Does anyone have any recommendations for software that can run some pretty basic back testing? I say basic, because I'm not a programmer. Just a trader that would like to put some of my observations and trading set ups to the test to see their probabilities of success over time. Currently I'm running my trading through Interactive Brokers and trade mostly futures with some equities mix in from time to time. Thanks for your help!
> pretty basic back testing? I say basic, because I'm not a > programmer. Learn programming. Seriously. The problem with "Basic" is that (a) proper trading is not (it is not some simple conditions - some of the TRADE logic that we work on here goes over pages - that is the logic to execute trades, go in and out of positions etc., not the simple signal code, plus avoiding market open and cloe times, news times, times the order book looks crappy etc.) and (b) you will have to validate all edge cases which you would obviously NOT trade but which will be traded in backtest otherwise. The trivial stuff is like "Is there a simple car because I want to check some ideas for driving races" - not the same.
__________________________________________________________________ Learn programming. Seriously. The problem with "Basic" is that (a) proper trading is not (it is not some simple conditions - some of the TRADE logic that we work on here goes over pages - that is the logic to execute trades, go in and out of positions etc., not the simple signal code, plus avoiding market open and cloe times, news times, times the order book looks crappy etc.) and (b) you will have to validate all edge cases which you would obviously NOT trade but which will be traded in backtest otherwise. The trivial stuff is like "Is there a simple car because I want to check some ideas for driving races" - not the same. __________________________________________________________________ Fair enough. If you could, give me a starting point. What language would you recommend, etc... Is there a system that you use and like? Trade logic isn't what I'm looking for. I tend to trade certain setups and would like to apply some back testing analysis based on the criteria that I tend to trade. Thanks
Well, the problem is that without trade logic the backtest tells you nothing relevant All you have then is signals and you must filter out and get the possible output yourself. It takes ages to validate just whether you have no bad edge cases in a strategy. Saying as someone who employs 2 people full time doing nothing than trying out strategies When we develop a new approach, we test it on one market, then print out a year of charts and check every signal by hand - to make sure that the result is "proper" according to our rules. Nothing worse than throwing away a strategy because you forgot to properly implement a condition or two - which happened I would suggest something with EasyLanguage as a start - it is not THAT powerfull for general programming, but made for easy strategy development. Multicharts, I think, is the favour here. I prefer C# (NinjaTrader, though it SUCKS - in 20 meter capital letters) but that is more because I am a C# developer An alternative is to combine with someone doing the programming and possibly trading and sharing the strategies. Again, do not understimate the time it takes to really get some sensible results out of a backtest and interpret all the statistics It is quite daunting.
__________________________________________________________________ An alternative is to combine with someone doing the programming and possibly trading and sharing the strategies. Again, do not understimate the time it takes to really get some sensible results out of a backtest and interpret all the statistics It is quite daunting. __________________________________________________________________ Your last point is well taken. I think I'll try to tinker with it in multicharts, while looking for someone far ahead of me on the curve. Thanks for your insight!
Check out InvestorRT at www.linnsoft.com. Their programming language is easy to learn, and support is excellent. When you get to the point you have confidence in a system, you can semi-automate or fully automate entries with IB, as well as using data from IB as your datasource.
If you told me this 6 years ago, I would have questioned you. But yeah, the signal is just the start of it. Once you have an observation, writing the code to manage the scenarios that pop up in the real market around that situation takes a lot of time. The way I do it currently is I just trade it outright with 100 lots, and then I record everything, go back, fix, repeat. And then I tell the risk manager/broker to force a max loss limit and to take away the keys if something goes wrong. I know some firms have some pretty realistic simulators and back testers, but even those simulators have certain assumptions baked in and then the real world has ways of making you aware of all the faulty assumptions pretty quickly.
"Once you have an observation, writing the code to manage the scenarios that pop up in the real market around that situation takes a lot of time." Yeah, that's the crux of what I'm trying to do. Been trading these same rules and setups for a while, so maybe I should just leave well enough alone, but curiosity as to how well they back test has gotten the better of me.
"I'm looking for a basic car" "Learn how to design and build cars" Give us a break people! The guy is a trader not a programmer like you. The guy wants to make money not spend his life coding. Amibroker (Cheap and good. A little harder to learn) Multicharts (I like it, Easy to learn. Took 10 minutes for me)) Metastock (Old but still good) Tradingblox (More adanced) Tradestation (Must open account, same as Multicharts) These are examples of basic backtesters. You will have to pay. Otherwise code learn how to code.