I am new to automated trading (but have some programming experience). I have a trading concept based on a few favorite indicators of mine, price, RSI, volume, moving averages and so on. What I'd like to do is backtest my idea on a universe of all stocks trading on an exchange for an extended period of time, say a few years. For example, if you had executed this strategy on each possible trading opportunity what were the results? What is the easiest/cheapest way to accomplish this? What platforms allow it? Where would I find a database of historical intraday prices and indicators from which to test against?
http://www.amazon.com/Professional-...r_1_19?ie=UTF8&s=books&qid=1267844754&sr=8-19 the ideas in the book sucks and pretty much useless, but if you know programming -you should be able to understand the process of creating the system from it. btw-ithe book is probably all over P2P\file share services for free.
If you are talking about US stocks you can do that easily and cheap using a product from Worden (worden.com) and if you do not like the results you cancel the subscription. Their program has the data with splits accounted for.
I have not used this program, http://www.elitetrader.com/so/?action=view&SR_ProductID=73 but it seems to have some favorable reviews. There is a module called Odds Maker that enables backtesting. I think they also have a free demo, so you can check it out before you purchase. If you find it useful, let me know. Thanks.
Bob is exactly right. It's very rare to find any good profitable ideas for trading say equities... PM Me for a list of good books on systems trading, I have a list of the better ones. Their are only a few authors that you can find out there with good ideas, and occasionally a reliable publisher like wiley.