Back-testing software, my progression to freedom

[bwolinsky]

Quote from lolatency:

There aren't that many datapoints in what you are trying to do, so I imagine some basic programming in your statistical package of choice would be adequate for this task, particularly once you have pulled the data from a reliable data source.

WL is the only platform with a portfolio simulation that can be run on fundamental data. Have fun re-inventing the wheel.

 

[Tim2000]

Quote from lolatency:

There aren't that many datapoints in what you are trying to do, so I imagine some basic programming in your statistical package of choice would be adequate for this task, particularly once you have pulled the data from a reliable data source.

Thanks lolatency. I'm looking for a recommendation for a data source / platform that covers a wide variety of fundamental data like return on capital, current liabilities, etc.

 

[Eight]

Quote from Tim2000:

Thanks lolatency. I'm looking for a recommendation for a data source / platform that covers a wide variety of fundamental data like return on capital, current liabilities, etc.

Zack's did have that years ago, they still might. They had the data and the testing software as I recall. The cost was not trivial but if they still are in that business, who knows, the price may have come down... I recall that they were the least expensive at the time [late 90's]

 

[MGJ]

Here's an example output, taken from a 2007 ET posting here, from a commercial backtesting software package that sells for $3000. Not cheap but not the price of a Toyota Prius either. Although this particular test was run using a single trading system (one of my own proprietary frobs), on a single portfolio, of one type of tradeable instrument (117 futures markets), the software will also test ensembles of several systems, simultaneously trading different types of instruments (stocks, futures, forex), with different portfolios. It'll do intraday, daily, weekly, monthly bars.

If you decide to write your own software, I would recommend you steal some good ideas from this one, including the various histogram plots, and the Instrument Performance Summary table.