Hi! What, if any, critical factors are NOT included in any of today's backtesting programs. For example: slippage. If you could talk to programmers and present a wishlist for the ideal backtesting program, what would you ask for that you're not getting now?
More sophisticted tests of statistical significance than Z-score. (My apologies to ET for playing straight man to this spammer, but those are good questions. I doubt that his tout (haha!) has what I asked for.) Carry on, good spammer!
I'd like to see a program so smart it can do three things: Say "Already tried that, don't work, don't waste your time." and "That's the stupidest fucking trading idea I have ever seen!" and "You're overoptimizing, dummy!"
My wishlist pertains to the ideal programmer, not the actual testing itself. I'd love to meet a programmer who isn't a failed trader and who understands that I don't CARE about his creativity with regard to the market - who just does what I want done and keeps his mouth shut and ridiculous ideas to himself. Oh, and who doesn't try to basket test everything - I don't expect/want my strategy to work for the entire Russell 2000. I wish these guys would realize how really trite they are. Sorry for the rant
1. Make it as easy to modify the composition of a portfolio, as it is to modify the value of a parameter. Treat the portfolio composition as an optimizable variable. 2. Make it easy to systematically withdraw cash from the account using some user-specified algorithm. Handle the common situations of income taxes, management fees, and profit incentive fees. 3. Provide primitive builtins which return (A) # of trading days till end of this calendar month; (B) # of trading days till First Notice Day; (C) # of trading days till Contract Expiration.
1. The ability to apply position sizing based on a partial-Kelly criteria with the parameters (%wins and W/L ratio) calculated off of the last N trades. 2. Integrated Monte Carlo simulator. 3. Apply indicators to one equity curve (already mentioned by another poster), and use the output to filter or size trades to generate a second equity curve.
A program turning your screen to red if it's bad; turning your screen to green when it's good; turning you screen to flashing yellow if it's up till now never test Jack stuff.
The only way I found to solve that problem is to become a programmer yourself!!! It takes a lot of time, but it has worked wonders for me and my trading.