Intermarket / Pair Software for basket backtesting needed, professional advice needed

Discussion in 'Trading Software' started by ccaammaaccaazzi, Feb 20, 2011.

  1. Hi

    I am after advise on what other people are using for backtesting/optimising pairs or intermarket analysis. Not just programming 1 market of choice against another market of choice , but using a basket of markets and testing that against another basket of markets.

    I am not talking about correalation either , correlation means nothing in my models. Web sites are also useless for my backtesting [due to my models need coding with specific mathemeatic calculations]

    I had first used tradestation , but its limitations forced me to
    wealthlab.
    Wealthlab limitations for this is now forcing me to find the next best thing .[WL4 is slow and it runs out of memory]

    Ideally too the software i choose will support multiple brokers and autotrading.

    Anyone actually doing this style of research, optimizing a basket of markets against a basket of markets?

    I am not scared of hard core programmming either , but i dont want to spend days writing a piece of code to "make something work just good enough , which will be a chore to change later , to get what I want"

    Thanks
    C
     
  2. IMO this is extremely vague. What does "optimizing a basket of markets against a basket of markets" mean?

    Can you be more specific? Which markets are you talking about? What are your objectives?
     
  3. Never found it. I code my stuff in C or compiled Matlab. For automation I would need an API and then write it all myself.
    The problem with most tools is that they are made with the thinking that you the a single product.
    But for the out of memory problem it is likely that you could also run out of memory or that the backtest could take a lot of time even if you write it by yourself. I have stuff that take weeks to run!!!
    Note: define the timeframe you want to play with so that people can help you. If you think you can backtest your stuff for a high frequency program this is definitely not going to be of the shelf.
     
  4. re "What does "optimizing a basket of markets against a basket of markets" mean?
    Can you be more specific? Which markets are you talking about? What are your objectives?
    "

    I am trying to backtest a pairs trading style stategy. A pairs style trading stategy uses two markets. I need to cycle through the two markets during a backtest, optimizing my parameters on my strategy, then after the first test optimization is completed , i need the markets to be changed automatically one at at time though a list of maybe a hundred different markets [a basket of markets].
    This same basket needs too to be optimized as my 2nd pairs market aswell.

    ciao
     
  5. re ... "Never found it. I code my stuff in C or compiled Matlab. For automation I would need an API and then write it all myself."

    yep ... seems i have to now too.

    RE .."But for the out of memory problem it is likely that you could also run out of memory or that the backtest could take a lot of time even if you write it by yourself. I have stuff that take weeks to run!!!

    yep , my stuff takes weeks.

    re .."Note: define the timeframe you want to play with so that people can help you. "

    timeframes currently daily , but moving into multiple time frame soon. mixing up time frames daily down to 5 min [if i can find something that is not to hard to make optimizing time frames as well]. Basically i dont like to go back in history too far [4 years max].

    re"If you think you can backtest your stuff for a high frequency program this is definitely not going to be of the shelf."

    Yep ... seems there is no magic program out there for me.

    Thanks to every one for looking at the post anyhow. It always pays to ask in case someone somewhere as already done most of the hard work.

    Cheers
    C
     
  6. Murray Ruggiero

    Murray Ruggiero ET Sponsor

    TradersStudio is designed for intermarket analysis and you can even do intermarket analysis on a portfiolo where each market uses different intermarkets.

    In addition TradersStudio comes with a demo of trading a corn wheat spread using a trading system. I think TradersStudio can meet your needs.