New trader looking for good entry backtesting and strategy testing

Discussion in 'Trading Software' started by scriabinop23, Jun 22, 2006.

  1. I am new to daytrading and just getting my feet wet with options, futures, and want to test out some ideas related to tick readings, advances/decliners, and stochastic values.

    I am green and have no idea what software is best -- I've read a little about tradestation, but instead (due to perils I've read) I signed up for IB [i've been doing my trading up til now on Etrade, and the commissions aren't compatible with quick scalps I'm learning].

    Anyway, I want something thats compatible with whatever data feeds are included with IB, and preferrably has a demo so I can play with it at no (or minimal) charge. Or of course - free. (hah, one can hope).

    please recommend good software or something I can fiddle with in the short term. I think at minimum a little familiarity with some program trading tools will help make me a better trader and teach me something, regardless if I evolve an automatic program or not.

    Thanks in advance.
     
  2. amswak

    amswak

    I would like to bump this post and see if anyone has any more recent input. I have a day job I really enjoy, but I would like to day trade too. I am fairly new to day trading and I am looking to set up an automated trading strategy.

    I have found a few strategies on StrategyDesk that I have been testing real-time over the last month and comparing the results to the same-day backtesting results, but manually recording the data from hundreds of pop-up windows at the end of each day has gotten old. TDA's SD just isn't useful for test driving strategies.

    On top of that, I only trade 100-200 shares per trade and 9.99 per trade kills almost all of my strategies that would have otherwise worked with a lower commission rate.

    I have been looking at TradeStation primarily, but since my eyes have been opened to the day-trading brokers and platforms, I have found there are a massive number of options to choose from...

    So in summary I am looking for a
    software/broker/service that:

    a) allows setup of powerful strategies in automated trading, down to at least 1-min intervals

    b) allows backtesting

    c) allows "test-driving" of strategies where you can test it in real time and view results

    d) has either a per-share commission schedule or a very low per-trade rate
     
  3. You already have the answer - Tradestation. The only other one worth looking at is NinjaTrader combined with IB.
     
  4. amswak

    amswak

    Yeah, that was the conclusion I was coming to as well. I have been trying out the free version of NinjaTrader and just recently learned about using it for IB. It sounds like I will do TS to begin with and I will continue to tinker with NinjaTrader to see if I eventually become more fond of one of them...
     
  5. amswak

    amswak

    I am not sure I understand your question or its relevance. Care to elaborate?

    If you are simply asking why I am starting now and not earlier, it is because I was like 99.99% of the other people in the world: a hard worker, but unaware of the potential behind learning the art of trading (even if it is only done on the side).
     
  6. amswak

    amswak

    I didn't notice your post was in reply to the originator of this thread and seeing how it was started in 2006, I doubt he/she is still checking it for responses; however, my response still stands valid.
     

  7. amswak:

    I just want to say "good luck" to you.

    Your quest is a very risky one. You enjoy your day job. Stick with it and forget about trading.

    Don't believe what those commericals from brokerage firms telling you that you can make millions and millions of dollars trading a few hours a day. Trading takes a lot of hard work and commitments. Those who won't commit typically try it, lose it, and fade away.

    If you want to trade on the side, may be do some swing trading (hold for a few days). In this environment, it is very hard to "day trade" with a half-mind, part-time commitment. It is the easiest way to lose the hard-earned dollars you made from your day job.

    You are new to trading, and you want to program a computer to auto-trade for you to make money? Even the successful, experienced traders find it hard to come up with a consistently-successful automated system. (I myself had tried but failed.) Frankly IMO your chance of success is very small.
     
  8. amswak

    amswak

    "I just want to say "good luck" to you."

    Thank you

    "Your quest is a very risky one. You enjoy your day job. Stick with it and forget about trading."

    I was raised by skydivers and I build rocket engines...if there was no risk I wouldn't do it.

    "Don't believe what those commericals from brokerage firms telling you that you can make millions and millions of dollars trading a few hours a day."

    I dont watch commercials and didn't know they were saying that...

    "Trading takes a lot of hard work and commitments. Those who won't commit typically try it, lose it, and fade away."

    I have never failed at anything I committed to and I dont see why I should start now

    "If you want to trade on the side, may be do some swing trading (hold for a few days). In this environment, it is very hard to "day trade" with a half-mind, part-time commitment. It is the easiest way to lose the hard-earned dollars you made from your day job."

    Now that I will agree with you on.

    "You are new to trading, and you want to program a computer to auto-trade for you to make money? Even the successful, experienced traders find it hard to come up with a consistently-successful automated system. (I myself had tried but failed.)

    I never said I was new to trading. I have been trading and studying the market for years. I am new specifically to day trading.

    "Frankly IMO your chance of success is very small."

    Thank you for your concern and advice. I do hear it and understand where you are coming from. Like they always say, if it were easy everyone would do it.
     
  9. Sorry amswak I have misread you. When I saw the word "new" I automatically associated that with "beginner".

    Let me try to be useful to the questions you asked:

    I am a TradeStation user. I have taken their Easy Language class and had tried to do play with some programmed trading. But my results were horrible and I had given up on it.

    I am doing day trading (equity mostly) for a living. All descretionary trades. I have my "systems" (methodologies) to trade but not that I am good enough to write down as mathematical formula. I only know of TradeStation and no others.

    1) Yes you can write strategies to trade down to 1-min level. You can get down to tick charts if you want to (e.g. 144 tick, 288 tick). A bar is a bar to TradeStation whether it is weekly, daily, 1-min or 144 tick. The lower the time-frame, the more your trades are likely to get whip-sawed. There are many headfakes intraday. Very easy to get whipped in lower time-frames. Also, occassionally you get out-of-sync ticker data. These will render your strategies useless (rules fired based on false data). A lot of times, market makers like to throw these things out (because they can) to trigger some stop orders.

    2) Yes you can certainly back-test. Using end-of-day data or intraday data. TS is very flexible. Intraday data goes back to at least 10 years. But the more you "back-test" your strategies, the more likely you will be confused. Because usually a given strategy tends to work well either in a trending market or in a trading market, but rarely both. The market often changes from trending to trading without warning. On an intraday basis, the price moves typically trend ups and downs and stay in range a few times. You probably should develop some logics to tell you whether at the moment you are in a trending market or in a trading market (e.g. Higher-highs/lower-lows versus equal-highs/equal-lows) then decide which strategies to employ.

    3) IMO forward-testing is much better than back-testing. Test your strategies with minimum shares and evaluate with real trading results. You can see the trade markers on the charts once a trade is filled. You can see your open P&L and closed P&L in real-time.

    4) TS charges on a per-share basis. $1.00 for 100 shares. If over 500 shares, $0.60 for 100 shares. Bench-mark 1000 shares: $8.00.

    I used to follow my set of methodologies and traded the 1-min charts. They worked fairly well. I had recently lowered my time-frame and traded on the 42 Tick charts. My experience:

    - When I lower my time-frame, I get a lot more trading signals. But this is a two-edge sword. I can easily get whip-sawed.

    - Tradable price patterns are fractal. They manifest in the highest time-frames (e.g. weekly, daily) and the lowest time-frames (e.g. 42 tick, 144 tick). For example, you will see Double Bottoms/Double Tops all the time in all time-frames. The lower time-frames serve as a magnifier for price moves in higher time-frames.

    - I use a higher time-frame as my guide (which direction) to trade, but a lower time-frame as a guard and timing device. e.g. On a 1-min chart I should buy. I plan to buy. But on a 42-tick chart it looks bearish. I will hold. When the 42-tick chart turns bullish, that's when I will buy.


    Again, good luck!
     
  10. amswak

    amswak

    Thank you for the thorough answer! That pretty much answers all of my questions and concerns about TS.

    Though, I am curious, the mistimed data issue, how often does it happen? Is it really a frequent even? Most of my strategies make use multiple time frames and I rely on a combination of signals from intra-minutes up to days. Do all services do this at some point and I just wasn't aware?
     
    #10     Mar 2, 2009