Alternatives to Wealthlab and Tradestation
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Anseld,
I'm working in Matlab as well.
First I'm writing a trade simulation against on-demand historical data with a suite of accepted statistical measures of system performance.
I want to be able to properly backtest *any* system and be able to compare results in a meaningful way before I even think about coding my own ideas.
My goal is an autonomous platform that will allow me participate in the markets while keeping my day job.
Matlab can pull symbols down from the TradeIdeas server so that I'm not just processing a fixed set of symbols though that does complicate backtesting.
Matlab can also trade live against the IB TWS API nicely and is fast enough to do running correlations etc on the fly. IB only slings data every 300 msec or so so its not like I'm having to process every tick, just snapshots sufficient for trading.
Glad to encounter another ML'er. Drop me a PM if you like.
Good luck!
Scott
Stay away from Investor RT, unless you like spending all your time managing the database.
I'm starting to do the same. I haven't got very far and there is a definite learning curve. Matlab is not for those who don't have a good knowledge of the underlying math involved, but isn't that hard to program.
So far, I managed to use a couple of models to estimate HV, price european call options, usefull models and puts will come the next couple of weeks and download Yahoo eod data and put it in a useful format. I still need to figure out how to connect it to IB. I don't want to get to integrated with IB since I'm switching platforms/brokers soon, but I figure that practice should help.
I could have it in usefull shape immedaitely, but I'm still undecided about what I want it to ultimately do. I'm just almost through the first reading of Hull and Wilmott books.
