Running a backtest on the 4000 nasdaq stocks

Discussion in 'Trading Software' started by newestmember, Nov 20, 2003.

  1. Is it even possible to run a backtest on the 4000 nasdaq stocks? For example, how about running a backtest to test shorting any stock over this past year that was up 5 consecutive days in a row? (this is just an example, not something I suggest you try at home)....I would like to know specifically, how often and how much (given different time frames) I would've lost....

    Which software do you suggest?
  2. That test would be extremely easy using Wealth-Lab:

    Not cheap, but you can try a nearly full-up version for 1 month.
  3. Bob111


    and best of all-you can set it up and download EOD data from yahoo for free(just in case,if you don't have it))))))))
    if you make decent money on trading and think about how to increase profit-it not really expensive
  4. I didn't follow exactly what you meant (my fault I'm sure)...
  5. Bob111


    if you dont have EOD data for your 4000 nasdaq stocks. you can download the by using WL
  6. rickty



    If you're interested in running relatively simple backtests such as a "backtest to test shorting any stock over this past year that was up 5 consecutive days in a row" I would suggest learning a computer language such as C. There are lots of good books out there for this purpose. A C program will run many times faster than any canned trade simulation program out there where the code is interpreted rather than complied. Furthermore, your out of pocket costs are much lower as there are free C compiliers available.

  7. Bob111


    are you kidding? it will take forever fo average guy to learn some language..that what all those programs for-to save your time.
    i know VB, but let face it- WL-is real time saver for me.i only use VB, if i'm working on some automated entries app. but in WL3 -they even cover this part. just imagine, how long it will take for you or someone else to code something like parabolic, then test it, then you have to use something like SQL to run it on your database etc..who need all this those days? as i mentioned before-it trade-money vs time. dont want to spend money on complete product-start learning programing languages.
  8. You are correct. I code C++ (developed my backtest software).
    Took me nearly two years to learn C++ AND MFC. (MFC is because an interface between user and the code is needed), and I am still learning.
    It has been very rewarding, I can run backtest on 10000 trades in 10 seconds, and the program is exactly as I want it. But the time taken to create it, that is the risk I took (as opposed to just getting Tradestation or wealthlab). If you have time to invest, do it. If not, I hear TS is "slow" and personally, i dislike the charts. I hear great things about wealthlab.

    BTW - I would never recommend C. The reason is due to reusablilty of my objects. In a C program, all of the code is from A - B. If anything changes, it affects my whole app (i need to revamp code). C++ allows me to carry objects anywhere - I can evolve all I want (change program as it is needed). Performance is not noticable (the difference between them both - when viewed in tme saved from development).
  9. maxpi


    I use Tradestation 2000 currently, and it is slow. I'm thinking the ideal thing would be Matlab with some software that brings in data from Esignal and some other software that provides a chart interface. With that I could do the functions in Matlab for the backtesting and autotrading and it would be plenty fast enough.

  10. rickty


    Are you aware that Matlab already has toolboxes that allow you to do some of this. In terms of data sources, they provide connections to Bloomberg, Interactive Data and yahoo:

    It would be good if they added some of the more popular data sources.

    As I understand it, other toolboxes allow plotting of candle charts with a variety of indicators:

    #10     Nov 21, 2003