Deciding between Amibroker and Traderstudio

I

inquisitive

Greetings,

Some background information: I am a new systems trader and am deciding between Traderstudio and Amibroker based on their price. I have read Curtis Faith's book "Way of the Turtle" where he gives a number of systems and the results in specific time periods. My plan is to first reproduce these numbers so I can verify I know what I'm doing and then I would like to test my trading systems historically. I would like to be able to program a complete system, including criteria to enter a trade, when to increase or decrease size, when to sell, % of money to allocate to each stock, etc and then have the program calculate returns and other data. It would also be nice if I could create the kind of graphs that Faith uses in his book.

How do Amibroker and Traderstudio compare in terms of backtesting? Can I program a strategy and an amount of money and see exactly how much I would have made/lost over specific time periods?

How many years back does the data go or do I have to purchase the data separately and how much does it cost?

Are stock splits handled correctly?

I have no programming experience but am extremely intelligent. How long will it take me to figure out either of these programs and how long does it usually take to program a system?

Can I use these programs to screen current stocks based on my criteria?

Do these programs have access to historical and current volume data as this is a component of my trading system?

Thank you very much for any input!
 
Quote from inquisitive:

Also, just came across Ninjatrader. Can it do free backtesting??
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Absolutely!
 
Quote from inquisitive:

Greetings,

Some background information: I am a new systems trader and am deciding between Traderstudio and Amibroker based on their price. I have read Curtis Faith's book "Way of the Turtle" where he gives a number of systems and the results in specific time periods. My plan is to first reproduce these numbers so I can verify I know what I'm doing and then I would like to test my trading systems historically. I would like to be able to program a complete system, including criteria to enter a trade, when to increase or decrease size, when to sell, % of money to allocate to each stock, etc and then have the program calculate returns and other data. It would also be nice if I could create the kind of graphs that Faith uses in his book.

How do Amibroker and Traderstudio compare in terms of backtesting? Can I program a strategy and an amount of money and see exactly how much I would have made/lost over specific time periods?
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Yes to both.

How many years back does the data go or do I have to purchase the data separately and how much does it cost?
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Tradesstudio requires purchase of data - depending on the amount of data you want (in terms of years, number of equities) this can cost you between $400 - $700 with a recurring yearly cost of around $360 (@ approximately $30/month). They recommend CSI data.

AB can use any number of external data providers including (but not limited to) Quotes Plus, Telechart 2007, Norgate, CSI data. AB can also, with an additional purchase, download data from free sources such as Yahoo. In that case, you pay for the utility to download data and then data is free.
Otherwise, expect the same costs for data that you see in Tradersstudio.

Are stock splits handled correctly?
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Depends what you mean by "handled correctly - Tradersstudio has a unique feature in terms of handling historical testing of stocks with adjustments for dividends and splits. Pretty much unmatched in this area.

I have no programming experience but am extremely intelligent. How long will it take me to figure out either of these programs and how long does it usually take to program a system?
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Impossible to know - too many factors from your own ability to the complexity of the system you want to program.

I would say that AB is easier to start with, but gets more difficult as the complexity of the system goes up, while TS stays at roughly the same level and has a steeper starting curve. Both programs include a lot of samples, but AB has a large community of people that provide additional support.

I've found that most people, once they figure out the basics of a program, can have a simple system up in their first couple of weeks - but then they slow down as they get beyond the samples.

Can I use these programs to screen current stocks based on my criteria?
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Yes, either will work - I personally find AB a better screening tool.

Do these programs have access to historical and current volume data as this is a component of my trading system?
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Yes.

NinjaTrader is also an interesting program and can be operated completely for free with access to Yahoo data. What I haven't looked at yet is whether it can do true portfolio testing.
 
I had done a research to decide upon a back testing and trading platform and tried out some software which included Amibroker and TradersStudio.

Please have a look at the following for the reviews:



More of the research and discussion can be seen in the following threads:


As regarding the split stocks question, please see the next post.
 
As regarding the Stock Splits question, am quoting a section from the review pertaining to the same as follows:

Real World Equity Trading

Most of the equity trading world uses what is call split adjusted data. Stock splits are issued from time to time to keep the price of a stock down where many investors can afford it. For example if a stock reaches $100.00 a share, they might give you two shares worth $50.00 each. This is fine but on a price chart, it would look like the price collapsed. This creates major problems for trading to trade stocks with a systematic approach. Hence, a concept called split adjusted data was invented and is used as a standard in equity trading. In our above example, we would divide old prices by two before the split and this would get rid of the gap. This sounds like a reasonable solution until you realize that a stock like Microsoft has split 288-1, so in 1986, the split-adjusted price of Microsoft is 11 cents, and the real price is $34.00. In order to compensate for this, stock systems used percent return and when dealing with portfolios you need to buy the same amount of each stock.

This creates many problems.

1. You cannot purchase Fractional shares in real life. For example buying $1000.00 worth of Google, would be 1.3 shares, which you cannot do
2. You are limited to protective stops based on percent risk; you cannot use technical stops or scale out of positions.
3. You cannot use percent risk sizing, because that would mean you are buying a different amount of each stock.
4. You cannot answer the question, if I started with $10,000 in 1990, with a margin account. I wish to risk up to 2% of my account on each trade and divide my money into 10 positions maximum. How much money would I have today?

TradersStudio developed a method to analyze stocks, which solved all these problems and more.

1. You can view on a report the real entry and exit prices of your positions, and view the splits during the trade as well as the effect of dividends.
2. You can even develop money management and screen out positions to meet your requirements , for example trade a basket of 500 stocks and only take positions for the top 10% based on relative performance.
3. TradersStudio can also handle advance concepts such as using CoreEquity to size the trade. CoreEquity is how much money you would have if you were ever stopped out of all your positions.

TradersStudio does this using three different data streams, Split adjusted only, Unadjusted and Dividend only adjusted. Currently CSI data supplies these three streams of that. TradersStudio can also use this information to product a dividend and split report.

Let us look at these reports. This is included in the attached file, which is an excel file having reports as tabs. These reports are the outcome of the test system run in this review. It consists of the following important reports as described below:

• The first special feature is the Percent Summary Report. It shows the profit/loss in percent return. Percent return is not just for split adjusted, it is for both but it is the only thing you can use for split adjusted.
• Next is the Normal Trade by Trade Report. It shows entries in split-adjusted prices.
• Next is the Trade by Trade Real prices Report. This uses the TradersStudio inbuilt method. The split and dividend column states the splits and dividend during the trade
• Then Active Orders Report show with real prices for the orders
• The next special Report for stocks is the Splits & Dividends Report. This shows dividend paid and splits for the stock in the session with the dates they actually happened.

Sample TradersStudio Stock workbook, tsstocksystemsmall.zip
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Attachments

Gyles - with great respect - your review of Amibroker has some incorrect statements:

"8. Even, as an end-of-day trader, you need to own more than just AmiBroker to do your analysis. As an example, you shall need TradeStation and AmiBroker because of the charting just like that of Trading Blox. Thus, it is not a complete solution for your needs."

Why? You can run AB in a real-time mode - I run it connected to IB - works great. But you are correct that you need two instances running at the same time - one for intraday and one for EOD.

"9. It has been observed that the people already using this product basically use it due to the interest in the free data show. It seems to address the dream of the trading audience and is not for the actual real traders."

I think there are ton of people who would disagree with you - I know a bunch of trading professionals using it.

"10....using data from different
sources simultaneously (IB and MetaStock), or plug-ins (opentick) among others."

I think what you mean is that they don't support certain data providers.

"11.Some problems which I could not get resolved from both the Yahoo Groups and the Elite Trader Forum are the following:
• Regarding the futures, the product is basically designed for the Stock
Traders, but it can also trade futures. Although, I was unable to figure as to
how to set the minimum move, and minimum move value to trade futures,
and also where to set the margins."

Pretty basic - in the backtester settings. Right on the front page. "Tick size" - can also be programmed in code. Margin setting is right there on the same page. Again, it can also be set programmatically.

"• I am unable to get a new High-New Low data into AmiBroker using
AmiQuote or any other free source. The answer is No as far as Yahoo is
concerned. Although, it seems that you can develop your own using the
complete US-Stocks database (Hemscott). Hence, this is a problem of a data issue dealing with free data."

Try Telechart 2007. Yahoo doesn't provide the data - so this isn't an issue with AB - it's an issue with your data source.

In fact, one of the unique features of AB is the AddToComposite feature which let's you create a new index/data set based on different parameters such as new highs/new lows - a feature that is sorely missing from Tradersstudio. For instance, I can use this to calculate the % of stocks above or below a 50day average across the S&P500. I actually export this data into Tradersstudio for use there. I use this feature to calculate my own new high-new lows for a variety of indices - very, very powerful.

I'm also a user of Tradersstudio - which is also a fine product - but you should update your review to be a bit more accurate. You're right on about many of the differences - particularly in reporting.

I appreciate your review efforts - so thanks for listening.
 
Thanks for the quick detailed responses everyone. I don't have time right now to analyze the issue of stock splits (I was only thinking of the first example and am not sure how stock splits could create other problems not easily solvable), but if TradersStudio is the only one that even remotely handles splits correctly then it's enough for me to go with TradersStudio. I am going to look into options for purchasing data. Perhaps I will consider Amibroker in the future as an adjunct. I've also joined the Yahoo Groups and hope to start contributing there. thx again everyone...
 
Quote from inquisitive:

Thanks for the quick detailed responses everyone. I don't have time right now to analyze the issue of stock splits (I was only thinking of the first example and am not sure how stock splits could create other problems not easily solvable), but if TradersStudio is the only one that even remotely handles splits correctly then it's enough for me to go with TradersStudio. I am going to look into options for purchasing data. Perhaps I will consider Amibroker in the future as an adjunct. I've also joined the Yahoo Groups and hope to start contributing there. thx again everyone...
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Our CSI data deal with 20 years of stock history for $267.00 is 1/2 of there normal price for the data, but it's only available to TradersStudio customers. This means for $767.00 + shipping you get data which would cost you over $500.00 alone.
 
droskill, sincere apologies for the incorrect statements regarding Amibroker and sincere thanks for pointing them out. I agree with you about updating the reviews. However, since no one had responded when I had earlier written the reviews and neither was it pointed out later on and I was busy. Sorry for the same.

I encourage you all to come forward and give your views regarding the reviews. Thanks! :)
 
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