getting started in backtesting (or not?)

Discussion in 'Strategy Development' started by Kicking, Apr 23, 2003.

  1. Well I figured maybe I should get serious and start working on strategy backtesting. All the pro's do, don't they? Or are there still some pure discretionary traders out there? I have never placed much faith into systems partly because I only trust my own observations and feel computer generated systems hide too many factors. I also have little interest in programming not that I didn't try to read programming books (I would just give up after a few pages), and finally I traded mostly intraday. Recently I turned to swing trading (stock indices) in its true meaning and had good results. It seems the more I stay away from the puter the better I do. I want to keep working in this direction and trade mostly EOD.

    However if I want to give some credibility to my strategies and experiment new ones in currencies or commodities at some point I 'll have to backtest. I thought I could start with Excel. Does anyone know how to learn about the excel functions used to backtest? The other reason why I never really considered backtesting is the cost of softwares, it would not make sense to me to spend 10% of my capital per year on all kind of softwares . I know about TS, Metastock etc, these are just not an option. I also heard about Wealth Lab being very popular but it's sold for $650. I just need simple stuff, no indicators, just price action and MA's and I forgot to say decades of data on ND and SP, TY, GC and currencies.

    Please no need to reply if it's to tell me I have no business trading if I can't spend a few hundreds per month for software.
  2. AmiBroker is $100 (one-time cost - includes five upgrades). AmiQuote comes with and is basically free, though the suggested $25 is something I'll soon be forking over. AmiQuote can get you free quotes from Yahoo. Unfortunately, you have to be willing to spend some time learning Ami's programming language. If your systems are fairly simple the programming required will be mild. AND, everything is easily imported from and exported to Excel.

    I wasn't sure I wanted to build trading systems at first and so was reluctant to fork over $600 for what I thought to be the best - Wealth Lab Developer. Ami has been a very pleasant surprise and it's cost is absurdly low for what you get.
  3. I do not know your trading philosophy, but if your systems are simple, I would just contract someone and pay them a couple of bucks to test it. Keep your mind open to create a trading ( methods ) ideas.
    I have noticed that some of "backtesting experts" are thinking in the way what is programmable and dismissing techniques and method which are difficult or impossible to code and backtest .
    Outsourcing is IMO best. and you will find that same system, backtested by several testers will have different results .
  4. Thanks for the replies. I will check out Amibroker. Having somebody do the job is obviously a good solution since I know little or nothing about programming and statistics. Maybe I know someone who could do it for me. But why would different persons come up with significantly different results and who do you trust then?

    A lot of the systems we hear about seemed to be used to trade commodities, currencies and stock indices. Instinctively I am a bit sceptical of these since these markets trade so differently. Shouldn't you watch and trade these markets in a small way before even attempting to devise systems for them or applying known systems indiscriminately to all markets ?
  5. Hey kicking, check out AIQ systems...I have been using it for 2 months and love it (silver package $59.00 monthly - software free with subscription)....I couldnt program my way out of a paper bag but they have pre-written code for almost every indicator you can imagine..and you can also modify the pre-wrtten code very easily...I do not trade EOD yet...but have been working on a SPY strategy for months now..just my .02
  6. I highly recommend Amibroker. There are numerous prebuilt routines available on the website in the AFL library which will help get you started with the formula language, There is also a very active yahoo message board with numerous "experts" to help you code your formula's.
    A one time charege of $99.00, free eod data from Yahoo and other free quote sources (as backup) is basically the best deal in the biz. (there is also a real time edition for $199)
    I have trialed many packages, Trading Solutions, DeepInsight, AIQ and Omnitrader 2003....etc...none compare.......some of those are a joke.
    Oh did I mention the AB developer? Thomasz Jenesko provides absolutely the best support in the Industry and the Amibroker is constantly being improved (some free updates provided).
    I am not a programmer, but after looking for an easier way have decided to stick with AB. I have a book on the way from the library on C++ programming.
    Good luck.