Recent content by PowerST

Worst case, you can create back adjusted continuous contracts in Excel. Create a rollover gap column (from looking at the difference in open prices in the individual contract data files). From that create a cumulative rollover gap column. From that use formulas to subtract the cumulative gap...

I am not clear from your post what your goals are and what your price tolerance is. If your goal is to backtest a complete strategy and your price tolerance could afford the business level pricing of PowerST (discussed at the bottom of the Product Overview of the PowerST web site), possibly...

I will place another vote for Firefox with the NoScript add-on. I have been using NoScript for years. NoScript is more than an ad blocker. It eliminates scripts from the main page also, until you decide to allow scripts for that site. So when you first click on a new link from a google search...

Interesting thread... But I don't understand what you are saying in the two above quotes. You can get it to work on individual stocks but when you trade too many individual stocks in a portfolio it doesn't work? I don't understand. If it works on individual stocks, shouldn't it work when you...

If you find the topic interesting, let's keep the discussion going! I am myself interested to hear your opinions. Not necessary to vote in the original poll. Specifically my interest is software approaches to large scale backtesting. If you have opinions (if that is the topic you refer to having...

This is very interesting. Let me point out that there was an article in Future Magazine around 2 years ago written by a product manager at one of the big algorithmic trading software companies, if I recall FlexTrade: http://www.flextrade.com/ That article was also about EOD trading, and...

Actually, that is not correct. My primary business is selling a backtesting product named PowerST that is an end user programmable product. Some but not all PowerST customers may ask me to help with their strategy programming. In one of my previous posts I said "I understand that one PowerST...

This is exactly the same that attracted my attention to this thread. This thread has discussed the problems with general purpose commercial SQL databases, and we are now discussing alternative software design approaches. But you keep telling me that my non-database design approach won't do the...

Ok, let me talk about screening. I previewed in my last series of posts that I had not yet discussed that topic. You said this previously: In 2008 I worked on a project very similar to what you describe. I was working with a trader who had developed strategies using a one day at a time...

The problem this is that the quantity of data thstart and I are discussing may not fit into memory. We are discussing larger scale testing that can easily exceed physical memory. thstart already discussed SQLite in previous posts to this thread. He said:

In 2008 I worked on a project very similar to what you describe. I could type another post describing how I went about it.... but enough typing for now. However, let me only mention before you say I am only talking about backtesting not scanning. Yes my above posts above are only discussing...

Next the topic of daily trade signal generation. I am having trouble understanding your benchmarks descriptions that I quote from above. However, one thing that I pull out of it (from the part of your full text that I quote above) is you seem to be saying that your goal was to calculate...

Continuing my previous post: However, you talk about "sliding window calculations of 5,10,20,40,80,160,240,360 trading days", which I term as indicator calculations of these various lengths. The users I refer to above are not running against hundreds or 1,000 columns of input data that you...

thstart: This is an interesting discussion because it seems you and I are in exactly the same line of work. We have both spent years working in the subject matter of software for large scale strategy backtesting. Absolutely! There is great interest value and information value in this...

I can't say I am 100% following all that you say. You are saying quite a bit in a short amount of discussion, but with multiple read throughs I think I am catching most of it. It seems that much of what you are describing is actually expressing an opinion about what types of data you think is...