Hello, Most backtesting software such as tradestation, ninjatrader, etc only let us backtest trading strategies. I would like to know whether there are software that let us conduct statistical study to find out characteristic of the market or the price movement. I have been using excel in this regards for awhile. However, it crashed when I try to process too much data and it's not optimized for doing market study. Thank you!
no it does not it could show you if you have an profitable and hopefully robust edge but it will not show you in what way marketbehaviour has changed over the period that your ats has been testet your question makes sence samewhat, i do program my own custom indikators using EL to get a feeling about marketbehaviour changes think stuff like statistics... how many hours after opening the low or high of day have we left behind us? valuable information for any breakout intraday system with those data's i start "create" my ats im not familiar with any software that can handle this hence the reason i customized some indicators to show me this information, maybe someone else can help you im sure it will exist
I'm not sure I really understand the question completely, but if you're speaking about adding an external criteria to the specific stocks/etf's/etc that you are trading, that can be done with WealthLab, which is written in the old Pascal language. For example, say you want to only be long stocks when interest rates are muted and not rising as higher interest rates will attract institutional money as allocation strategies will shift from stocks to bonds. You can easily code that in WL. Not too familiar with the others, but I would be surprised if one wasn't able to do it in those as well. As far as 'characteristics', not really sure what you mean, but Lord knows there are a plethora of stats/data/indicators out there one can use.
Basically it's what flyingdutchmen says. We can try to obtain valuable information from the statistical result then create trading strategies out of it. Thus, we develop a better understanding of the market before formulating the trading strategies. With the current backtesting software, like tradestation and ninjatrader, we have to start out with the trading strategies before we even know about the market, then optimising the parameters to fit the historical data. The order of procedures seems wrong to me. I'm using excel right now. Althought it's not built specifically for market study, it seems to be the best software of its kind. However it's pretty slow, since I have to formulate everything down to math equations in order to extract information out of it. It also crash while processing a lot of data. I have to divise the data into smaller parts and test them one by one then regroup the result at the end. It's quite slow and redundant, I have passed hours just doing copy&paste.
Learn vba, or R. Just get to know how to run a loop in vba, and all the copy/paste problems will be a thing of the past.
You should also look at TradersStudio , using custom reports you can do what you want to. We even have an example code , custom report which produces the statisical reports like in the Toby Crabel book.