Looking for good backtesting and trading platform

Discussion in 'Automated Trading' started by thimel, Jul 19, 2007.

  1. thimel


    Like many other people, I'm looking for the right platform to use to backtest and then trade a system I am developing. I've been using TradeStation for years. I would appreciate people's advice. Here is a list of features I need/want:

    Must have features:
    Ability to call a user written DLL (preferably in VB .NET)
    Fast - see previous post
    Capable of handling a portfolio of 5000 symbols
    A few canned money management systems or the ability to write ones own.
    An optimiser that saves statistics such as total profit, maximum drawdown etc. for each case tested
    A decent charting tool that can show prices and indicators etc.
    Handles multiple bar intervals (daily, weekly, hourly, 5 minute etc.)
    A program structure that makes it easy to write and reuse components (e.g. write entries ,exits, money management in separate modules and then connect them in several different ways)

    Desirerable features:
    A genetic algorithm optimiser
    A Monte Carlo to help simulate more market history
    Ability to test without survivor bias (including handling tickers disappearing due to bankruptcies and mergers)
    Ability to handle stock splits in a such a way that systems that require certain share volumes or certain minimum prices of stock for it to be used work properly.
    Ability to test effect of running multiple strategies on a single basket of symbols and/or different strategies on different baskets of symbols or different bar intervals (hourly, daily etc)
    Can get market data from multiple sources including ascii files
    Can do actual trading in real time through a brokerage

    Price is not a major concern.

    If people could indicate how well a program they are familiar with handles each of these requirements, that would be a big help.

  2. thimel


    Under must have features, should have included:
    Account for slippage and commissions.

    Under desireable features, should have included:
    Can do portfolio rebalancing
    Can adjust for dividends.
  3. Try http://seertrading.com/

    I've been using this for last 6 months. it's amazingly fast. It has all the must-have features you require. Code is perl-based - you can use perl or c within the application. It is event-based, you can code your own functions, indicators, money management modules. It's best to write your own MM although it does come with some basic canned MM modules.

    Seer does have an optimizer, but no GA. You can run multiple systems per portfolio and can manage multiple timeframes (you can define the timeframes if what you want is not provided - e.g. if you want to use a 7 minute timeframe then you can). At the moment, it is purely a backtesting platform, but they are currently testing a r/t version that you can autotrade. At the moment, it takes ascii files - you define the input format. It doesn't do Monte Carlo simulation unless you want to write the code yourself.

    they have a 30-day free trail, so give it a look.
  4. ronblack


    Good link. I will take a look at that product because it advertises some functions not available in other systems of this kind.

    However, under Contact Us this is the only information available:

    Contact Us

    If you have any questions or comments please send an email to info@seertrading.com

    No telephone number, no address, no country of origin. By the way, Tradestation is free if you open an account with them. Why pay $50/mo?

    I will try it though.