Backtesting Automated Results

Discussion in 'Automated Trading' started by dpeck, Feb 21, 2006.

  1. dpeck


    How do you analyze your back testing results with an automated trading system?

    I have working on my automated system and I would like to be able to run some analysis on the real and back tested trades. Have you created your own software, use Excel or some third party? I don’t really want to take the extra time to try and code my system in some third party software (Trade Station, Meta Stock, take your pick) but I do need some way of analyzing the results.
  2. I use Matlab to backtest. Most people backtest their systems and then if they work they automate them, the reverse of what you are doing. You could test it in real time with a paper trading account from IB.
  3. dpeck


    I agree that this may be a bit backwards but it seems to me that the only difference between back testing and running an ATS live is where the data comes from. My intention was to switch the data source from a market feed to my local copy of the data. Instead of the 5 minute bars being 5 minutes apart I simply push as many as fast as I can, logging the trades as I go.

    Once the trades are logged all I would need to do is run them through some sort of analysis program. Not unlike Trade Station or any of the other retail products.

    Has any one developed their own back test analysis application? I am curious as to whether you used Excel or rolled your own. Excel would certainly be easier but it has its own limitations as well.
  4. when you backtest, the most important this for you will be the data you use - and tradestation is surely not the way to go - the data has a lot to be desired