Experienced Tradestation users, I'm considering which backtesting/optimization package to go with as a beginner and have a few questions on Tradestation. Wealth-Lab appears to have attractive optimization charts and massive flexibility, but the ease of data collection is holding me back. If anyone can answer the following questions about Tradestation, this would help greatly in my decision. Can you backtest with trades that are sized as a % of account capital as opposed to a fixed number of shares? Can you change the commission size in backtesting? What is the max number of variables can you optimize in one run? Can a strategy be written which generates a signal based on events happening in different charting timeframes? Is the radar screen required to implement a strategy that is watching two symbols at once? How much hard disk space is required to store the max amount of intraday minute bar data (1.4 years?) available for one symbol? Can Tradestation support strategies that track the slope of an indicator? Any help would be most appreciated. The conversations on this board have been extremely helpful. Thanks
1: You can specify the number of shares, contracts traded, so I guess that's a yes. 2: Not in TS6 (haven't tried TS7, but I doubt it). Hmm, I may misunderstand your question, but I gotta run. You can set your commissions before you run any backtesting, but you can only have one commision price. BAH!, that's confusin, and I'm late. Reclarify this Q and I'll try to explain. 3: Too many . I dunno what the actual limit is, but I suspect you do not have enough computer power to reach it. It's more than 12. 4: Not in TS6, and I strongly hope this is possible in TS7. 5: No idea, RS is new to TS7 6: Beats me, I don't think TS stores that on disk. Besides, disk is cheap. 7: Yeap. TS6 (and I presume TS7) allows one to refer to previous values, so you can calc the slope.
All responses based on TS6 - TS7 very unlikely to be less capable: 1: You'd probably want to write code within the strategy to give you maximum flexibility. 2: That's an inaccurate response: You can embed a factor reflecting variable commission sizes within a strategy. 4: That's also an inaccurate response. You can use multi-data charts covering different time frames. I'm not saying it's easy for people who aren't savvy about programming, but for people who are, it's not difficult at all. 5. You can load as many different charts with strategies applied, and run them simultaneously, as your computer can handle. 6. Not very much - tick data doesn't take up very much space relative to the size of contemporary hard drives. Unless TS7 handles data very differently - I strongly doubt it - tick data once loaded from the network will remain cached on disk, and is accessible off-line.
Thanks both of you for very helpful answers. To clarify the comission question, you answered it for me, I just wanted to know if I could set it to one value for all trades. Regarding the ability to size test trades as a % of account capital, what I want to do is have each trade = a fixed % of capital, so assuming a consistent successful strategy, it will reinvest the gains from previous successful trades in future trades as it steps forward. Does that make sense? Also, a previous post regarding Tradestation said that "next to nothing actually works". Have others found this to be true, or can I expect with a lot of hard work and analysis to isolate a consistent winning set of rules? Have you made money using the backtest/ptimization features? thanks
vanilla2, Personally I love Tradestation and it works as advertised. Its fairly robust, and I've gained quite a bit from backtesting/system analysis. Easy language is good. And there are free programs that interface IB into TradeStation so you don't necessarily have to have an account with them to autotrade a system. That said.... Tradestation 7 is even BETTER! I just LOVE: Integrated ECN books Color coded time and sales RadarScreen OptionStation Pre and Post market chart data Linking, linking, linking! With various addons from Rina Systems, etc, you can really turn Tradestation into a backtesting Rocket. Check out the tradestationworld forums to see what you can do with easylanguage. Good Luck, SubEtha
Thanks, It's good to hear positive feedback since I'm most likely going that route. Very useful info, thanks. The big questions at this point are: Can a strategy give signals based on events happening in multiple charting timeframes? Will I be able to test on intraday data going at least a year back with only a 12 gig HD? Thanks again
If TS7 has arrays in its programming language like TS2000 does then you can generate all the timeframes you want. You have to generate the bars of data in an array via EZ Language programming then you can apply indicators to the arrays just like you apply them to the bar data visible on the chart. It is not real easy to do, I'm an amateur programmer, but I was able to get it working. You can also put a second set of bars on your graph, data 2, and run strategies from that. I never used that method because you could not compute strategy results until the slowest set of data had completed a bar, I wanted to test on realtime updating bars on every timeframe. Max