Software I am after Software which has the following options: Monte Carlo backtesting Portfolio Testing - any help in weighting systems and determing edge would also help A One off fee Risk Management - sizing positons based on a % risk Ability to use fundamental data Ability to automate trades I am a software dev by trade and so should hopefully be able to use most systems. I am just trying to starting to look at developing trading systems and also would like options on where to get viable data for both backtesting and then testing further down the track (if possible fundamental data aswell). Initially I will just be using open and close values but eventually will move into possibly daytrading. Do any software platforms come with data? Which data provider(s) would you recommend? It would be great if this type of information was all found in a sticky at the top of the forums. Thanks in advance
My requirements are quite similar and I find it hard to find ONE platform that fits the bill. I have looked at quite a few platforms and an old doc I had found at the time was this one I ended up going for TradersStudio for strategy researching. I dont love it (I am programmer by trade too and I find it very clunky) but it has a good set of features for the price ($600). I think Trading Blox is better (definitely nicer to use) but $3000 for similar features. They do not have automated trading included though. For this I will probably build something myself (connecting to IB TWS API). I resigned myself to think that an automated trading / execution platform will not provide a rich strategy research package.. Regarding Data CSI seems to be a reference for EOD data (used by yahoo, google, etc...) I actually have a post on CSI and their Unfair Advantage software if you need more info (and also some free code to extract data from their DB via their API): http://www.automated-trading-system.com/unfair-advantage-csi/ They have huge coverage (futures, stocks, etc. going back from the 50's).
Thanks for that. That is a very interesting pdf. You would hope that there would have been some major developments in the last two years. Does anyone know if NinjaTrader, TradingBlox or any other program would fit the above? Cheers
Ninja Trader does not do any portfolio testing at all (ie its only one market, one strat backtest) so pretty limited there... Whereas TradingBlox seems to tick most boxes for backtesting (ie "rich" portfolio testing) but does not have any broker connectivity (ie no live automated trading possible). I am not sure whether they do intra-day testing either. It seems to me like a mix between NinjaTrader and TradingBlox would be ideal! (but I havent found it ;-)