www.smartquant.com is awesome for backtesting but I am trying to see what capabilities TradersStudio has also.
There is no monthly cost , you purchase it and it is your software to use. The main improvement to TradeStation is that you have both portfolio based backtesting and optimization. In addition you can develop money management strategies using a single system or across multiple systems. If you trade overseas futures we also have built in exchange rate conversions so you can mix portfiolo of commodities from different countries together. We currently support intra-day analysis, but we are currently a off line product. We have a real time version on beta. TradersStudio migration tool can translate TradeStation systems 95% of the time with a few mouse clicks. TradersStudio has a lot of built in analysis features TradeStation does not have. In addition we also can create custom reports. We also have walk forward analysis built into the product. TradersStudio also solved a problem for equity traders in that we actually analyze stock trades using an adjusted as well as the real price, using our special algorithm. These means that you can perform money management when you are not buying a equal weighing of each stock. The cost of TradersStudio is only $499.00. We plan on the Real Time Upgrade costing $399.00 more when it is available. It will allow for automatic trade execution.
Let me see if I understand what you want to do. You want to rank opening range breakout signals and only take the top signals based on some ranking system which is predictive you develop. You then want to have the system for example be traded on 500 stocks and then only trade the top 2% of the signals based on that ORB measure, this would limit you to 10 positions maximum. If that what you want to do then the answer is yes.
I recieved TradersStudio about 1 week ago and have to say its the best sytsem trading platform i have used.Whats really nice in my particualr case is i am a "mid level" programmer and Murray and his staff have gone out of their way to help me along.IMHO,there is nothing like it on the market,especially considering the price. Murray,is there any chance you will be forming a users group anytime soon?
Murray, I want to do something like this for futures contracts at the opens of various world markets - I want to build a rolling measure of the "reactiveness" and breakout potential for futures products only during the period of market opens (for the ES, NQ, YM, ER2, ZB, TY, EC, DAX, N225, Yen, Hang Seng, etc.). The Asian market, EU, and U.S. market opens would be my starting point....then other markets possibly later. I guess I want to measure the price "reactiveness" (or ORB potential) for lets say the first 30 minutes of these markets opening times for various futures products. Thanks!
You could do that on a backtesting basis because TraderStudio is currently a off line product, so using intra-day data is limited to historical. We will have a real time product later this year. You would do this by running the system on the basket and then use a trade plan to select which trades to take by applying your ORB filter. We could create a measure which tell us how well the market is holding breakout, for example the difference between the close and breakout point for long trades and the breakout point and the close for short trades. We could take a moving average of this and only trade markets in which the breakouts are holding and rank them on a relative basis. These models could be built with end of day data. On the last bar you set the NextOpen value to zero since it is not happened yet, but we would know if an order would be placed for the next open and where relative to the open it will happen. The order would then be placed as soon as we know the open by adding to or subtracting from it. I have built and traded these type of models using end of day for years using system assist brokers.
Thank you for your kind words, we try our best to be customer oriented. We do plan a user group for later this year, it is currently in the planning stage.
OK - that sounds great! Now we could just look at the previous ten trading days from the historical data (for the first 30 minutes after each market open) for a basket of futures products, and then use this information to build up a "ORB potential" measurement device.....see what I am getting at. The top 5 futures products with the highest "ORB potential" readings would then be used to trade market opening bracket trades from each day. I would measure the futures products "reactions" (ORB strength potentials) at the 09:30 to 10:00 est US market open, the opening 1/2 hour for the Japanese N225 market, and then the 03:00 to 03:30 est EU market open. This data would then be the basis for the 10 most recent trading day rolling average for each futures product - this would make up a great highest probability trade list for the next trading days market opening bracket trades. Thank you for your interaction with the ideas I have!
How do you deal with the fact these markets open at all different times ?. This means your index can only look at data up though yesterdays close, you can't look at today's open if we deal with worldwide markets.