Macro Backtesting

Discussion in 'Trading Software' started by funky, May 29, 2004.

  1. funky


    is there currently any tool out there for backtesting strategies across a large set of markets automatically? for instance, the tool should be able to sort by highest net profit for each market inputted.

    trying to find a better way of manually inputting symbols and writing down the results into excel :(

  2. WinSum


    Have you looked at Wealth-Lab to see it works for you ?
  3. funky


    How would you do this in WLD?
  4. WinSum


  5. funky


    Also, can you do this in Tradestation? anyone?
  6. funky


    You can use the $imulator tool to Back-Test a ChartScript on a group of up to 100 stocks at once.

    i am looking for an automated tool to scan a universe of markets, not 100 markets at a time. good start though it doesn't cut it for me.
  7. funky


  8. funky


  9. Hey funky,

    The 100 stock limit on Wealth-Lab applies to the website version - they probably impose this to keep server access down. The desktop version can do all sorts of backtesting (I usually use the Russell 3000 for stocks, any groupings you want are possible). I like to set up a master list of all possible stocks (6000+), then create Watchlist composed of those stocks (Russell 3000, stocks with $Volume > 250K, etc.):

    There is also a free add-on to Wealth-Lab to provide further scalability to your backtest:

    Haven't tried this yet, looking forward to it as time permits...

    Hope this helps,
  10. funky


    thanks....i'm currently using TS so i'd rather find a way to do it that way, but its good to know i have another option.

    looks like PortfolioStream from Rina ( does the trick. but its $200/month + setup fees.

    i'd rather just write my own custom code to do it, shouldn't be that bad -- but i'm looking for a start somewhere...maybe someone reading this thread will point me in the right direction?
    #10     May 31, 2004