Non RT platform for backtesting of EOD tick data

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

  1. LeeD

    LeeD

    Lots of comments in this revewe are fair. In particular, Neoticker appeals to serious users and has steep learning curve. It has very powerful charting but is less suitable for people who are not prepared to dedicate a little time to learning the platform. Most of the things one might want to do can be doen withinh the platofrm but, I agree, ways to achieve them are often far from obvious to novice users... and there is no harm asking.

    The paragrpah refers to "Grid Optimiser". It allows optimising parameters of tradins systems. These include not only conventional parameters but also time frame (minutely, hourly), trading hours and other things that are not an actual "prameter" of a trading system. There are a few algorithms to perform such optimisation. If you perform a "bruet force" optimisation it will naturally go through every possible combination of aprameters and these may be in hundreds of millions depanding on what granularity of parametrr ranges you set up (say, monig average crossover with loger period from 20 to 100 bars and shorter period from 3 to 20 bars requires (100-20+1)*(20-3+1)=1458 iterations). The number of iterations grows exponentially with teh number of parameters to optimize. For more experienced users there are Monte-Carlo method (that scans randomly for "good" parameter combinations) and "smart" search that relies on convexity of the result to head to the optimal parameter combination with minimum iterations.

    The fact thst you can use multiple computers to speed up iterations doesn't mean you have to. You can use good use of this feature with just one medium-power PC.

    Formula editor is just about what it is: formulae. It doesn't have any "execution flow control" like cycles.

    The cripting language is DelphiScript. "could not be optimized" perhaps refers to it being "interpreted" and not "compiled", which makes execution of more complex code relatively slow. The code in DelhiScript can be compiled in Delphi (with minor nomial changes) which speeds up execution of more complex code by an order of magnitude.

    As far as I know, very few Neoticker users use C++ (though well-written C++ code provides the best speed gain - not by much). Most popular compiled laguiages with Neoticker are C# and Delphi.

    This is not a requirement, it's just a feature. Grid optimiser provides multiple statistics of a trading system (such as total return, sharpe ration, number of winning and loosing trades etc) for every combination of trading system parameters. This tabel can be viewed manually. shown in a 2- or 3-d chart, can be exported into a spreadhseet. This table can also be queried using SQL for people who are familiar with it.
     
    #11     Sep 11, 2010
  2. empirical

    empirical

    Hi Leed,

    Thanks for your comments for the review on NeoTicker, its really worth considering
     
    #12     Sep 14, 2010