Backtesting State of the art - tradestation or..?

Discussion in 'Strategy Development' started by traderob, Dec 10, 2006.

  1. Several years ago I used to do basic stuff with wealthlab and a little with TS8
    Now after a couple of years of solely discretionary trading I am ready to program and backtest what I know.

    Now I am into it in a more full-time way and want to know if Tradestation is still the best. I will be employing a programmer to help me with complex tasks
  2. I would suggest you get back into TS to get some of the feel back then go directly into custom programming via Python or C#.
  3. Quite an interesting issue. I'm not sure about the C# platform for trading, especially if it's of the high-frequency nature. C++ has quite an advantage performance-wise and with a DLL interface, you've got compatibility with quite a lot of trading platforms.
    Tradestation itself has been getting quite a lot of flak recently for reliability problems with it's 'net-based version 8 platform. Many traders are still using the older TS2000i and using an E-Signal feed. Other automated pros have moved up to Trading Technologies platform which albeit expensive appears to be at the top of the heap right now.
  4. Tums


    I know someone using this program,
    He likes it.
    I checked out their website, it looks impressive. Of course, anything can look impressive on the web, all you need is a good web designer and copy writer.
    I am temped to give it a try. However it seems to have a very small user base. I wonder if this program is here to stay.
  5. telozo


    Tradestation is very good for backtesting and I use it for automated real-time trading too, but I don't think is very good for high frequency automated trading. The problem a lot of people complained lately is with their order execution network, and real time data. The commision is reasonable - check their website, and if you are an active trader (there is a threshold each month) you get the platform for free.

    Regarding automated backtesting, you can do pretty much all you can imagine in EasyLanguage, which is an easy to learn language, but kind of slow (it is interpreted). The only drawback that I see is not beeing able to do portfolio backtesting.
  6. An advantages of Tradestatation is that there is already tons of code examples available. If I go with Python it is a start from scratch..?

    I think with tradestation we can make a DLL that allows c++ input?

    Appreciate if you have more input on this..
  7. Thanks. I can do simple programming on TS already. But will need a programmer for DLL . When you say it is slow, what do you mean?

    If it can do anything trading wise I can imagine then it may be good enough.. Anyone agree/disagree with that evaluation?
  8. No....I don't agree. There are several weaknesses in TS2000i on top of many small bugs and annoyances. The weaknesses are:
    1) There is no portfolio concept in the product...a mix of symbols and/or systems cannot be evaluated easily.
    2) The performance reporting does not provide Sharpe or Sortino must compute these yourself.
    3) There is no way to determine using Easy Language code which exit or entry was triggered within a strategy. In other words, if your strategy has a stop loss exit coded, it may get triggered 4 times in a row, but you cannot determine this by querying the trade history....the "WhichExit" variable is not there !
    4) Oh, and #3 reminds me....the trade history variables are cannot rely upon them for more than the past 10 or so must keep all of your trade history into an array if you want to dynamically keep track of the system's past performance.
  9. telozo


    My comments are based on the latest TradeStation platform, version 8.1 SP1 (Build 3258), but I've been with them since 2002.

    The backtesting is sometimes slow, when going back a lot, like 2 years for 5 minute bars, and that compared with a C++ application that reads data from an external file. So, is not that bad.

    I don't see what you can program with a DLL, and cannot do directly in EasyLanguage. There are some books that give a lot of examples, like:
  10. bidask


    1+1=2 on any calculator
    #10     Dec 11, 2006