Does anyone know of a good software that would allow me to effectively backtest intraday trading strategies? From everything I 've read it seems that Tradestation is the best one, however they require a minimum of $30K to open an account with them and use the software. I don't want to do that as I already have trading accounts with TerraNova-MB and IB where I keep all my trading capital. I have no problem paying a couple hundred dollar monthy fee for using the software, however I am definitely against depositing 30 grand just for the right to use it. I would appreciate any and all responses. Thanks, Rafael
Guess what? Tradestation IS available for $200/month without account. http://www.tradestation.com/fees/subscrip_options.shtm Tony
Rafael, Do consider that there is only a few weeks of historical data available through TS6, and you cannot use it on other data. This is not even close to enough data to do any reliable backtesting. Even if you want to test strategies on 1 min data that trade every five bars, well, consider that markets and volatility looks different at various times of the year. How does the historical data benefit that? It doesn't, and it can be dangerously misleading. I won't openly condone the activity, but some are watching eBay or some of the other auction sites and finding authentic used copies of the program (Tradestation Technologies is fighting this and will not support the software). Or take a look at Wealth-Lab (www.wealth-lab.com) or Neoticker (www.tickquest.com) if you don't mind learning a bit of programming. Otherwise, check out Metastock (www.equis.com) for simple programming ideas and excellent charts. Keep an eye on AmiBroker (www.amibroker.com) as well. There's an intraday version in beta, and a full release will be due soon.
Thanks DaveN, I appreciate your help. I had no idea that TS only contains several weeks of historical data, I thought it was close to a year at the very least. I also appreciate all the links you've provided, I am in the process of checking out all of them. I have absolutely no problem using a system that requires programming as I was a software engineer for many years prior to becoming a full-time trader. Thanks again, Rafael
TradeStation 6 offrs 30+ years of daily data and nearly 1 1/2 years of intraday data (1 minute and above). The misunderstanding might be that it offrs 2 weeks of time and sales data. So you can bring up a tick by tick chart for 2 weeks, however a 1 minute (or any interval built from 1 minute) can go back 1 1/2 years. Text below is from www.TradeStation.com. "TradeStationâs massive centralized historical database was specifically created to serve as the backbone for testing trading strategies. It includes historical price and volume information for virtually every stock and major index traded in the United States. Youâll have up to 30 years of historical daily data. In addition, subscribers to our real-time data service will also have access to intra-day data (minute and above) from November 2000 forward for stocks, and from February 14, 2001 forward for indexes. To help make your simulations as realistic as possible, the data has been adjusted to take stock splits, mergers, spin-offs, acquisitions, bankruptcies, symbol changes and secondary offerings into account. Youâll also have access to U.S. futures markets going back as far as the early â70âs and all individual futures contracts are included-both current and expired. TradeStation also includes back-adjusted continuous futures contracts starting from January 1970 for daily data. Additionally, subscribers to our real-time data service will be able to receive continuous and individual futures contracts from February 14, 2001 forward for intraday data (minute and above)."
I concur that TS 6 has years of data you can use to back test. It also has dozens of pre-programmed indicators, "show me" categories and strategies. You can download several free pre-programmed indicators from such places as www.activetradermag.com and other sources. What they don't have yet, and I emphasize "yet" are scanners along the line of Realtick's. With scanners you define the pattern/indicator you are looking for and the software goes and finds stocks that fit that pattern. TS6 on the other hand requires you to define that pattern, such as say, "new 20 day high" and then you have to plug in the stock symbols yourself to see if the pattern applies to that stock. This is a subtle but very key difference. I'm waiting for the scanner type upgrade with baited breath. Rgds
We have created a software package specifically to do automated investment strategies back-testing. It is far from Tradestation in its features yet but at least some alternative http://www.ashkon.com/predictor/ Only daily data for now, we may extend it to intraday in future, demo is available for download
I use http://www.crontech.com/swp for backtesting. I usually test my strategies on all NASD stocks at once and then sort by profit (couldn't accomplish this with Tradestation). Another SWP feature that I use extensively is ability to combine multiple timeframes in entry and exit conditions.