Backtesting ES for Rules-Based Trading System

Discussion in 'Strategy Development' started by VoodooMMI, Mar 30, 2008.

  1. I developed a crude rules based trading system for S&P 500 Futures. It is a trend following system similar to the turtle trading system but with a shorter time frame. I used daily data from 1984 through 2004 (open, high, low, close) in Microsoft Excel to calculate my trades, account balance, etc. I'd like to create a more refined version but Excel seems cumbersome to use. Which software is good for this type of work?

    I'd like to be able to import the historical data from a file, have the ability to scale into positions, as well as calculate statistics for the trading strategy.
  2. I have been using E-Signal with total satisfaction for about eight years. If you are not experienced as a coder, it has a nifty auto-code generator that works for straightforward trade algorithms. And the trade systems stats you seek.