Hey everyone, Quick question for you pros. Is there any software out there that will allow me to back test how the market reacted after a specific event occurred over the course of a specific time period. Say for example, the market hit a 20 day low and I wanted to know how many times the market bounced when hitting a 20 day low since 2000 and what the average return after the bounce was vs the average S&P gain over a two day period without previously hitting a 20 day low. I'm sure some sort of tool/package exists to compute these types of statistics. Any recommendations would be appreciated. Thank you, Dave
i suggest you take a look at http://www.quantshare.com It allows you to define custom output after specific events. The specific event could be any trading rule. The custom output can be the stock return over a specific time period. (as you wanted) You can also define much more advanced outputs. like option call/put strategies, or volatility change over a period...
This can also be done in TradersStudio with custom reports. I have an example of all of Toby Crabels tables from his book in TradersStudio using our custom report feature. We also have our color report feature which can also be used for this type of work.
The answer probably depends upon the volume of work you want to do. As Makloda said, Excel would be a good place to at least start.
Didn't even realize that daily was available for free from Yahoo. I think excel is the easiest way to go. Thanks everyone.