just my 2 cents.
    I have a forum about TradersStudio, by the way, where you can see how it works:
    I have no links with this company. We are simply a users' group.
  4. Thanks I read those, specially the second one (from where I got the TradersStudio idea).

    I ended up liking Tradestation (although is not definitive) because I don't have to maintain the data. Are there other packages where you can backtest without having to maintain the data of prices or trades), and have long dated and diverse data? I know Prorealtime does, but I need to test different systems and their interaction.

    As you see I'm biased to use something that sets me free from data maintenance. If you have a better idea - including which way/software to use to maintain it- it'd be deeply appreciated.

  5. Open a chart and there is a button that will open a window showing the data in that chart. In that window there is an option to save it. Do this and all the data and indicators you have loaded in that chart will be saved to a text file which you could import into Excel or any other program.
  6. Thanks Matt. I was looking for something automated. I guess TWSLink could be an answer.

    But going back to data maintenance, those who do backtesting and use your own data: do you save it in ascii files, use some database, some file format?
  7. I use TradersStudio and we can use Use any data vendor in these formats: ASCII, CSI or MetaStock.
  8. What is the conclusion?
    #10     Sep 4, 2009