My first post. A little introduction, and a wish to find out how to backtest.

Discussion in 'Strategy Development' started by arralou, Dec 5, 2007.

  1. arralou


    Hello everybody. This is my first post here. I have understood that hope is to be found within me, on every part of the way. In the beginning I would sit and hope like a little kid for my stock og stocks to go up. It was like betting on a soccer game or your favorite horse.

    Then I understood what an idiot I was, and tried to understand a bit more by buying books about technical analysis. Elliot Wave, Gann, Turtles, and alot of books about very basic technical analysis and patterns. And candlesticks too. Every time I have learned something new I have forgotten everything else I learned before, and hoped it would make me rich. Hope again.

    Now I tried to make some simple rules, 7 day SMA crossing 30 day SMA, increasing RSI and so on. I tried this manually going back two years on a stock. It gave me minus 15% return over those two years. Then I understood I still understand nothing, haha.

    It's beginning to seem like it's all about probability, and to test this I need a program like Tradestation. The problem is I am from Norway and trade Norwegian stocks. And I don't which program that has a record of Norwegian stocks. Do anyone here have any tips to which program I should choose?

    Hoping to learn alot from this place :)
    Best regards, Jon.
  2. Bo_D_


    hi jon,

    back testing software is only one side of it. you need the data as well. do a google search, you may find something.

    good luck.
  3. you are heading in rigth direction. you must test you method befor you start trading.
    Good luck to you.
    you must read a book PARDO "Trading system".
  4. arralou


    Thanks for answering:)

    I have been looking a bit into Tradestation, but I think it is a bit expensive for me. I have 20k $, or now it is 18$, and I'm not sure how much I should spend or can afford. Amibroker seems ok, so does Ninjatrader.
    I have read the reviews here on the forum. I only need a program to backtest. And I only need EOD quotes. Do you think AmiBroker would fit? And wondering where the best place to get quotes from is.
  5. I use Amibroker. Its good if you learn quick and can handle reading a manual. But for executing backtests with stops, to work properly I had to enlist the help of Graham... Amibroker users know him well.
  6. arralou


    Ok, I will probably go with Amibroker unless I find something better and easier. But it will probably not be cheaper.
    I see Ninjatrader is free if you're only backtesting, or how does it work?
    And secondly, I'm still looking for a place to get EOD quotes for norwegian stocks. I can probably get it lots of places, but I don't know of anyone else using these programs to ask.

    I hate beeing a a rookie! :)
  7. Hello and welcome

    I will give you a very good advice about backtesting and tweaking your system based on the data you have available.

    beware of 'death by tweakage'', This means that you will most likely be tempted to overparametrize your system so it performs the best possible way. Everyone do this at 1st and what will happen is as soon as the market conditions will change even by the slightiest bit, your system will fail horribly.

    The secret in my opinion is to watch for convergence of data.

    If you backtest and tweak a strategy on a index future (the sp500 mini futures are very popular), make damn sure that whatever indicator that improves your result on this one will also have a similar effect on another index future (the dow jones or nasdaq, etc)

    unless your data converges, its not reliable, and you will lose money and be dissapointed, 2 of the worst enemies in trading.
  8. arralou


    Thanks! Will check it out.
    I found out yahoo offers free historical EOD data too. It works quite well with the trialversion of Amibroker.
    #10     Dec 8, 2007