Portfolio backtesting

kut2k2 · Sep 7, 2006

Quote from Slave2Market:

If you are using daily bars you still need to use intraday data to create those bars. It is extremely common for the open and close of a daily bar to NOT match the actual trading session open and close prices i.e. premarket and afterhours trading is included in the daily bar data. Your system will not be able execute trades at these prices and it's common for a stock to run-up/down after the close or in the premarket. Your system based on daily bars will book these imaginary profits and your real world results could be vastly different.

I use NeoTicker for all of my portfolio trading system development, backtesting and implementation. I personally believe it's the best trading package on the market and can do almost anything you can dream up. They are an advertiser on ET, and I can't say enough good things about them. It takes some effort to learn to use it, but that is true for any extremely powerful package.

Regards,

Slave2Market
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I'll take my chances with eod data. Yahoo already creates the bars for me, so I see no point in using intraday data for eod trading, especially when slippage wouldn't allow me perfect fills anyway.

And not even NeoTicker can generate the indicator I'm using. It can only be done by spreadsheet, which I have, or a custom program, which I don't have. I know that sounds incredible but that's the reality of it.

Cognition · Nov 9, 2006

GA optimization speed-ups the whole portfolio backtesting process, and, sometimes helps in discovering the most profitable settings. IMHO

TSGannGalt · Nov 9, 2006

All optimizations are the same, other than speed.

It's about the Fitness.

kut2k2 · Nov 14, 2006

Quote from Cognition:

GA optimization speed-ups the whole portfolio backtesting process, and, sometimes helps in discovering the most profitable settings. IMHO
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Hi, Cognition

Pardon my ignorance but exactly what is being optimized by GA? I have a specific class of strategies to be tested, fwiw. Thanks.

2006 · Nov 14, 2006

Genetic Algorithms -- me thinks.

ElatedMaverick · Nov 14, 2006

Quote from Slave2Market:

It all depends on the size that you're trading relative to the liquidity of the trading instrument and your timeframe. All of my trading is very short term (most trades last less than 5 minutes) and my backtests match my actual results very closely. The biggest mistake most people make is they use daily bars to backtest short term swing trading systems on stocks and then think that they're going to get actual results that match the backtests.
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The backtestt results you get with neovest match your real trading on these very short term trades? How many trades per day or volume per day are you doing, if you dont mind?

fra10trader · Nov 15, 2006

Quote from Slave2Market:

It all depends on the size that you're trading relative to the liquidity of the trading instrument and your timeframe. All of my trading is very short term (most trades last less than 5 minutes) and my backtests match my actual results very closely. The biggest mistake most people make is they use daily bars to backtest short term swing trading systems on stocks and then think that they're going to get actual results that match the backtests.
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very good point. I hadnt thought of it with those words but I knew that backtesting could help. Can i ask which tool you use and how you like it? i have tried 2 so far and like my current choice.