Testing a systematic GTAA program

Discussion in 'Automated Trading' started by gduckett, Aug 16, 2011.

  1. gduckett


    Hi there

    Very new to this site/forum and hoping someone out there with a lot more experience than me can offer some advice?

    As a quant based research project (www.aperture-ir.com) we have developed a global tactical asset allocation program that is completely systematic i.e. algorithm driven. We have been doing the quant research for about 18 months now and are fairly happy with where the program is at so we are now modeling execution and want to back test using actual market and instrument data. Back testing thus far has been via index price and gross return data and monthly ETF performance data all pulled into excel.

    The system is index driven and looks at 43 indexes covering most asset classes (MSCI, FTSE/EPRA, CRB/GSCI, Barclays, Citi, iBoxx). At the start of the month we run the algorithm. I looks at the month end close of the 43 indexes, puts them up against a number of portfolio inclusion ‘rules’ run by technical indicators as well as max/min allocation rules and this determines what the portfolio allocations will look like for the month ahead. The system does this every month. No mid month adjustments, monthly buy and hold positioning only.

    So thus far all data management, system/algorithm writing, back testing etc. has been done in excel via a data feed from FE Analytics. We use monthly price only index data to generate the signals/portfolio allocations. We then use monthly gross return index data to simulate portfolio returns. We have also just started pulling in monthly ETF price only performance data for 43 ETFs so we can see how it compares to the index model…results are fairly close.

    So, now we want to start paper trading the 43 ETFs based on the monthly positions produced by the index driven system. We are looking for software we can use to do this. We want to paper trade it but also back test it using actual historical market data. We need software that can generate the signals/monthly portfolio from all of the indexes we use, then trade the 43 ETFs. The ETFs are listed all over…Asia, Europe, UK, US. We want to automate it as much as we can.

    The IB platform provides access to all of the markets and listed ETFs we need, not sure about the index data though? Do we simply choose the best strategy testing software that takes in an IB data feed?

    Are there better global market platforms out there other than IB? I personally use SaxoTrader which provides all the markets/ETFs we would need but no strategy testing software

    So we need:

    1. A provider of raw index data into excel. XLQ? This is just for continued excel modeling, we want a 2nd source alongside our existing data source
    2. A best guess at the most suitable software for back testing the strategy described above? Index driven system/signals based on tech indicators, then trading 43 globally listed ETFs
    3. Execution platform? IB? Or is there a better platform for executing the strategy described above?

    Thanks in advance for any advice that anyone can offer