Is the backtesting feature in the Omega Research ProSuite 2000i reliable??

Discussion in 'Trading Software' started by Jerry78, Mar 31, 2004.

  1. Jerry78


    Is the backtesting feature in the Omega Research ProSuite 2000i reliable??

    Has anyone verifieded the feature personally ??

    Please give some objective comments on that !
  2. Depends on the level of reliable.

    It does give out results based what you code in.

    Currently, I require more than EasyLanguage to trade systems and test them.

    But, in general, yes... it's pretty straight-forward. It duplicates the code and data, as you tell it to be.

    It's a matter of your coding skills.
  3. i think tradestation 2000i is very good for back testing but the key is to have good intraday historic data. the smaller the population of data, the bigger chance of over optimization.
  4. 1) there is an error in NthHighestBar , here is the correct code and give it a different name: (NhighestBar) (you cannot save it under the original name due to that it is read only)


    Inputs: Nth(NumericSimple), Price(NumericSeries), Length(NumericSimple);
    Array: PriceArray[100](0), BarNumArray[100](0);

    If Nth <= Length AND Nth <= 100 Then Begin
    For value1 = 0 To Length - 1 Begin
    PriceArray[value1] = Price[value1];
    BarNumArray[value1] = value1;
    For value1 = 0 To Nth - 1 Begin
    For value2 = value1 + 1 To Length - 1 Begin
    If PriceArray[value2] > PriceArray[value1] Then Begin
    Value3 = PriceArray[value1];
    PriceArray[value1] = PriceArray[value2];
    PriceArray[value2] = Value3;
    Value3 = BarNumArray[value1];
    BarNumArray[value1] = BarNumArray[value2];
    BarNumArray[value2] = Value3;
    NHighestBar = BarNumArray[Nth - 1] + CurrentBar - BarNumber ;
    NHighestBar = -1;


    2) TS2000i is good for daytrading. But if you are scalping and working with only a few ticks profit then the backtesting results are faulty. This has to do with the fills: When you do a market order you will (almost always?) get the worst fill. It will calculate it as that 50% of the time it will get the ask and 50% the bid.

    3) if you use limit orders then you will not always be filled - there may be only one trade at that price.

    4) aim for a P/F of at least 1.3 or more, suggested value 1.6 or more.

    To be realistic you'll have to add two ticks to TS results for each trade (winners and loosers). If you position trade intraday and place a limit order early for profit target then you can reduce it to 1.5

    good luck
  5. lindq


    Always a good idea with ANY backtesting software to double check results against a second source, such as referencing charts of generated trades. Even the best software is only as good as the data it is referencing, and the input of the user.