Backtesting software?

I backtested a pretty simple strategy on a few stocks in Excel, and the results were quite encouraging, but I would like to do a more rigorous, market-wide backtest.

I'd need to be able to screen stocks continuously for certain characteristics, then buy/sell those stocks given certain events happen...

Here's for the first 15 stocks I tested: (Includes 2 cent round trip commisions). Jan 1, 2000 to Jan 1, 2003:

445%
570%
287%
189%
0%
-25%
-26%
73%
38%
168%
334%
274%
1846%
382%
-33%

Long-side trades only... Incidentally, all stocks tested are now lower than they were on January 1st, 2000.

 

OK, you've got my attention. Those are very handsome returns! Would you mind sharing the gist of what your trading ideas encompass? I'd be interested to plug them into Metastock and see how they hold up factoring in slippage, etc.

 

I'd say Wealth-Lab... but TS 6 w/ RINA works too I guess...

 

Metastock doesn't give results across all stocks filtered from a group in a market, then with a 2ndary filter applied, does it?

 

That I can't say. I'm only using it actively for about 2 months or so, so someone more experienced with it will have to answer.

 

var Bar: integer;

for Bar := 20 to BarCount - 1 do
begin
if not LastPositionActive then
{ Entry Rules }
begin

end
else
{ Exit Rules }
begin

end;
end;

how do I say, for example: If SP500 MA is > SP500, then buy all stocks where day's volume > avg volume*1.5 (wealth lab)

 

(and hold for one day)

 

We are doing some backtesting on the following alert coditions

1) Gap Up Reversal
2) Gap Down Reversal
3) Channel Breakout
4) Channel Breakdown

For stocks that are currently trading 1.5 times the normal at the time of day of the alert condition.

Here is a link to the signal sescriptions.
http://www.trade-ideas.com/Help.html#NHBF

 

Amibroker is great for backtesting and is only $99 for the daily version. You can backtest at least 10 years of data using a free sister application AmiQuote.

Also: I encourage you to backtest across different markets (SnP, Nas, ETF's, etc.) one year at a time and see how well your system does each and every year in each and every market. Imo this is one of the best ways to learn the strengths and weaknesses of your system. And you will be surprised how many systems are strong for a year or two but fail in general.

At that point you have to decide if you're getting hit by the Random Walk or you've got a great system that only works in the current market.