The market changes everyday - backtesting may be useful but ultimately isnt proven to be effective for the future.
I gess that you are not using any auto pilot system... there are alot of styles of " back testing".... I like to use the backtester for "debuging the algo". Any algo trader around here? that can help us... Regards
Agreed! Back testing is almost a scam. Believing that what worked best in the past would work best in the future is foolish. I see that every day. My best models walking forward are certainly not the one that showed good results on in-sample data. Traders should look for trading platforms that emphasize good generalization on out-of sample data...
Please see here: http://www.elitetrader.com/vb/showthread.php?s=&postid=2137421#post2137421 http://tradersedgesystems.com/traderstips.htm
The problem with above mentioned firms (in the ~1k USD segment) is always broker/datafeed connectivity and maintaining the same in a timely fashion. If you want to/have to change broker/feed or the broker/feed breaks something in their API you are basically dead in the water until the software firm fixes it (they are notoriously slow about it if they care to do it at all). Its best to handle this connection yourself. Only Neoticker and Rightedge allow that as far as i am aware. RE allows you to write your own plugins for datafeeds, brokers and data-storage. NT allows you to write custom data-/broker-servers. When you wait for weeks on a reply to a support inquiry you will understand why i want to have control over as much things as possible. I have licenses for both. NT is by far the more complete product. It does pretty much everything better than RE and does things RE doesn't even try(small wonder, NT has several years more development time). As it stands now, RE is just a pretty barebone C# execution framework (bar-level backtesting only, only 1 system at a time on 1 single timeframe). However, as far as the execution side is concerned, in my opinion the RE design is superior (broker<->system communication, position synchronization, fill reporting, etc.). I will probalby move these things to RE once they make some basic features available, but i guess it will be another year before they are ready. As for OpenQuant, it will always be a crippled version and afterthought of SmartQuant (no/limited api access, cant write feed plugins, only one system at a time). Ninjatrader is lacking severely when it comes to ats, cant even manage a temporary connectivity loss without troubles.
Just my opinion, but you might want to take a look at Amibroker. It has most of what you're looking for - the backtesting performance is well beyond what I have experienced with most of the other platforms you mention, and it can deal with real-time data.
Just to clarify... You can develop your own data feed and broker plugins in MSVS (as well as custom indicator plugins). You do have full access to API to develop plugins or dlls that you run under OpenQuant IDE and you can run multiple strategies .... Cheers, Anton
By the way, I don't see "coming soon" on this page http://www.smartquant.com/openquant.php Where do you see it? Thanks, Anton