Software for backtesting?

Discussion in 'Professional Trading' started by Hungryman, Oct 29, 2010.

  1. Is there any software out there to speed up backtesting?
  2. Bob111


  3. Amibroker - $3-400 price
  4. I have been using MS Excel and E-signal to do back testing and they are quite good. Always remember good guidelines when doing backtesting to maximize the amount of information you can get about your trading system.

    You can read this guide here: <a href="">Trading system backtesting rules and guides</a>.
  5. I've found Forex Strategy Builder extremely useful:
    It says "forex", but you can test anything, so long as the data is in a csv in the right format. You can make any strategy and test it, make your own custom indicators in C#, it has an optimizer, and a strategy generator that will search and make strategies for you. It has features to export the data and indicator values to a csv which can then be opened in Excel for further number-crunching.
    Many useful features, very extensible and customizable, and best is it's free ware.
  6. dloyer


    I use Ami broker for intraday bar testing. Testing 1 system variation over 1 year of 5 minute bars for 800 symbols (about 15 million bars) takes about 15 seconds on a Intel i7. This is under 1G of data and is cashed in memory.

    For tick backtests, I was not happy with anything I could find, so I built my own. I built my own backtest software that runs on a 10 node server cluster.

    It can test several thousand system variations over a data set of 1 billion ticks in 2-3 minutes. This is about 100GB of data and spreads the io across 30 disk drives in the cluster.

    I have also dabbled with GPU programing. I was able to process the data set I use with AmiBroker in just 5 ms, or 3000 times faster than Amibroker. But, it needed a lot of dedicated c++ code.