Rocko, I'm curious if you decided on screening/backtesting software. The requirement to run locally, on local pre-existing data, seems hard to search for. Some vendors work off of local data, but it's not clear if the data is in a convenient format to import/export.
The impression I got is that I'll have to do some trials. Currently I'm shoving myself face-first into AmiBroker. I am not too fond of AFL and I'm seeing some quirks. I did something stupid that should have been a syntax error but it merrily took it, and ended up only ever trading at most 1 share in stuff. I do owe it to them to report this stuff and I'm acting like I'm planning to stick to the software--since I might. The performance has been very nice. From what I can tell it is actually compiling the scripts. Honestly my gripe with scripting languages here is not so much about performance but about smaller outfits not having the strength to test out their language syntax and compilation like you get with a larger, open language's community. I have so far only been using the screening feature in using a buy strength indicator and having it select during the backtest the best-scoring equity. I haven't tried to compose other screens just to isolate things for investigation. I haven't figured out an easy way to go into the backtest and get the chart centered right on the entrance and exit that I took. I have to select the stock and scroll to the time of the trade in question. There must be a way to do this. Next will probably be TradeStation. I started an account at eoddata so I should be able to just import all this stuff in as I please.
Well AmiBroker's AFL stuff has sufficiently driven me nuts. I see my signals actually moving around just while clicking on the chart. I am giving entrances and exits, and I see it doing whatever the hell it wants from them. I know it's not just an issue of trade delay or volume issues. It's just totally wild and random. It's sometimes buying when I tell it to sell and things like that. That's not the kind of thing I want to be fighting with, so on to something else. I'll try to ask for some support questions, but that's a real turnoff. I'm expecting to be treated like a moron that can't handle AFL. I may not be able to get AFL's odd personality and quirks, but that doesn't make me a moron. If the other tools don't work out, I might come back to this using the C++ API package they provided. On to SmartQuant.
Amibroker is working correctly. Just tell the logic behind your (testing?) idea. There is nothing odd or whatever. AFL is totally easy. If you can't get along with AFL than you can't get along with Excel too. Other than that beside their free C/C++ API there is also a third party .Net SDK available http://www.dotnetforab.com/
In the case that was driving me nuts, it turned out the backtester was using reversed defaults compared to what I had in the algorithm when I was visualizing it. Right now I am back to messing with AmiBroker anyways--mostly because I've been waiting for my NYSE 1-minute data to import into OpenQuant for 2 days now. It's really chugging on it...
Sorry, can't help without more info of what you are trying to do. Otherwise ask support or here http://finance.groups.yahoo.com/group/amibroker/messages
Correction: OpenQuant has been importing NYSE data just for the month of May 2012 for the past 2 days. Really, it has been the past three days, but I did hibernate the computer somewhere in the middle. And yes, it is moving.
Hi, please just make sure you don't override / insert data. This is a very slow operation due to streaming nature of OQ DB. If you always import data in chronological order, OQ should do it very fast, with 100K-1M+ ticks per second rate or so. Regards, Anton