Intraday Backtesting

Discussion in 'Strategy Development' started by Pyrosius, Oct 22, 2001.

  1. Pyrosius

    Pyrosius

    Greetings,

    I realize this question has been visited in one form or another in previous threads, but I haven't really seen a pointer to a specific product.

    Basically, I'm looking for software which will allow me to backtest custom systems on intraday data. I've researched several of the more well-known products as well as the ones mentioned on these boards, but can't seem to find something which would work.

    Tradestation:
    Omega Research / Tradestation.com no longer offers their standalone products (2000i, etc), and their current product requires one to open a brokerage account with them get access to the software. They have a $99.00/month subscription for this as well, but it's only available to previous Tradestation owners. I called the sales department twice and they reiterated you have to open an account. I'm not sure I can justify wiring $30,000 into a new brokerage account just to have access to software I would rather buy.

    AIQ:
    I've heard good things about this product, but while they offer real-time data, their backtesting only is offered for EOD data, which is not what I want.

    Metastock:
    This would seem to do intra-day backtesting, but the sales people were a little light on knowlege as to what the scripting / programming language is to implement your system. With TS it's EasyLanguage which from what I gather is as close to an industry standard as there is. So I'm not quite sure how complex a system one could develop here, for example, can I filter a system by time-of-day or other such indicators? Additionally, Metastock has been around for quite some time and there haven't appeared to be any major upgrades. I've heard that this product is showing it's age and is buggy.

    Neuroshell:
    This does seem to do intraday backtesting with their daytrader version, but it's a neural network, which tends to look for indicators that fit your stocks rather than the other way around. I don't know, maybe it's better that way. Their site was a bit light and their sales people didn't seem to be around. I get the impression this product is more just an engine and doesn't have any charting capabilities or anything. I'm not really looking for fancy charts, just enough that show where the buys and sells would have been if my system were executed.

    Amibroker:
    This has the same problem as AIQ, it seems to be spoken highly of, but it doesn't do intraday.

    And of course there are a multitude of real-time scanners and the like (TC2000, eSignal, Cyberquant, Ravenquote, etc), which is fine, but as I said, I'm principally interested in the intraday backtesting.

    Any suggestions or additional information about the products I've mentioned or any you're aware of would be appreciated.

    Thanks,
    Pyrosius
     
  2. tntneo

    tntneo Moderator

  3. Pyrosius

    Pyrosius

    Thanks neo, I did do a search before I posted on precisely that search string actually. I know you're an AIQ and Ensign fan, but the former doesn't work for intraday as you know, and I had discarded Ensign as an option when I read your post about the bar limits. 2000 bars on 1 or 5 minute data doesn't give me enough previous information to backtest with I would think.

    The one I missed was wealth-lab though. I saw that link in previous posts and had visited the site but I thought it was just a web based tool, I didn't know they had a desktop version. I'll have to investigate that further.

    Thanks again.

    Pyrosius
     
  4. vikana

    vikana Moderator

    I'm a long time metastock user. I currently have the latest Metastock 7.2 PRO. It's a terrific tools for playing around with ideas, simple indicators and such. It is NOT recommended for actually realtime intra day trading. Here is a brief list of some of the problems/limitations

    System Tester:
    * cannot enter on STOP and LIMIT
    * same for exits
    * no function to give you the price you entered
    * cannot run systems in real-time. You have to break out the entry and exit conditions and create an Alert and attach it to whatever you are trading
    * metastock is very resource intensive. I cannot run charts with a few indicators on more than a handful of securities without slowing my system to a crawl.
    * formula language is super simple: no loops or programming structure. Think of it as large Excel macros.
    * cannot mix time frames


    Again, I like MS for playing around with ideas. It's not suited for realtime trading, IMHO.
     
  5. Pyro
    Good luck. I searched for a long time trying to find historical intraday data. Omega has it going back about a year and a half I think, but they are the only ones I know of. Up until recently, as you know, storing the amount of data required for intraday stats, was pretty difficult. Imagine storing it for 10,000 different stocks.I would imagine there are companies storing it now and in a couple of more years it will probably be available. If you do find a location, please post it.
     
  6. tntneo

    tntneo Moderator

    pyro, I was not sure you did search. that's good.
    the problem is this : there is no perfect intraday backtesting tool I am aware of.

    I wish a tool would have 2-5 years back intraday data,
    backtesting AND forward testing
    realtime too (with the same chart) reliable !
    extensive scripting capability
    opened to 3rd party code (dll, ocx, whatever)
    extensive reporting

    The closest thing I found is Ensign. But RavenQuote and StockWatchPro (I used that one too) are close. http://www.crontech.com/swp/
    Of course the 2000 bars limitation is a killer, but you can overcome it a bit (see my recent post).
    I know some traders they got tired of this and wrote their own backtesting and foreward testing tool with months and years of historical intraday data (the data is not difficult to find or buy, by the way).

    I talk only of what I know, therefore I don't mention Tradestation Online because I did not have time to work with it yet. Since I can do everything with Ensign, I don't mind.

    So indeed, it is going to be difficult to find something there. I heard very nice things about WealthLab Desktop (I tried the online version not the realtime). Great reporting etc.. but based on quote.com

    I guess most traders are not serious about testing their ideas, otherwise more software vendors would be serious about this.
    Ensign is making an effort with new versions twice a month no extra charge. The day they fix this legacy 2000 bars limitation they may take a lot of this market.
    Tradestation is very serious at integration, maybe at the cost of not leaving you enough freedom (datafeed, broker).
    Until quote.com/qcharts puts its act together solution based on it are in jeopardy. I myself did quit StockWatchPro for this very reason (and ignored RavenQuote).
    So it is not really that I am such a fine of Ensign. They have a very competent software with a couple of big limitation, but at least I can really do some actual reliable automation with them.

    If only the backtesting is important to you, you may have more options, see above.

    tntneo
     
  7. Pyrosius

    Pyrosius

    tnt, you mentioned Ravenquote in the same vein as Ensign and StockWatchPro, but from what I understand Ravenquotes is just a sophisticated charting / scanning package on top of qfeed. I just went over their website again, is there some backtesting capability it has I'm not aware of?

    And yeah, with regards to Ensign I really need that arbitrary 2000 bar limitation removed before I could do anything useful in it. I'm not sure how extensive the wealth-lab desktop thing is, the rest of the website seems primarily geared at EOD systems. On the plus side, both Ensign and wealth-lab seem to have relatively decent scripting languages. That's another reason Metastock seemed too lightweight for me there, I need control structures, looping, variables, etc.

    If I can't find something which meets my needs I'll probably just go the route others have taken and just write something in a real language against, say, the CyberTrader API or something. I guess us software architects and engineers always have a recourse that ordinary financial product consumers don't have: write it ourselves.

    Pyrosius
     
  8. MGB

    MGB

    What about www.tickdata.com ? Have you looked at that?

    You can buy up to 10 years of 1-minute tick data on the 1400 largest stocks traded in the US. Note: 1-minute tick vs. tick-by-tick.

    They also have tick-by-tick data for Futures and Indexes.

    MGB
     
  9. tntneo

    tntneo Moderator

    yes Pyro, I mentioned RavenQuote although I never used it. But the language and features makes it possible to do what I do with Ensign. Ensign has limited backtesting possibility built in (reporting is very light) but you can write/export whatever you want. So in other words, you do code your own backtesting capability. It easily becomes much better than anything on the market, because you can do back and forward testing with the same script and rules for instance, or use this to trigger a simulator or send real trades !

    This is why I mentioned RavenQuote in the same sentence. StockWatchPro does have a small built in backtesting though. Welcome to a fellow software architect by the way. So I know you will love either of these 3 products.
    Ensign and Raven are more like a real language. You can have private or global variables so you can really build a complete robot doing what a human would do (remembering number of positions, saving temporary values to use minutes or days later, save info on disk etc..) In that sense, there are more powerful than TradeStation. Not because the TS is not good, but because TS is slightly more geared to indicator building. Ensign and Raven are not that tight.

    Good remark regarding tick data. You can use this data and build your own system from scratch too.

    tntneo
     
  10. ehlaban

    ehlaban

    Do you mean Ravenquote by Raven?
    This because it isn't possible to do backtesting
    with RavenQuote, sadly enough.

    You can do bachtesting with Stockwatch Pro.
     
    #10     Oct 23, 2001