Backtesting Software & Autotrade

OK. I have done a lot of research and still can't decide. However, some things have been added and some have been eliminated.

Patsystems IQ Trader: Really looks great, but I found out it doesn't do equities. Futures only. Looks awesome but no good for me. Pricing for full package is around $150 month I believe.

Neoticker: l really liked this one as well. Seems to have it all, but I don't know about money management capability. I haven't called them yet, but I am not sure if it can run multiple strategies on a portfolio, etc. It can handle short term trading, I think, so that's a plus for me. No demo, but you can buy one month lease for $90, so that's not a bad deal.

Neuroshell: This looks pretty sensational as well. Tons of good stuff, but again not sure about money management and mulitiple systems testing. $2400 aint cheap. I couldn't find info on a demo.

QuantDeveloper: Intense. Pretty much has everything, but anything from Russia scares me for some reason. I have sent an e-mail about pricing, since it's not published, but I haven't heard back. Based on languages that are transportable (C#/.NET). The Portfolio Analytics and Results are very good, better than anything I've seen so far. How much is this thing?

Right Edge: Seems like an up and comer. Need more info and pricing, if it's even available yet.

SEER: I was really impressed here. No question right up there with the rest from what I've seen, but it's only EOD. Out for me. The strategy details looked like the typical Tradestation type, without Sharpe/Sortino/Kurtosis etc. It would be nice to have that (QD soes).

Trading Solutions: Will get to that tomorrow.

Tradecision: Will get to that tomorrow.

Trading Blox: Wow. Another one I wasn't expecting. Superb analytics, graphics, portfolio testing, multiple strategy portfolio allocations, etc. Then I noticed it was EOD. ?? $3,000 for the full kit. Yikes. They have a demo, so I will check it out. Maybe I am missing something.

TradersStudio: Will check tomorrow. Much cheaper than the rest and looks like it's pretty serious. EOD only, so it's out for me, but supposedly RT coming soon.

I appreciate all the help, since most of these names I got from you guys. I have learned a lot.
Any more input would be GREATLY appreciated.

Oh, and by the way. Without question one of the top systems I checked out was Progress Software's Apama. From developing, testing, live support, installation help, etc., this is a program that is truly amazing. I really can't even describe what this thing could do for our trading. So, they were the first one's I called. Price:...........$10,000..........per month. Not in my budget right now. No doubt though, from what I saw, if volume was big enough (Props/Hedge Funds), you would make it back.

Anyway, thanks again. I'll try to check out the others tomorrow.
 
Quote from whoknows?:

Right Edge: Seems like an up and comer. Need more info and pricing, if it's even available yet.
More...

RightEdge has not been "released" yet, but you can download the current beta version for free. We expect to release version 1.0 late this month or in February. The price will be $599, although for the first three months we will be offering it for an introductory price of $499.
 
Could someone please clarify what is meant by portfolio-level backtesting as opposed to backtesting an individual security?

Thanks.
 
portfolio backtesting is backtesting on a group of symbols. Simple group backtesting just does an individual backtest on each symbol in the group serially i.e. performs the backtest on every bar for symbol 1, then for symbol 2, etc.
This is not portfolio backtesting as each symbol's account is separate. True portfolio backtesting processes each symbol one bar at a time, before moving on to the next bar for each symbol. This allows you to specify money management at the system level, not just at the level of the individual symbol. Also, a portfolio can contain a number of systems, each of which can be managed at the system level or at the higher level of the portfolio.

Hope that makes sense!
 
Yes, that makes sense, thank you.

Do any of the packages under consideration offer the ability to scan a universe (let's say the S&P 500 for convenience) for criteria such as "the n stocks with the highest/lowest return over the past m periods" and use that as a trading rule?

I too have been frustrated in my search for a tool for building trading systems. My first and foremost requirement is that everything be backtestable. I have heard that an upcoming version of the Worden's TeleChart package will offer backtesting. It would also be nice if a program assisted in system development, in order to automate what has traditionally been a manual, trial-and-error process.

I've tried the current version of OmniTrader and you can cross that one off the list :)
 
That's tough to do in a backtest because what you are trying to do is rank order the universe of stocks on each bar. A simpler approach might be to specify the SPY as an external data series and then use that as a filter. What you could do then for each bar is say ignore this symbol for long entries if the relative return over your time horizon is below that of SPY. That way, at least, you will limit long entries on a backtest to those symbols which are outperforrming the market.
 
I too have been frustrated in my search for a tool for building trading systems. My first and foremost requirement is that everything be backtestable. I have heard that an upcoming version of the Worden's TeleChart package will offer backtesting. It would also be nice if a program assisted in system development, in order to automate what has traditionally been a manual, trial-and-error process.

Hi Chris,
Take a look at StrataSearch....I just finished up with the 30 day demo,and I was pleasantly suprised with the package.At best,I was expecting a "turbo" Omnitrader,but SS is a very unique product and may be the tool you are looking for..

There are various backtesting levels within the program,but the core is called AutoSearch.AutoSearch provides the user the ability to create "optimal systems" by just selecting "rules",be it custom or provided by SS.As an example,you could select a moving average crossover as a primary entry rule and have various supporting entry rules..they could be advance decline data on a market,it could be the RSI of the group the stock is in,or a simple volume rule.What StratSearch will do is then run thru the combinations and optimisations(if desired) and produce extensive backtest reports and statistics as well as Monte Carlo simulations.

Testing can be done on the portfolio level,and across different markets.

There is much more to the program and I am in no way associated with the program.Its definetly worth taking a look at.
 
Hi there,

I am new to the forum, and came here looking for info on backtesting software. Thanks for the StrataSearch lead. I am going to check them out.

Basically, I am looking for software that will backtest a long-term mutual fund portfolio strategy that requires re-balancing at different intervals. Does anyone know whether StratSearch or any other backtesting software will do this. I do not need a trading system. Just the backtesting component. Appreciate any advice.

Rich
 
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