Backtesting Trading Strategies

Discussion in 'Strategy Development' started by Arthur Deco, Jan 7, 2010.

  1. I just realized the most curious thing about ET. It has no forum dedicated to backtesting. A search on that term reveals much interest in the topic. But it is scattered over a multitude of fora. I conclude from that observation that ET is not truly serious about backtesting. Otherwise the membership would have rioted for its delineation as a separate respectable topic, as they did for Politics and Religion not too many years ago. So. Backtesting is less important than Chit-Chat. Or Politics and Religion. Or Classifrieds. So I trust that no one will object if I attempt to rectumfy this injustice. I will codifry the Fundamental Laws of Backtesting.

    Backtesting Law Number One: If you do not backtest, you are deluding yourself that you have a robust trading concept (I will not dignifry it as a "system").

    I will abide, if not exactly welcome, contrary opinonions. I am open to consider alternative formulations of the First Law.

    Further, I warn you that if you attack backtesting, as certain quarters (or nickels) are wont to do, you reveal yourself to be an idiot. And deserve all the abuse I will heap upon you.

    Note to moderation: I am as serious about this subject as I ever get about anything. And I firmly believe that ET at large (or at small) is woefully ignorant of it. And needs educating. This board is rife (and ripe) with assertions about the profitability of putative trading systems which they have not backtested. So if you disagree with me, can this thread. No soft feelings.

    (Full disclosure: I am an avid backtester. I do it every day. As often as I can. I have no shame. It feels good. EasySignal is my pimp.)
  2. Hey Arthur do you back test using option prices?
  3. mikasa


    I thought you of all people Arthur were a real person,

    Turns out you are not. You are an automaton, you are not alive.

    You spend years spinning in circle. A real living person would have figured out by now that Markets are random. A real person would have admitted long ago that no real progress is made or was made.

    It is honestly painful for me to watch you post. At least I know my suffering, my situation. I wouldn't want to be a piece of cardboard posting on ET

    PM me if you are ready to wake up.

    Don't PM me if you are happy with your pension and a hobby called trading.
  4. Sinking Hooker, I do not even know what an option is. Was that a trick question?
  5. Thank you, but MiCasa is not SuCasa. Cruelly reminding me in public that I am pathetic is irrelevant to the First Law's veracity. Such mendacity!

    I repeat:

    Backtesting Law Number One: If you do not backtest, you are deluding yourself that you have a robust trading concept.
  6. marine


    I love to backtest as well. Mainly futures and equities but someday I would like to add options to it if I ever get the time.

    It takes too much time and there is not enough providers of historical option data.

    Plus all the processing required for lining things up with the underlying ...
  7. Marine, thanks for your comment on options. I was clueless. Care to say what fatplorm you BT on? And not to put too fine a point on it, but does loving to BT also mean that you honed successful trading strategies thereby?
  8. mikasa


    yes you are pathetic

    are you honestly planing to post the same SH!t until you actually die

    I can't believe you were solving other people's psych problems when your issue is so blatantly obvious and fixable

    yes I said fixable

    I get the feeling though that you don't want to fix it. Maybe you are so used to back testing pain and misery that change is more frightening.

    I am reaching out to you, Your next step is to admit publicly that markets (including NQ) are random and ask for my help

    let me guess, you started this thread because finally you found something that works eh, yeah that's right. You had these moments many times before didn't you.

    time to man up

    and fess up
  9. "back testing pain and misery"?

    You are an excellent crooked man. My intent here is to help folks avoid those. By following the simple Laws.

    Markets random? To what extent is a pachinko random? What would pinball look like if you couldn't see the bumpers?

    Let me stipulate my patheticity. Why are you avoiding commenting on the thread topic? Don't trade? Don't know how to algorithmize? Can't code? Can't afford a BT fatplorm?
  10. mikasa


    ok fine you win

    keep on justifying your time and income with reasoning how you are still in the "working phase"

    "really close to phase"

    "just one more backtest phase"

    "consistent winning strategy just around the block phase"

    yeah keep on pressing that 1 NQ contract in and out, in and out

    something is bound to happen soon

    all that work put in

    something gotta come out of it
    good luck
    #10     Jan 7, 2010