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any particular software package?

Nope, haven't found any software that offers it. Only Stockcharts. I've been using Archanalysis.com's Bull's-eye Broker which is useful, but does not include ATR-based box sizing. One issue I've been thinking about with ATR-based sizing is how would the software deal with a large change...

MBTrading and Thinkorswim should also be on your eval list - Thinkorswim doesn't have the best commissions for stocks in the group, but the software is pretty darn good considering you get it free. MBtrading doesn't provide any charting either - so you'd need to look at another source.

Anyone have a list of NYSE stocks without REITs and ETFs and other "non-companies"? I wanted to see if anyone could point me to a list like this before I start the long task of creating it from the NYSE website. Thanks!

That was very helpful - now I'm not a finance genius, so I'll add one more question. If the EFP does have a dividend, then I assume it is added to the spread? So, if the 6 EFPs were sold for 15.30, I would add the dividend to that?

I'm with others here - I can't figure out, and no one could explain at IB - how this would actually work. Could someone from IB post an example? So, say I've got $10k sitting in my account. I look at high-yielding EFPs - how should I evaluate which one to use? Thanks!

I totally agree - those guys are great! Seem to building a good community.

I totally agree - those guys are great! Seem to building a good community.

Hey all, I've been looking at PnF charting for a while now, but I've spent the last 10 days really getting into it to see if it has value. One of the most useful sites I've found for PnF charting is Stockcharts.com - and they offer the ability to define box size by ATR - which seems like a...

Tradestation can't, by itself, do multi-instrument testing.

Do you have any examples that include portfolio management? I didn't see any in the examples.

Interesting - #1 seems like a non-issue - you need to develop code either way. In fact, by not having it in a component, you may need to develop more code as opposed to just being able to plug in a Kelly's Criterion for portfolio management. As to #2, I'm not clear why it would be any easier...

Ok - the objects are there under the covers, but has the interface changed? I remember being able to look at isolated portfolio code vs. having all the code in one single file.

The big difference, having spent a little time with OpenQuant, seems to be portfolio portion of the software - I don't see a place/object for portfolio-level strategies - such as implementing position sizing strategy across a group of equities and/or futures. Please let me know if I am seeing...

TradingBlox has, as you can tell, fans like no other. I'm not a user of the software mainly because of the price and the size of my account - but I would love to use the software - it just seems great. It will require programming, however! /d/

QuantDeveloper integrates with IB out of the box, but in terms of the other features you are looking for, I think you should look at Tradecision. The only part I don't know about in the feature set you described is the multiple timeframe feature - but I don't see any reason why they wouldn't...

Just about all of them can do scanning of various sorts....Tradecision looks interesting in this area.

- A bit buggy. - Minimal interest paid on money in your account if you plan on using them as your brokerage. - Can only backtest single securities rather than then whole portfolios - in others - no real, portfolio based money management.

Anybody have any comment on using MBTrading backfill? Or do they even offer it?

Ok - only some of the software packages can do portfolio-level testing, and fewer still can do money management within a portfolio. - Tradersstudio (moderate to difficult learning curve). - Tradecision (no first hand knowledge - looks moderately difficult). - TradingBlox (no first hand...