question on automated trading/backtesting

Discussion in 'Automated Trading' started by andy4444, Sep 28, 2009.

  1. andy4444



    Although I have been trading for many years, I have never programmed a single line in my life, and now I am interested in creating automated trading systems and also do automated back testing.

    My question is, what system should I learn and use? And also where is the best place to start learning? any newbie thread or article that is a good place to start?

    What system? MT4? trade station? Ninja? or?????

    What system is mostly used and has most free resources (code sharing etc)?

    Any common programming language that can be used on several platforms?

    I assume MT4 is only for FX? is there anything I can use for both FX and futures?

    Any input very much appreciated!

    By the way, I definately do realize it will take me a lot of time and effort to learn programming etc, just looking for where to start.

    Thank you

  2. travis


    I don't know what's best. I can tell you what worked for me, because I didn't try anything else. Tradestation to backtest and excel to automate. Don't study anything. Start working and then look up the answers as they are needed. As far as strategies: try anything, randomly. If it doesn't work at all, then do the opposite. If it works, then keep it, and move on to the next system. Build as many systems as possible. Simple ones.
  3. CGNobody


    MT4 supports at least one Futures broker. cant remember which one.

    MT4 is a bit more modern than TradeStation but its scripting language has many limitations that are not properly documented so don't be surprised if your strategy starts doing random stuff. It can mostly all be done but the amount of work can be daunting sometimes. Still a pretty good starting point.
  4. Ninja is nice in that you can try it for free if you have a broker such as IB. You might even be able to connect it to IBs demo server, in which case you don't even need an account with them (I've never tried that) to give it a whirl.

    NinjaScript is based on C#, which is nice since it is an actual programming language as opposed to something dedicated (like TradeStation, etc).

    Also, there are several open source platforms out there where you can develop add-on indicators and strategies, but those are most likely in C/C++/C#/Java. Do a search for TradeProject, which seems fairly slick and the author seemed fairly quick to respond to questions (he posted in another thread on ET that I was watching). I believe that one was strictly IB based.

    One thing to keep in mind...backtesting which gives reliable/useful information is not necessarily a trivial task to perform. You have to be very careful to keep from curve fitting data, modeling accurate fills, etc, etc. I'm sure a search on ET will turn up a wealth of info or those who can shed some light on the process.
  5. ::Ninja is nice in that you can try it for free if you have a broker
    ::such as IB.

    Actually you can also run strategies fully automated in the free version.... without manipulating it.... if you know how ;)
  6. I'm assuming that you mean using strategies to submit orders to your broker via the C# backdoor (i.e: Windows messages, write text file orders which are parsed by an external app, etc) rather than directly via Ninja.

    Yes, I was going to try that, but one thing I couldn't work around was trading from the chart on NT. You can't get any feedback on order updates if they are changed on the least as far as I could determine. Since that was the case, I just decided to roll my own

    Certainly a viable option if you just run an automated strategy...a bit of a kludge, but if it works, what the hey? The price is right. :)
  7. andy4444


    Thank you all for your kind and useful replies!
    Very much appreciated!