Deciding on a Backtesting and Trading Platform

R is a statistics framework so I doubt that it supports what you're asking for. I would expect that it would need to be harnessed to a backtest platform with an open API and be called from there.

I think segv is a guy who rolls his own. His programming skills and experience probably go significantly beyond what the people who've been discussing on this thead can bring to bear.

I've tried installing R to see what it's about. IMO, the hard part seems to be how to get backtest application "A" (a .Net platform for example) talking to R in a way that is sensible and workable - as I am not a developer. The R functions would then look like a library of functions to the backtest application. I "think" that is what segv alludes to.

Like you I hope that segv will shed some light on this for us. I am hopeful as I think he's one of the more open of the knowledgable ET members.

Thx
D

 

Thank you, Murray for the samples.

I want to ask a few questions about the drawdown report. It looks like you can select the number of days minimum to qualify as a drawdown, is this correct?

Also do you offer a distribution chart to display this information. It would be useful.

 

You are correct the drawdown report let's you select the minimum number of days the drawdown exists before being counted. We do have a drawdown distribution chart in the new beta version of TradersStudio. We added this along with the distribution report.

 

Thanks, Murray for the answers. What has happened to Gyles, and his final review of the softwares? Am looking forward for the review, as it shall help me in understanding the TradersStudio better.

 

Second Part of the Set of “Review of TradersStudio”

Part 1 of 4

One of the biggest advantages of TradersStudio is that it has specialized features for trading each of the asset classes. An example of this in the case of Futures is the automatic currency conversion so you can trade the JGB, Japanese bond for example in a portfolio containing US future markets and have the session have the correct profit and loss in US dollars. Not everyone trades futures so TradersStudio has added these specialized features for other asset classes like equities (stocks) and Forex. In this part of the review, we will discuss these features.

Real World Equity Trading

Most of the equity trading world uses what is call split adjusted data. Stock splits are issued from time to time to keep the price of a stock down where many investors can afford it. For example if a stock reaches $100.00 a share, they might give you two shares worth $50.00 each. This is fine but on a price chart, it would look like the price collapsed. This creates major problems for trading to trade stocks with a systematic approach.Hence, a concept called split adjusted data was invented and is used as a standard in equity trading. In our above example, we would divide old prices by two before the split and this would get rid of the gap. This sounds like a reasonable solution until you realize that a stock like Microsoft has split 288-1, so in 1986, the split-adjusted price of Microsoft is 11 cents, and the real price is $34.00. In order to compensate for this, stock systems used percent return and when dealing with portfolios you need to buy the same amount of each stock.

This creates many problems.

1. You cannot purchase Fractional shares in real life. For example buying $1000.00 worth of Google, would be 1.3 shares, which you cannot do
2. You are limited to protective stops based on percent risk; you cannot use technical stops or scale out of positions.
3. You cannot use percent risk sizing, because that would mean you are buying a different amount of each stock.
4. You cannot answer the question, if I started with $10,000 in 1990, with a margin account. I wish to risk up to 2% of my account on each trade and divide my money into 10 positions maximum. How much money would I have today?
   [/list=1]
   
   TradersStudio developed a method to analyze stocks, which solved all these problems and more.
   
   1. You can view on a report the real entry and exit prices of your positions, and view the splits during the trade as well as the effect of dividends.
   2. You can even develop money management and screen out positions to meet your requirements , for example trade a basket of 500 stocks and only take positions for the top 10% based on relative performance.
   3. TradersStudio can also handle advance concepts such as using CoreEquity to size the trade. CoreEquity is how much money you would have if you were ever stopped out of all your positions.
      [/list=1]
      
      TradersStudio does this using three different data streams, Split adjusted only, Unadjusted and Dividend only adjusted. Currently CSI data supplies these three streams of that. TradersStudio can also use this information to product a dividend and split report.
      
      Let us look at these reports. This is included in the attached file, which is an excel file having reports as tabs. These reports are the outcome of the test system run in this review. It consists of the following important reports as described below:
      
      • The first special feature is the Percent Summary Report. It shows the profit/loss in percent return. Percent return is not just for split adjusted, it is for both but it is the only thing you can use for split adjusted.
      • Next is the Normal Trade by Trade Report. It shows entries in split-adjusted prices.
      • Next is the Trade by Trade Real prices Report. This uses the TradersStudio inbuilt method. The split and dividend column states the splits and dividend during the trade
      • Then Active Orders Report show with real prices for the orders
      • The next special Report for stocks is the Splits & Dividends Report. This shows dividend paid and splits for the stock in the session with the dates they actually happened.
      
      TradersStudio care and detail is one of reasons why I selected this and purchased it about a month ago. This is an example of why real traders need to develop a platform. It seems that Trading Blox developed something similar, however not complete. If we study the TradersStudio and the Elite Trader Forums, we can see that Trading Blox added this a month after TradersStudio released this feature, without dividend support in version 1. This is one example of where TradersStudio is a leader in trading technology.
      
      
      Please note, that I had tried to upload the excel file, but it was slightly too large. Maybe, Mr. Murray can do something about this.
      
      
      To be Continued.....

 

Here is a sample TradersStudio Stock workbook

 

So, Mr. Murray, you have posted the excel sheet. But, is this relevant to Gyles review? How come he could not post and you could?

Moreover, the explanation, Gyles gave for the excel sheet, do tey apply to your sheet?

Please explain the the basics behind the "Correlation Analysis" Report and why are some tabs empty like the color tabs in the excel file?

 

This is the standard TradersStudio Stock workbook create by TradersStudio. This was what Gyles was referencing but was too big to upload with 100 stocks.

The correlation analysis is simple , it's the correlation of the equity curve of a given system on each market. Some of the empty tabs where reports which were not used. They can be disable but I did not do that when I create this workbook.

 

I bought TradersStudio and it is interesting. I would like to have some more reviews from Murray and Gyles regarding examples etc., so that we all newbies can pick it up fast.

But, how come no response from anyone regarding the various software under review? No questions?

 

Yes, I have one!

Can I get any comments from TradeStation users who either switch to or use both TradeStation and TradersStudio now?