Ensign or Wealth-Lab?

I would appreciate any feedback about the relative merits of these two packages. I know that some people (like tntneo) have tried both systems and was curious which one they would recommend for people starting from the beginning with one of the two. I am interested in testing trading systems for NQ on an intraday timeframe (entries off 1-5 minute bars, holding time of minutes to several hours). It would be nice to have a package that handled both testing and intraday charting, but I’d be willing to give up some charting features for better/quicker testing and trading capabilities.

Until recently I hadn’t paid too much attention to Wealth-Lab since it didn’t handle futures, seemed mostly focused on EOD (the website, not the stand-alone program), and relied on Qcharts. However, they recently added futures and Esignal as a data provider, making it much more difficult to choose between the two.

My overall impressions are that Wealth-Lab has a shorter learning curve, but Ensign may have more flexibility and better charting abilities (although as far as I know it still has the 2000 bar limit on backtesting – it seems like this can be worked around, though, by looping through different data files). The programming scripts look pretty similar (Pascal-based) so it probably wouldn’t be too hard to switch between the two, if necessary. I’d be willing to deal with a steeper learning curve if it meant ending up with a more advanced/flexible system in the end – which is sort of how I view Ensign at the moment. But I know from past experience that attempting to learn a language that doesn’t have a LOT of examples to work from is a real pain so I thought I’d try to get people’s impressions first.

Thanks for any help/advice. My apologies if this has been covered in a thread I didn’t see.

Martin

http://www.ensignsoftware.com/
http://www.wealth-lab.com/

 

I did try only Wealth Lab in EOD mode. Ensign I know pretty well, EOD and Realtime.

I would say that Ensign is broader. It does more things and is probably better for a programmer.
However, the capability of Wealth Lab to analyze multiple stocks (and fast) is really good.

No software is perfect. The learning curve should really be the same for both software though. Wealth Lab comes with many interesting strategies pre coded already. That's a big helper to get starting (and understand the language's features).

For futures you probably don't care much about the watchlist scan WL offers. Charting with Ensign is really good.

To me it's a tie now. Ensign with ESignal realtime is proven to be very robust. And you want that with futures. (remember I did not try WL Realtime, so it does not mean it's not as good).

(it's OK to do a couple of futures at the same time in Ensign).

However, maybe, there is a slight advantage to WL in the long run. From the language and the features, this is really made for actual traders. Ensign forces you to struggle a litle bit more. For stocks I would tilt the balance toward WL (or if you use daily bars). Otherwise it's a tie and maybe specific questions may help decide.

tntneo

 

Thanks for the advice!

I'm still not quite sure which way I am going to go (I have Ensign at the moment, but haven't gone too far down the path yet). I have to admit that the (hopefully) upcoming Wealth-Lab Trader to automate trading is tempting - although I know you have moved away from that approach yourself.

Martin

 

I have tried Ensign. I found it less than robust. But the main gripe I had was that it only allows something like 2000 bars in a chart. This could be a problem in backtesting.

I am currently trying out Neoticker. I like it better than Ensign so far and the complete openness of the platform is a big plus (you can write in VBScript, Delphiscript, JavaScript, its inbuilt formula language or even attach to custom ActiveX DLLs and EXEs).

 

I have used both of these and here are some advantages/disadvantages that I have found.

Ensign is better for real time charting because it offers :
- real time bar drawing of current bar( wealthlab only draws the bar when it is completed).
- better drawing tools such as fibs, lines etc
- tick charts. allow you tick any timeframe for ticks.

Wealthlab offers better testing features
- including the ability plot indicators at different timeframes i.e. 15min 20ma on 1min chart.
- easier to write new indicators and plug them in.
- better backtesting facilities including mfe, mae
- the ability to share chartscripts
- does not have limitation of bars
- basket stocks
- planned automation trading module

And don't forget that wealthlab offers 30 day trial version so I would give that a go first.

 

Thanks for the replies, everyone. You all mentioned several points that I was not aware of, like the bar updating in Wealth-Lab. Although that could be a good thing since I keep trying to get myself to move to somewhat longer time frames anyway.

I suppose I should not be lazy and go ahead with learning the syntax for both programs (and I'll look into Neoticker also). It is just that after grad school where I had to learn a bunch of “sparsely” documented languages, I get a little gun-shy about tackling any new ones.

Martin

 

This happened about a year ago, but I tried Ensign with Esignal and Ensign kept crashing on both of my machines. I called support and they told me off that they just couldn't keep everybody happy??? That was enough for me to cancel my 30 day trial. Not sure how their support is today though.

On the other hand, WL has unbelievable support whether it be from the WL development team or the WL message board (on www.wealth-lab.com). Same goes with any scripting issues, simply post your questions/issues and somebody will reply within 24 hours (my guestimate).

 

I've been jumping around from package to package quite a bit. I've tried Ensign, RealTick, MetaStock, NeoTicker, and eSignal.

Currently, I'm back to eSignal. I'm trying the beta version of 7.0. For about $100/mo you can chart equities and futures. 7.0 puts eSignal's charting on par with just about anyone out there, imho. As far as testing is concerned, 7.0 comes with scripting capabilities and several built in systems. I haven't really explored it yet, so I can't speak to its capabilities in this department.

LetsTrade

"Luck comes to the prepared."

 

Hi Martin,

Did you have a look to Investor RT from Linnsoft ?

http://www.linnsoft.com/ or
http://www.linnsoft.com/tour/master/index.htm

I have some experience with Ensign too, but I found easier testing INTRADAY trading system on IRT, because of the following 2 mains reasons :


1) SIZE OF THE HISTORICAL DATABASE being used in a backtest

you can use as much historical data as you want (no limitation on the number of bar, as long as the data is available) : it will just take more time to compute.
I usually backtest trading systems based on 1 min bar signals for the past 18 months (ie database about 150 000 bars), it takes about 5 minutes or so (when backtesting on a single stock or NQ/ES data, not a full quote page)
I get a summary with relevant backtest results (incl. a P/L chart)
If i want to get more charts for some additional analysis (like max adverse/favorable excursion, etc), I export then the data to Excel

On the other hand, I think there is still this 2000 bar limit on Ensign, which is no problem for EOD strategies, but quite a big one for strategies based on 1 or 3 minutes charts.


2) EASINESS for the definition of the rules of the trading system.

Let s start may be with present IRT weak points (vs Ensign) :

IRT programming language is not as complete as Ensign ESPL language, so that the "potential" in term of trading system definition is not as wide. (But, on the other hand, ESPL is much more difficult to master, at least when you are not used to such Delphi type of programming language)
One other limitation for the time being with IRT : you can not mix signals based on different time frame (they just introduced multi periodicity charts features in IRT, but not yet present in backtesting language...)

IRT strong points :

The programming language (RTL) is really straight forward.
At least, i achieved within few months experience to simulate most of the trading systems / signals I wanted, incl. some complex set up conditions (CONFIRM rules), like in the following trading system example :

a) IF Three line break indicator (3 min chart) of Nasdaq 100 index is long
b) IF MACD of the tested stock AAA is long
c) IF STOCHRSI of AAA is oversold etc, etc
d) If backtest time is within the 2 first or last hour of the market session
e) then "BUY 1000 stocks AAA" at Open price (of the next 3 min bar) when whatever indicator XX is crossing whatever level YY
f) when this BUY signal is activated, then include in the detail report of the backtest the values of indicator ZZ (if you need to analyze whatever indicator relevancy)

Same kind of possibilities for the exit rules :
g) remain in the trade as long as indicator WW is below VV
h) remain in the trade as long as your trailing stop is not hit, with trailing stop being for example to 2 ATR.. (You may used as well profit target stop...) etc. etc..
i) Sell Stocks AAA when ......

In conclusion, I have experienced that I spent with IRT only 20% of my times designing the trading systems, and 80% of the times analyzing the results. With Ensign, I spent much more time in system definition (because of ESPL) and far less with analyzing the results...

Last word :
I tested Wealth lab desktop version back in Oct or Nov 01 when they introduced intraday backtesting, but stopped because wanted the same tools for live trading and backtesting, and realtime intraday features of WL were quite limited at the times, especially data feed service choice (IRT works with Quote.com, Esignal, BMI, DTN, etc..).

Martin, I hope this will help.
Anyhow, the perfect tools for Backtesting intraday trading systems do (and will) not exist. Do not hesitate to give some feedback as well from your software experimentation...

Happy Trade,
Eddy

 

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