what are you backtesting? stocks? futures? forex? what time resolution do you use? daily bars? minute bars? how's the order executed? end of bar only? intrabar order generation? these issues make a difference!
what are you backtesting? - Stocks Only what time resolution do you use? -I have tried 3 minute, 5 minute and 60 minute time frame charts. Did not have much luck with reults of other time frames. how's the order executed? Not sure what you mean...I use Ameritrade's Strategy Desk.. I also just started trying out NinjaTrader with limited success. end of bar only? I tried calculations on Open, AND close bars...have not tried any intrabar tests.. intrabar order generation? these issues make a difference! I am very curious to see what TickZoom will be all about when its released. I havent seen anyone's thoughts on NinjaTrader Vs. Tradestation..any comments there?
PDmoney look up my post on the refined macd-r2 paper research i think that it may help you if your trying to go the ol indicator backtesting route....
Thanks Nuke..interesting thread. However, I only have access to Ninjatrader at the moment. Also, does the idea apply to Stocks too? I only trade stocks.
It's all relative. It seem every tools shines at a certain functionality which it focuses on. TradeStation seems to be the major player at trading equities where you have perhaps thousands of instruments in radar station. They originally invented EasyLanguage which really does make certain things much easier to write in trading rules but it limits in other ways. NinjaTrader shines at discretionary trading where you can run historical test ideas and semi-automate your work. It uses straight C# for trading rules which is a little painful when you're used to EasyLanguage. None of those are worth much when you want to test based on raw tick data. They need bar data or memory and performance goes to pot. It really depends on what you want to trade and how you want to do it. TickZOOM really shines for testing ideas on a TRUE market simulation with full, detailed tick data and then seamlessly automating your trading rules to run hands free. It also uses C# but incorporates all the stuff (and more) that makes EasyLanguage easy for writing trading rules. But TickZOOM only supports an extremely simplistic discretionary trading GUI. In theory, all these tools could be improved or modified to handle everybody's needs. But reality shows it's very difficult to excel at everything. Sincerely, Wayne
the paper is in the thread somewhere i believe but yeah it was originally meant for stocks i believe i modified the hell out of it to make it work in FX i have the MT4 code if you would like it as i dont know anything about ninjatrader note its accurate as hell but accuracy isnt everything as i trade FX i can say its profitable in FX with my modified version but i cant say ive tested this enough in stocks to say that is profitable but backtesting wise its in the 90% success rate and has huge profits with minor losses. origin paper i attached... read through it its very interesting its a good up yours to random walk
If you are trading with indicators and oscillators at Ameritrade go out to the TASC magazine and look for the past year or so. TD Ameritrade has posted quite a few indicators in the past year written by some well know traders. If you back test it paper trade it and watch for changing market conditions. You will find that many traders with programming back grounds, like my self, want software that is much more sophisticated than TD Ameritrade strategy desk (see attached). This allows for more extensive price bar testing in concert with indicators and oscillators. I discretionary trade and automated trade stocks. I prefer discretionary trading with multiple indicators with confirmation. Automated trade with indicators is complex topic especially back testing. For this I use Tradestation.