I currently use MS/TradeSim for backtesting EOD and Weekly strategies. What good softwares are available for intraday backtesting? Does anybody here trade a mechanical system intraday? What returns are you pulling? I heard EOD/Weekly trendfollowing systems can be made more efficient using, say, 15-minute bars to increase the trade frequency and opportunity. Thoughts?
Your simulator might be able to use historical intraday price data from http://www.livecharts.co.uk/historicaldata.php. I write my own software. Some methods test well using intraday price data. I am afraid of intraday trading. If the attack on the World Trade Center occurred at 11:00 AM then the exchanges might have shut down suddenly and trap day traders with large positions. I recall the exchanges re-opened a week later and general stock market index values opened about 7 % down. Such unpredictable and unknowable events could doom a day trader. I get crazy results such as these: Number of trades 92 Total profit $ 4734 Profit after subtracting $ 10.00 commission & slippage per transaction: $ 2894 Risk is 1.00 per cent of equity. Greatest draw down is 0.0997 (9.97 per cent). Cumulative Annual Growth Rate (CAGR) is 137.82 per cent. Initial capital is $ 10000 Long trades only. One catastrophic event and I am doomed.
Yes but market exposure is much less for daytraders compared to EOD/Weekly traders. With intraday systems, you could even close out all positions at the end of the day, as to avoid the effect of overnights gaps. Does anybody know where the best place is to get intra-day tick data (or even 1min, 5min, or 15 min is okay) for ASX and historical data and how much this would cost? Thanks.
I would use Trade Ideas for Back testing. Tradestation and others can only back test ONE stock at a time. Trade Ideas has a program called Odds Maker that looks at the whole market for ALL stocks. I do all my backtesting with it. Here is a link if you are interested. I highly recommend it! Cheers! http://www.trade-ideas.com/OddsMaker/