Non RT platform for backtesting of EOD tick data

Discussion in 'Data Sets and Feeds' started by empirical, Sep 6, 2010.

  1. empirical



    This is my first post here. Would be glad if any advice could be given. I am trying to backtest a few major forex currency pairs. I am a newbie to backtesting except on MT4 platform which has its limitations. If one can choose the most accurate timeframe of data to test, it has to be tick data although it might not be practical for certain aspects.

    1.Platform able to import and backtest 3rd party EOD tick data (not by interpolation from high TF of course)
    2.Support portfolio testing and simultaneous money management
    3.Non lease based, one time purchase, no requirements for RT data

    I have read through many forum reviews and posts, tested a few platforms

    1.Tradestation Ver 8:
    Did not succeed in even importing ASCII file despite trying solutions i can find on the net. Also seems to be a general bias that platform is not as up to date with its competitors.

    Tried out the demo, had an email reply too from them that it can support tick data backtest on full version,by adding an AFL code to do so in the default format file. (can anyone concur that this can import and backtest tick data granularity?)

    Did not try out demo, read about its limitations and also issues about the market replay mode

    4.Forex tester Ver 2.5
    Apparently does not support tick data, new ver 2.6 which is not officially launched is able to do so but apparently only by monthly subscription from designated data feeds, not sure whether able to import though. Not to mention portfolio and money management is out of the question.

    Seems like amibroker is the only one i know that fulfills my requirements, need advice on this.
    I may also consider throwing in the towel and settle for working with 1min data going with tradersstudio considering its edge for its portfolio and money management, able to factor in carry over swap rates and also its competitive pricing
    Lastly another newbie question, it seems like all platforms import data in the DATE, TIME, OHLC format. So for tick data does it mean that essentially OHLC has the same numerical element that is the current price as there is no OHLC with ticks.
  2. I'm also looking for a program which will backtest on every tick. I have some very powerful computers available to me so don't care about speed of process, rather accuracy.

    Let me know if you guys find anything or have any suggestions. I'm working on a NinjaTrader setup right now but really need some way to basically rewide and run the market as it happened, tick per tick, no mathematical shortcuts.
  3. LeeD


    empirical, one of the platforms you need to add to the list is NeoTicker. It has both "leased" and "purchased" options. It is one of the few platforms where you can backtest a trading strategy on minute data (for speed) and then test it on proper tick data to see if it still works/improves/ shows the fill assumptions are unreasonable.

    You can import tick data as text files (there are 2-3 options) and you can import trade prices only (with bid and ask simulated) or you can import every bid/ask update.

    Out of the platforms you listed, Tradestation is quite primitive (the advantage is it works most smoothly if you use Tradestatio as broker a data feed at the same time).., and I have never heard of Forex Tester
  4. empirical


    Hi LeeD

    Thanks for the information. I did go to TickQuest website and had a look at neoticker. It did not mention it has any portfolio/money management interface. However i did not know that it does process tick with bid/ask input concurrently till you mention it. ( I do not know any other platform that can do this)
    For the price just for backtesting at tick level with no portfolio built in management, for me is not justified. I have to get another sw just to have the built in portfolio management part.

    AMIBroker does backtest at the tick level and has a built in portfolio and money management, although i think not as comprehensive as tradersstudio or trading blox. But at its competitive pricing, it is quite cost-effective.

    Also i ran into the issue of some platforms not able to construct higher timeframe bars from smaller ones. e.g. for testing of 1hr time bars, i need to sync it with a smaller timeframe like 1min to avoid the "bouncing tick" issue. As i am looking at forex data, it is difficult to find providers providing data for all timeframes as it will be ridiculous to use a combination of different timeframes from different providers.
  5. NeoTicker looks like it may work for us. Does anyone have any experience using this with outside historical data vendors? I could not find what type of programming language it uses. Any thoughts? C++ or maybe C#?

  6. Murray Ruggiero

    Murray Ruggiero Vendor

    TradersStudio can test down to 1 min bars and you can important CSV files. It also supports multiple timeframes analysis.
  7. empirical



    Found this review on

    Might be a useful read to you, article was last updated in 2008

    "A respected colleague recommended that we look into this package and I had hopes that it would be the one platform to
    handle all my needs. We spent a full month running the demo. NeoTicker is an extremely powerful program. It uses
    real-time and offline data from many sources, and auto-trades through many brokers. It performs some portfolio-level
    testing. It can trade and test in multiple timeframes and even optimize to find the best timeframe. The program has no
    real testing automation, but can perform huge grid optimizations. To do this in a manageable amount of time, a separate
    engine runs grids on multiple linked computers. (We didn’t test this feature.) NeoTicker prints detailed reports in
    annual, monthly, weekly, or daily formats, and includes just about every statistic known to the industry. It keeps track
    of trade orders and trade fills for comparison. The technical support is quite good. We found a bug in the demo, and
    they fixed it within 24 hours. They provide a ~2000 page owners manual.
    The charting looks clean, but is painfully awkward to work with. Custom indicators are clumsy to use. The internal
    formula editor is primitive, and the internal script language could not be optimized. This is disappointing, since the
    internal language is powerful and transparent to use. As it turns out, major programming skills are required, as all
    serious work is done in a major outside language—preferably C++. In addition, SQL database language is needed to
    manage the grid optimizer.
    NeoTicker is an enterprise-level solution, and should appeal to institutions or perhaps to individuals interested primarily
    in the programming process. It was difficult to put it aside, and I insisted on learning to use it before I finally came to
    recognize that, as an individual, it would slow down my creative process. At about $1,300, NeoTicker met three out of
    five goals."
  8. Hey thank you. I really appreciate you finding that for me. I'm right in that difficult position of wanting to use enterprise level resources while only having a small team to solve typical trading type problems - most of who are not that technical for the computing field of expertise. I guess you could say that we're part of the world which was kicked off the floor with the invent of hyper fact computer market making. Anyhow, again, thank you.
  9. LeeD


    NeoTicker has "portfolio" trading sustems which means you cna build a system that runs on dozens or even hundreds of instrumenst... and run it in real-time and backtest... basically do anything you can do with a system on one instrument.

    As far as I'm aware (it's best to ask on Neoticker forums) Neoticker doesn't have a built-in "portfolio" overlay. If you want one, you can build one using portfolio trading systems. Portfolio/money management restrictions I find in Amibroker documentation seem straightforward. If you ask on the forums, it's likely a senior member of the community will write the required 20-30 lines of code as an example.

    That's one area Neoticker excels at. If you import tick data, you can request Neoticker to create minute and day data from ticks. Further, when you test a system on a higher timeframe you can use the saved data or request Neoticker to generate higher-timeframe data from ticks on the fly.
  10. LeeD


    Neoticker supports a number of data vendors that provide price history in addition to real-time data. If that's not enough you can import historical data as text files.

    The thing that contributed to my choice of Neoticker is the existence of API (which is well-documented and is made availabel to all customers) for datafeed and broker connection. This means you are not locked to brokers and data providers that negotiated kickback with the makers of the platform. With some (development) effort you can connect Neoticker to whatever data or execution platform you have.

    You need an external development tool such as Microsoft Visual Studio to write code in C++ or C# (free "express" edition will do). You can use any laguage that compiles into a DLL or NET assembly. However, C++ and C# are among officially supported programming laguages.
    #10     Sep 11, 2010