Best Portfolio Backtesting Software ???

Volker Knapp · Nov 6, 2003

I guess you found out that all information is here:

http://www.wealth-lab.de/cgi-bin/WealthLab.DLL/getpage?page=WLD3.htm

also see what the EliteTrader users think here:

http://www.elitetrader.com/vb/showthread.php?s=&threadid=10157

maxpi · Nov 7, 2003

Quote from Glitch:

Keep in mind that WL just introduced automated trading in the most recent release. This is possible through Interactive Brokers (IB), but the product includes an open API so interfaces to other brokers could be integrated easily.

Do you pay a surcharge for using the IB API?

Bob111 · Nov 7, 2003

Quote from maxpi:

Do you pay a surcharge for using the IB API?

there is no extra fees for using Ib API.
only, if you route you order directly to particular ECN thru API. 12 cents

Volker Knapp · Nov 8, 2003

Quote from maxpi:

Do you pay a surcharge for using the IB API?

No, Wealth-Lab comes as a one time fee 650$. You might use the automated trading station from WLD3 with IB or not, no extra cost. The integrated function allows you to trade all major markets in the world.

User50000 · Nov 8, 2003

Quote from cashonly:

Can any of these backtest on tick data?

Great question...I'd like to know this too. Backtesting on intraday data (1 minute bars, 5 minute bars, etc.) is great, but the ability to test on tick data would be a huge bonus.

Does Wealth-Lab or Amibroker allow you to backtest on tick data? What about other software packages?

Volker Knapp · Nov 8, 2003

Yes, you can backtest on tick data. I am not in favour of it since you often see bad ticks, so getting and keeping the data clean is more work then testing. Althou there is no limit in theory of the number of tick you can backtest, there seems to be a limit.
One of our users developed a free tool called "AutoRun" which performance rollovers for large data bases. Currently it does not supprt ticks, but we are working on it so that there is no limit on that. Read more about AutoRun here: http://www.wealth-lab.com/cgi-bin/WealthLab.DLL/getpage?page=articles/AutoRun.htm. If I am not mistaken the new feature will be added on the next build which will be released on 12/7/2003. You can keep yourself posted about it by checking this page from time to time (http://www.wealth-lab.com/cgi-bin/WealthLab.DLL/getpage?page=WLD3Release.htm). Let me know if this what you are looking for?

murky · Nov 8, 2003

Amibroker can backtest on tick data, but the developer does not recommend this:

Frankly I am not big fan of backtesting on single tick data.
...
tick data for one day can be 1MB or more. Several months
of tick data will sum up to more than 100MB of data. This
will slow down backtesting very much.

In the past, he has recommended n-tick bars, or 5 second bars. It is easy to go up-and-down timeframes in both charting and programming. (assuming you have the data at the required resolution) He has also mentioned that charting 100k ticks will probably bog down any software.

There is a limit on the number of bars per symbol in the database, but I don't know exactly what it is. It might be 100K or 500K or more. It is a number he has increased in the past.

The developer can provide more information if you email him directly.

Volker Knapp · Nov 8, 2003

Murky, thats why AutoRun for WL is so helpful.

paradox · Nov 8, 2003

Those are not valid reasons in my mind. Who cares if a day of tick
data is 1MB? Hard disk, RAM and processing power are cheap these days. The 500K tick limit per symbol makes it difficult for backtesting using tick data, as it forces you to somehow split your data into smaller chunks.

I backtest using tick data in AB, but I've had to jump thru a lot of hoops, and I'm not sure it's working properly...

Quote from murky:

Amibroker can backtest on tick data, but the developer does not recommend this:

In the past, he has recommended n-tick bars, or 5 second bars. It is easy to go up-and-down timeframes in both charting and programming. (assuming you have the data at the required resolution) He has also mentioned that charting 100k ticks will probably bog down any software.

There is a limit on the number of bars per symbol in the database, but I don't know exactly what it is. It might be 100K or 500K or more. It is a number he has increased in the past.

The developer can provide more information if you email him directly.

hayman · Nov 18, 2003

As a new customer of Wealth Lab Developer, I must say that I am quite impressed. As a former Pascal programmer, and user of RealTick and IB, I must say that it is a perfect fit for me. It is an extremely powerful development environment that will allow you to create simple or the most complex trading and/or simulation systems.

I was toying with the idea of Tradestation, but their slightly higher commissions than IB would soon exceed the one-time licensing fee of $ 650, charged by Wealth Lab. Also, Wealth Lab is a small company, and even though there is some inherent risk with going with a small company, their user base is growing tremendously, AND I have found them to be exceptionally responsive to any queries that I have given them. Their user community information is also worth quite a bit. Their documentation is clear and succinct.

Although I've only been a customer for a short while, I know that I made the right decision by going with them.

As an aside, can someone please clarify something for me: If I user Wealth Lab through IB for automated Trading (i.e, go through the IB API), do I or do I not incur the $ 0.003/share charge ? Is this only charged for directed ECN trades ? If I use their default SMART routing, is it true that there isn't any additional commission fee ?????

TIA