Deciding on a Backtesting and Trading Platform

Additional Comments over the earlier Reviews

Regarding the manuals of Trading Blox, it is an intriguing point is that a software of this complexity and price ($3000.00), does not provide any printed documentation (manuals) for easier reference. Although, there are online manuals besides the forum, however, having a printed one is not a bad idea.

Moreover, have been informed by Mr. Murray, that they supply the printed documentation (manuals) at one-fifth of the price. Thus, as per the statements of Mr. Murray, TradersStudio provides over 300 pages of printed documentation (manuals).

Please comment.

 

I have not yet done so. However, I would like to review the software Mechanica in Elite Trader Forums.

Is it possible to get a demo? If so, please tell me the differences between the real version and the demo one, so that I can take them into consideration while doing the review.

 

Continuing on with my first posting about Trading Blox Basic (TBB), I’ll try to explain what I find critically important about a back testing process.

TBB isn’t a chart-focused program, and TradeStation (TS) is clearly at the top of the food chain when it comes to generating stunning chart graphics. I do a lot of thinking while staring at TS charts, and that behaviour won’t go away any time soon because I get a lot of good ideas by playing around with different calculations that I display as indicators, or display as show me dots to see how they might work for what I’m thinking.

While TBB isn’t about stunning charts, it does what is needed for understanding how a system handled a trade and what is going on within that system when system internal values are displayed on a chart. TBB also supports stand-alone indicators and show-me location dots on the screen, and both can easily change color dynamically and be shown on a chart screen. Still, nobody should select TBB if their primary goal is a great charting package.

With that said, I think TBB is the best back testing platform available to the general public that I know about. It is the one to use because it is capable of providing a much more robust back test using a portfolio of markets and, or a portfolio of systems, that get tested by stepping through each market for each date in the portfolio of markets selected. To be clear about what this date-sequence stepping means, I’m saying that the testing of a market doesn’t move to the next available date in the data file until all the markets in the portfolio have been tested up that point and are ready to be tested on that date. If you are now wondering how this is different from other platforms, the difference is the other platforms test each market from the beginning of a market’s data to end of that file before they test the next market. This means that the system is never in a position to influence the trade signals based upon what is happening at the macro level of the account.

In real trading, we all must understand what size we can afford based upon the risk profile our system testing tells us we can afford to risk on each signal, so knowing where we are in the reality of the period that test date in the data file represents allows us to know what size to use with each signal. Other platforms allow this on a market by market basis, and it can be approximated roughly by running each market through a back test and then manually date aligning the equity profile results on each date in an add-on file the system reads, but that approach isn’t close enough when the action the system should take is to disable the signal because the risk profile for the account would be exceeded, or if the size to volume ratio, or some other risk filtering rule would be exceeded. Once again that can be adjusted for in the other platforms a little more by entering more code rules into the system to exclude trades for that market on that date again, and then manually reassemble the equity file again, but then again what happens when a trade in play closes out leaving more opportunity that would enable a trade signal that is still viable that was disabled because that trade closed was active? The user would then need to adjust the system logic for that market again, and then run the process again, and again, and again.

With date-sequenced testing, one system can be used to test all the markets in the portfolio and by just adding risk analysis and money management modules (Blox) to the system, the testing and new signal generation process becomes dynamic instead of iterative with a lot of manual interventions. By keeping the back testing dynamic and automated, results happens fast and it also allows the system developer to test the system variables for robustness and effectiveness from a portfolio perspective that is reflective of how the system will be applied in reality. Once again some of this can be done by hand with a lot of system code rule changes and testing iterations, but that is making work and risking errors where they don’t need to happen, and we can never forget that time is money.

I can’t comment on the intrigue, I just know you get two nice Help Files in Window’s Help-File format that are also provided as PDF files so you can get them printed, if you want paper in your hands.

As for TradersStudio, I purchased it when it was first introduced around June of 2004. When that package arrived it came with a couple of small manuals, but I didn’t find them helpful, and I didn’t enjoy the program much back then. Today, TradersStudio seems to be maturing nicely and hasn’t crashed on me in a long while. I haven’t used it much for anything since purchasing Trading Blox Builder last spring, so it might be even better now than I remember. With that said, I’ve never gotten any printed manuals with the updates, and I didn’t know they were even available other than what appeared with my version 1.0 release. However, TradersStudio also provides their manuals in PDF form as well so those can be printed at the same cost as the Trading Blox PDF help files.

TradersStudio current release is 2.5 and it can add value to a less serious than me system developer.

Changing Platforms:
For people who are comfortable in TradeStation, they will find moving to TradersStudio an easier process. In addition, TradersStudio had, and may still have, an Easy Language to Visual Basic translator available.

I don’t find TradersStudio as capable as TradeStation because of TradeStation’s ability to handle multiple time frames, great charting interface, and because the overall ease in getting around in TradeStation is much easier than in TradersStudio right now. Where TradersStudio will shine over TradeStation is in its ability to test a portfolio and optimize its variables across the portfolio, but the testing is still in market sequence instead of date sequence, so the advantage is a big savings in time, but it won’t allow the user to make any of the above described in process adjustments decisions any easier than in TradeStation. Still, having the ability to test a portfolio can’t be dismissed, even if you need to do some manual work to get a realistic historic result that can be tested before being applied with money in the market. Another area that favors TradersStudio is the cost of ownership. There is something be said for keeping expenses down while your creating your version of a “Golden Goose.”

In having used both Trading Blox Builder and TradersStudio, these programs aren’t in the same class right now. TBB is a much more serious program with far more capabilities than TradersStudio. If cost is your driving factor, then you might be better off with TradersStudio until you understand why the capabilities in Trading Blox Builder are important. If you go that way, keep the idea that just one loss from one trade can more than make up the difference in purchase price if you knew how to avoid that trade.

TBB is for serious system developers who can think at a professional level. All the other software is really good for those with less demanding needs and will probably be for those who don’t understand the breadth of what is important about system building. They will also be better because they will certainly be easier to learn than Trading Blox, and the other programs will certainly be better at generating pretty charts, if that is important.

After Sale Support:
An area that can’t be ignored is what happens after you buy the software and want to get something done. TBB is at home on the Trader's Roundtable forum. This forum is available to anyone interested in trading and it has more experienced traders than any other forum that I visit. This forum is also where support from where TBB’s developer and user community is provided after you purchase TBB. Once you become a TBB owner, the range of forum information visible expands beyond the popular level to areas that show historical TBB questions and answers as well as places to download code and ask for new features.

From my experience with TBB’s developer, he has been very responsive in providing additional capabilities that I needed to handle dual time frame logic, and because he is also the programmer doing the code work when he isn’t trading, it doesn’t take much effort to explain a need or get a useful answer to a question. My experience in getting useful answers from Technical Support doesn’t happen often elsewhere, so I’m really appreciating the support and intelligence of the support I’m getting right now.

 

First I do remember you , you purchased the program in October 2004, version 1.0. That was a totally different animal from today's version. You receive free upgrades including version 2.5. Buy my count we gave about 6 free upgrades to our original customers. We sent you PDF manuals with each upgrade. If you wanted printed ones all you needed to do is pay $49.00 for them they are available on the site. Both printing and postage cost caused us to have to charge for them. Considering we have given 6 free upgrades to our original customers I think that was more than fair.
I understand you like Trading Blox , but I think your opinion is looking though rose cover glasses to a point.

First TradersStudio handing of both multiple timeframes and intermarket data is greatly improved and for end of day or off line traders all that is needed. Yes, we don't have tick charts but we are an end of day/offline platform. In all honesty are charts are not as good as TradeStation but we are closing the gap. We have many many customers who think TradersStudio is lightyears better than TradeStation in terms of interface. It's just what you are use too and personal preference.

Your point about processing the data sequentially is correct. It's the only way to apply money management. TradersStudio did that at the TradePlan level since day one. It processes 1 market at a time when you run sessions and one bar at a time when you run a Tradeplan. This gives you the best of both worlds with less overhead, so I want to make it clear, Trading Blox does not have an edge over TradersStudio there. Your analysis above is wrong on this point.

TradersStudio in version 2.5.5 has added a Programming Wizard using Drag and Drop. This is another item which is sold to older customers, the price is $69.95. That also why we increase our price with version 2.5 to $599.00.

Another important issue is the EasyLanguage Migration tool. This has improved greatly in each release. Customer only need to send us code which is not translating correctly and we will address their issues as quick as possible in the next release.
Our original support for the on line versions of TradeStation was not that strong. We solved that by having two version of the translator, one for 4.0/2000i and another for version 8.X.

I know I am bias but since you use Trading Blox and most likely have talked to them on the phone and gotten to know them so are you. I believe the two products are equal in terms of backing and TradersStudio leads because of the better charting and more advance charting features.

I think you even have to agree , based on price and features TradersStudio is a better value.

For more information on TradersStudio

Please look at the overview of TradersStudio at
http://www.tradersstudio.com/Overview/tabid/68/Default.aspx

Here is the product link to the basic package
http://www.tradersstudio.com/Produc...cmd/CatalogItemDetails/psmid/657/Default.aspx

 

Roger Rines,

Its a good review. You have pointed absolutely correctly that processing sequence is the important topic to get possibility to implement realistic risk management rools on a portfolio of systems/markets.

What I want to add, is the following. Backtesting sw is quite complex system and it requires time to learn how to express efficiently different trading ideas with the functions that are provided by the sw. Therefore buying a backtesting sw should be a decision for the next 3-5 or even better 10 years. This means sw must be flexible enough and provide a rich set of features. Switching to a new sw means already big loss, not so much in purchasing price but in time invested to learn sw.

In my evaluation of TradingBlox I have understood that it doesn't have an interface to external modules, such as DLLs and COMs. This was a KO criteria in selecting TradigBlox because I know that at some time in the future I will not be able to implement something that I want using the build in features. The basic-like language of TradingBlox is also not the most modern and appealing feature.

The FLEXIBILITY and expandability should be very high priority items in selecting backtesting sw.

From this point of view, .NET based systems are very promising but to my experience none of them are mature enough today to reach the level of TradingBlox in understanding the trading process and in possibility to simulate this trading process as close as possible.

 

Hmm

 

I totally agree , a product like this for $3000.00 should have a full addin interface like MS office has, one which not only can you access internal structures but also modify menu's and have the addins have their own dialog boxes.

In addition you should be able to write addins in VB 6.0, C++ or .NET.
The good news is TradersStudio offers all this in it's $599.00 product. The .NET addin kit is in beta and we plan to offer a translator from our language to write and build addins automatically for TradersStudio in .NET. Currently the kit is a large document which explains the interop layer and how to build .NET COM object and work with the global cache. It also explains our API and includes several sample addins. The kit is available now but not yet listed to be sold on the site. This translator is currently in early beta.

Remember you can even migrate your existing EasyLanguage code also.

Mature products have things like third party addin capabilities.
TradersStudio had COM support for fully integrated addins from day one.

 

There is a whole new generation of products allowing to develop, backtest, optimize and deploy automated trading startegies within integrated development and trading environment.

These products feature event driven design, modern programming languages (C#/VB.NET) and allow to run the same code in backtesting and live trading modes.

OpenQuant, RightEdge, NinjaTrader and others to come.


Cheers,
Anton

 

Hello Murray,
I think this is the first time we’ve chatted. I’ve read your books and followed your writings in Futures for a while, and as you’ve confirmed, I’m one of your customers.

Let’s discuss a few items so that we can leave the record clean.

Gyles was the person asking about the manual. My comments were intended to share what I knew about written manuals from TradersStudio and Trading Blox. Hopefully he’ll read past your overly long quotation to see your comments and know what is possible for manuals.

All of life’s opinions see through the windows of our experiences, but I’ve not noticed the rose color. However I do know what it took me to profitably trade very large size in the markets over a long period of time (>14-years) and stay successful during that time. What I’ve shared in my postings is a reflection of what I’ve needed to know and do to be a large player in the Commodity & Forex markets, and my postings were shared so that my lessons in the school of hard-knocks and a lot of kicks would trickle down to open minds and save some a few bruises.

In this specific case, Trading Blox Builder (TBB) is the first back testing platform that I’ve owned that has the capacity to get me past all the manual data work I’ve had to do in the past to just get close to achieving what I described in my earlier postings here. In my system development and system-trading world, testing a method means testing the overall trade control strategy, and that goes way beyond just testing a set of trading rules on a basket of markets. In most cases it is this second level risk control decision process that can make or break a good system, so if survival is important, then it is critical for all the trading steps be tested as extensively. Once a trader decides to employ real money without knowing how risk-control affects their performance that is the time when life will begin teaching difficult lessons.

Another reason I’m enjoying Trading Blox Builder is its ability to get me away from generating of all my secondary testing and processing steps. In order to achieve the listed goals posted earlier, I’ve had to write a number of Windows GUI applications to create a blended portfolio of TradeStation’s test results into a date aligned performance file that is then be processed by other utilities that had to be written. All that effort left too many manual steps where mistakes got made, and those mistakes made life’s stress level much higher than I needed to experience while moving new systems into the market.

Let’s step back to my motivation to purchase TradersStudio. When you said it offered portfolio testing, I made the leap based solely upon your promise that it would do just that, and now with your second-generation release (2.xx) I can say it does meet that promise and for that I’m grateful. However TradersStudio didn’t get me as far as I wanted to go, so I went looking for a more capable solution. For others who are less demanding than I am, or those new to system development, I honestly believe they can learn a lot by working with your software. I also believe that if you keep up the development progress I’ve seen, you’ll be able to expand its capabilities and be able to expand the utility your customers achieve from being your customer.

In my case I’ve moved to TBB for two reasons. My first reason was TradersStudio didn’t support multiple time frame data loading earlier this year when I made the decision to make the move. In my case I have systems that must generate their signals from a higher time frame than which it generates it performance results (Signals from weekly data, trade results from daily – both data compressions seen by the system as it moves through the testing period). My second reason was Trading Blox Builder did begin supporting multiple time frames with their version 2.2.x releases, and TBB has added capabilities that TradeStation required me to create a DLL in order to use my dual time frame trading approach.

Do I like Trading Blox Builder? Yes, and hopefully it is clear why, but in simple terms it works for me right now because it is satisfying my need for performance, reliability and testing control. It also has the ability to test the entire trading process as I need it by allowing a date based portfolio-level risk control rules to influence how each market’s signals are processed on a day-by-day basis. It is hard to express how important I believe it is to control trading from a macro account level, but let me just say it does wonders in reducing the number of times I get surprised in the heat of the battle.

All this paragraph tells me about your view of risk control is that we are seeing the world through different prisms, or you don’t really have experience with Trading Blox Builder works, or maybe I never discovered some features in TradersStudio’s documentation. Whatever the reason, let’s just agree to disagree on this point, because it is these kind of differences that help us make different decisions in the market which is healthy for both of us.

When I saw this utility I thought it was a brilliant strategy that all migrations have always needed, but nobody had bothered to create. My hat off to you for working hard to mitigate the transition issues from TradeStation, and if you’ve made it even better, then I’m certain those making the transition gained a lot from the experience. I didn’t fair too well with that utility early in its initial release, but then again I didn’t really need it with my experience so it wasn’t an issue.

Murray, nobody understands better than I that parents don’t have ugly kids, so your bias is understandable. However your bias statement about me is a bad assumption. I never once spoke on the phone to TBB’s developer, and I didn’t come to know anything about them other than they answered my Trading Blox questions I would ask each year. When I made the purchase last spring, it was because they finally said what I had wanted to hear about Trading Blox, so I spent the money. This is just like the way I purchased TradersStudio. I sent emails asking questions about TradersStudio, and got answers that made me spend the money. I did this with Trading Recopies (now Mechanica) and PowerST, but didn’t get what I needed back then, so I didn’t buy those.

When I made my TradersStudio purchase and when I purchased Trading Blox, I wasn’t sure if the purchase was going to achieve what I wanted. In both cases it didn’t, but with Trading Blox the improvements I needed happened in a few weeks from asking by including the weekly control items I needed to be effective for multiple time frame data loading and testing. Since that moment in time all our communications for support request on their forum have taught me their development paradigm understands how to trade, they believe in the overall testing strategy that I had to learn the hard way, TBB people are friendly and good to have as support, and just as important they are not done expanding what they intend to include in the software.

During my brief TBB ownership time, I liked how responsive TBB’s development has performed and I see nothing that indicates this will change. Just as important, I’ve supported Omega Research for 20-years (System Writer in 1987, TradeStation since 1991) and like the people I know at TradeStation. In addition, I’ve written a DLL tutorial on how to get more from TradeStation that explains how TradeStation’s API works and what Easy Language needs to use third-party controls. This work was released under the GNU LESSER GENERAL PUBLIC LICENSE agreement. So if liking the people I work with and having their products help me get the job done constitutes a bias, I guess I’m biased, but tell me who doesn’t like performance that generates positive results in a friendly atmosphere?

We don’t agree on this yet, but I certainly hope your efforts over time make me into a believer. I promise to be open minded to what I see and hear. Good Luck with TradersStudio, it is filling a nice piece of what is needed in system testing.

 

Hello “a5519”,
Why does that sound like I'm talking to a computer?

My posted information came from a lot of beatings and successes that generated more low days than I needed. Thanks for the supportive words.

I had the same reservations going in, but at my time of purchase I was told about TBB’s “C++ Extension Project” that is in their development plans behind another important project being implemented.

With that said, some of the things I needed from my external TradeStation DLLs like, “LastDayOfWeek”, “OpenOfTomorrow”, “ISO_WeekNumber”, Global Variables, and Global Arrays, all of these are already implemented in Trading Blox Basic as intrinsic options except for “ISO_WeekNumber”, but I was able to create a Trading Blox for the week number process without any need to look outside of Trading Blox. Some of these are now in Easy Language, but they weren’t when I needed them.

However, I do know that I’m going to need the ability to get access to DLLs at some point and with the promise that ability is coming, I’m going on faith that it will be available not too long after I get all my systems migrated into Trading Blox Builder.

As for “COM” and “,Net”, I’m not a fan of either. When I’m faced with a need to interface to a COM-Object, I usually go around the COM-Interface and use Microsoft’s ATL-DLL to get direct function access. It is much faster than COM will ever be with its high processing overhead and lookups, and its often what Microsoft uses. As for “.Net”, I’ve been spared that experience so far.

We are different on this point. I’ve written software in a lot of different compiled languages over the years and like Power BASIC the best for speed, its ability to use inline Assembly, great user community, and sometimes better performance against C++, all of which make it a great language for building Console or Windows API based GUI applications.

I like Trading Blox Basic because it is close to Easy Language, TradersStudio Visual Basic/Microsoft Visual Basic, and Power BASIC. With all the languages being so similar the process of transition boils down to understanding the processing of the testing paradigm, its built-in functions and variable tools, and then looking up the words that are different. For me it means I can move around in my various testing platforms and compare results without having to learn too much to get the task accomplished.

If you like Trading Blox, keep an eye on it and at some point I suspect you will, like I did, get the answers to your email questions you need to make it an attractive consideration.