Backtesting daytrading strategies

Quote from katiewc:

can someone pls let me know what software is good for backtesting intraday stock trading strategies? Ninjatrader any good? anything else? thx in advance
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How advanced are your programming skills?
How advanced is your strategy?

To use Ninja you need to know C#

TradeStation is pretty awesome but you have to learn Easy Language and it's not so easy.
TS has 20 years back data at your finger tips.
If you can think it up you can do it in TS. Variables, Arrays, external calls,
write your own indicators, it even has a genetic optimizer.
There is one unbelievable drawback to TS and Ninja and many others.
THEY ONLY BACKTEST ONE STOCK AT A TIME and you have to manually combine the results
if you want to know how your strategy performed against a "portfolio of stocks"

If you are new to back testing with little code writing experience
and you have a simple strategy to test out i.e. you are just comparing one bar to another
and the bars relationship to a popular indicator to get your buy and sell signal then I might suggest TD Ameritrades StategyDesk.
They only have 6 years of back data but you can test your strategy against the entire S&P500 or entire NASDAQ back 6
years with summarized results in a few hours while you sleep.

If anyone else knows of cheap easy to use software for back testing simple strategies that does
“portfolio testing” against a large basket of stocks and will accept multiple data sources
or imported data please chime in.
It is also important that the software be able to auto trade the Strategy once it is perfected.
 
Quote from molite:

How advanced are your programming skills?
How advanced is your strategy?

To use Ninja you need to know C#

TradeStation is pretty awesome but you have to learn Easy Language and it's not so easy.
TS has 20 years back data at your finger tips.
If you can think it up you can do it in TS. Variables, Arrays, external calls,
write your own indicators, it even has a genetic optimizer.
There is one unbelievable drawback to TS and Ninja and many others.
THEY ONLY BACKTEST ONE STOCK AT A TIME and you have to manually combine the results
if you want to know how your strategy performed against a "portfolio of stocks"

If you are new to back testing with little code writing experience
and you have a simple strategy to test out i.e. you are just comparing one bar to another
and the bars relationship to a popular indicator to get your buy and sell signal then I might suggest TD Ameritrades StategyDesk.
They only have 6 years of back data but you can test your strategy against the entire S&P500 or entire NASDAQ back 6
years with summarized results in a few hours while you sleep.

If anyone else knows of cheap easy to use software for back testing simple strategies that does
“portfolio testing” against a large basket of stocks and will accept multiple data sources
or imported data please chime in.
It is also important that the software be able to auto trade the Strategy once it is perfected.
More...

There's a work-around for portfolio level testing on TS. Use MSA from Adaptrade. It's fairly easy to use, although it would be great if this was a built in feature of TS. TS seems to be moving into the realm of the add-on companies -- you can now optimize using genetic algos. Makes things MUCH faster.
 
Personally, I think Amibroker is the best cost/performance software out there. It is array based and much faster than any of the competition. For example, I can backtest 20 years, 5 minute bars, 300 symbols in about 30 minutes using Amibroker. Tradestation takes about 5 hours, Multicharts about 3 hours, Wealthlab will run out of memory. The performance increase is a due to Amibroker being array based. Amibroker does portfolio optimizations as well. Amibroker also has a plugin to autotrade with IB.

Of the group, Amibroker is the only software I would consider "professional" level in terms of backtesting/optimization.

I haven't used Linnsoft (Investor R/T) but I've been working with wealthLab, Tradestation and Multicharts for years. Amibroker is by far the best if you can wrap your head around array based processing.

Mike
 
Sorry that should read : heres some 1 minute bar data that I found the other day thats cheaper than anything else on the market. I realy need to check my spelling.
 
Quote from Mike805:

Personally, I think Amibroker is the best cost/performance software out there. It is array based and much faster than any of the competition. For example, I can backtest 20 years, 5 minute bars, 300 symbols in about 30 minutes using Amibroker. Tradestation takes about 5 hours, Multicharts about 3 hours, Wealthlab will run out of memory. The performance increase is a due to Amibroker being array based. Amibroker does portfolio optimizations as well. Amibroker also has a plugin to autotrade with IB.

Of the group, Amibroker is the only software I would consider "professional" level in terms of backtesting/optimization.

I haven't used Linnsoft (Investor R/T) but I've been working with wealthLab, Tradestation and Multicharts for years. Amibroker is by far the best if you can wrap your head around array based processing.

Mike
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I agree Mike, Amibroker wins hands down. It took me awhile to think in arrays, but that is what makes it so fast and accurate.
 
Quote from bellman:

I'm just curious. How is it that Ninja Trader is free?
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NinjaTrader is free for advanced charting, analytics, system development/backtesting and trade simulation. We generate our revenue from those who choose to use our application for trading through a live brokerage account at which time, we provide the following purchase options:

http://www.ninjatrader.com/webnew/subscribe_trading_platform.htm
 
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