http://www.alphathesis.com/blog/?p=244 Interesting that the author says it wont replace his proprietary system. I will try it out and provide some feedback.
I haven't seen anything cruder than this. Also, the author talks about parameter optimization like it is some useful function.
the reason why it would deserve attention is because bloomberg is known to be the best most widely used software in the financial space - but i forgot this is a retail forum. A company of bloomberg's size and resources can still not produce a back testing mechanism that can effectively compete and outperform the setups that people on here are running out home. So it is simply reinformce to what we know already that we get a lot of value for money with the current retail software packages. If there is no audience that is interested, then i wont bother to post feedback on bloomberg.
Wrong! The most widely used software in the financial space would be Microsoft Excel by a wide margin. (That is after Windows which is technically software too.) What is "the best" is very much subjective. Well, it's not Bloomberg's goal to be the best in every space. The only area where Bloomberg is unique is data on nearly every existing issue of fixed income instruments (read bonds). Also because Bloomberg is so much accepted in the fixed income space, their messaging platform is a must have in client-facing areas. In most everything else they aren't even trying to be the best. They are just giving more features to add value. Their CDO pricing is something a qualified quant can write in a week. So what? Most users of this feature don't hire top-notch credit derivatives quants. Those who do, still like that the feature pulls every instrument's cach flows. Similarly, I don't expect their back-testing to raise the bar in the market. It will probably be just another feature that makes bbg terminal useful. By all means, please keep us updated. To start with, not everyone (to say the least) on this forum is interested in backtesting as such. Then not everyone knows what Bloomberg is. Finally, every thread experiences a wee bit of trolls and a touch of negativity. Don't be discouraged.
no shoe fits all is the reason to create proprietary systems. plus from an ego point the implication that i do better than the big boys with much less resources is very fulfilling for some people.
ballsofgold, any updates on the functionality? How does it compare with other backtesting tools you may have used?
fyi, when I made the comment that bloomberg is the most widely used software, perhaps that was inaccurate statement. But to clarify, i meant that nearly every trader on the street at every major institution across the board uses bloomberg on the buy and sell side. Moreso than any featured software on this forum. In regards to the functionality, its not as fast as amibroker which is what i am currently playing around with in regards to backtesting. Its well inferior to AB, but i think bloomberg is going to make great attempts to beef up this functionality. It does have a study editor which can allow you to edit your entry/exit points intuitively but its opened up this up to C sharp and vba users to program in their respective codes. The backtesting so far seemed to have problem with loads of intraday data, and can only be run to one security at a time. but perhaps i am not doing it properly. However, bloomberg's other division tradebook can allow the user to reprogram the results in excel vba for example and send signals trhough its proprietary API softare. So if you backtest in BT, run simulation via excel vba and tradebook. you can do move into execution. i assume the API execution is very stable. Overall, i think bloomberg will surpass CQG in this area and for some hard core programmers that still like write in its own code can be used as one stop shop IDE. but this is some way down the line.
Thanks for posting a review! On bars Amibroker is an order of magnitude faster than any other backtesting software I have experienced. I understand it's because backtests of strategies written in Amibroker Formula Language can be coverted into matrix algebra, for which there are very efficient algorithms. Can Bloomberg backtestest on tick data yet? How much intraday history is available for backtesting?