Deciding on a Backtesting and Trading Platform

I just wanted to inform everyone that I am going on a vacation till April 14th 2008 and shall continue posting when I get back.
 
Quote from SuperCruz:

Gyles, when you return or Murray, can you trade spreads using TradersStudio?
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Yes, you can backtest spread trading strategies. That's what you mean i assume?
 
From Roger Rines' insightful comments here (see quote below) and on www.tradingblox.com/forum I see he is an experienced system trader and I've enjoyed AND learnt from his posts. Thanks for sharing Roger.

Nonetheless, I need to point out a few things that have changed with TradersStudio since Mr. Rines first used/tested it.

TradersStudio now supports multiple time frame trading in precisely the way Mr. Rines says he needs it i.e. I quote Mr. Rines: "(Signals from weekly data, trade results from daily – both data compressions seen by the system as it moves through the testing period)."

I agree this is a critical required feature of any modern backtesting platform and Traders Studio now provides this critical feature.

I have tested this extensively and worked with Mr. Ruggerio and his team in developing/testing this feature.

I also think I understand how TBB supports multiple time frame trading - they create by default weekly arrays i.e. weeklyhigh, weeklylow, etc. I am not sure if TBB has monthly or higher timeframe data arrays. I asked them via the forum but got no response.

See these links:

http://www.tradingblox.com/forum/viewtopic.php?t=3719&highlight=

TradersStudio also supports multiple time frame trading by having these higher timeframe arrays (TStudio) currently only has weekly arrays. Also TradersStudio has a rich set of date properties in the language that gives the trader maximum flexibility in developing systems

In addition, here is where I believe TradersStudio is superior to TBB: it supports multiple time frame trading and in essence any multiple-data series trading by allowing you in a very elegant and concise fashion to within your code easily access any other data series/data time frame and manipulate the data any way you want. Additionally you can in theory reference not just two time frames or two date series e,g. daily/weekly or ES/NQ but three or more data series/time series.

S you have two very powerful approaches to achieve multiple timeframe/data series trading.

Another area of TradersStudio where you have this best of both world’s approach is the portfolio backtesting approach.

Here you can create a “SESSION” consisting of a portfolio of markets or a TRADEPLAN consisting of either ONE SESSION or multiple sessions.

At the session level, the backtester runs through the portfolio using the sequence of markets. At the Trade Plan level it goes through EVERY MARKET in time sequence i.e. tin sequence of time bars.

Depending on your risk mgmt approach both methods have their uses and advantages.


Finally, as I've said previously Murray Ruggerio and his team truly understand trading and their real-life trading insights directly positively influence the TradersStudio platform. This is a major advantage.

Mr. Rines, I encourage you to take another look at Traders studio and I believe you will be pleasantly surprised...and if you aren't I'm sure Mr Ruggerio given his desire to make his product the best would work with you to achieve your goals.
I say this confidently because I have critically assessed the product since Aug 2007 and the TradersStudio support team has impressed me with their high sense of responsiveness , conscientiousness and enthusiasm.

Wishing all successful and profitable trading!


Quote from Roger Rines:

Hello Murray,


.........

In my case I’ve moved to TBB for two reasons. My first reason was TradersStudio didn’t support multiple time frame data loading earlier this year when I made the decision to make the move. In my case I have systems that must generate their signals from a higher time frame than which it generates it performance results (Signals from weekly data, trade results from daily – both data compressions seen by the system as it moves through the testing period).


My second reason was Trading Blox Builder did begin supporting multiple time frames with their version 2.2.x releases, and TBB has added capabilities that TradeStation required me to create a DLL in order to use my dual time frame trading approach.

Do I like Trading Blox Builder? Yes, and hopefully it is clear why, but in simple terms it works for me right now because it is satisfying my need for performance, reliability and testing control. It also has the ability to test the entire trading process as I need it by allowing a date based portfolio-level risk control rules to influence how each market’s signals are processed on a day-by-day basis. It is hard to express how important I believe it is to control trading from a macro account level, but let me just say it does wonders in reducing the number of times I get surprised in the heat of the battle.


All this paragraph tells me about your view of risk control is that we are seeing the world through different prisms, or you don’t really have experience with Trading Blox Builder works, or maybe I never discovered some features in TradersStudio’s documentation. Whatever the reason, let’s just agree to disagree on this point, because it is these kind of differences that help us make different decisions in the market which is healthy for both of us.


When I saw this utility I thought it was a brilliant strategy that all migrations have always needed, but nobody had bothered to create. My hat off to you for working hard to mitigate the transition issues from TradeStation, and if you’ve made it even better, then I’m certain those making the transition gained a lot from the experience. I didn’t fair too well with that utility early in its initial release, but then again I didn’t really need it with my experience so it wasn’t an issue.

Murray, nobody understands better than I that parents don’t have ugly kids, so your bias is understandable. However your bias statement about me is a bad assumption. I never once spoke on the phone to TBB’s developer, and I didn’t come to know anything about them other than they answered my Trading Blox questions I would ask each year. When I made the purchase last spring, it was because they finally said what I had wanted to hear about Trading Blox, so I spent the money. This is just like the way I purchased TradersStudio. I sent emails asking questions about TradersStudio, and got answers that made me spend the money. I did this with Trading Recopies (now Mechanica) and PowerST, but didn’t get what I needed back then, so I didn’t buy those.

When I made my TradersStudio purchase and when I purchased Trading Blox, I wasn’t sure if the purchase was going to achieve what I wanted. In both cases it didn’t, but with Trading Blox the improvements I needed happened in a few weeks from asking by including the weekly control items I needed to be effective for multiple time frame data loading and testing. Since that moment in time all our communications for support request on their forum have taught me their development paradigm understands how to trade, they believe in the overall testing strategy that I had to learn the hard way, TBB people are friendly and good to have as support, and just as important they are not done expanding what they intend to include in the software.

During my brief TBB ownership time, I liked how responsive TBB’s development has performed and I see nothing that indicates this will change. Just as important, I’ve supported Omega Research for 20-years (System Writer in 1987, TradeStation since 1991) and like the people I know at TradeStation. In addition, I’ve written a DLL tutorial on how to get more from TradeStation that explains how TradeStation’s API works and what Easy Language needs to use third-party controls. This work was released under the GNU LESSER GENERAL PUBLIC LICENSE agreement. So if liking the people I work with and having their products help me get the job done constitutes a bias, I guess I’m biased, but tell me who doesn’t like performance that generates positive results in a friendly atmosphere?


We don’t agree on this yet, but I certainly hope your efforts over time make me into a believer. I promise to be open minded to what I see and hear. Good Luck with TradersStudio, it is filling a nice piece of what is needed in system testing.
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Quote from CPTrader:

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Finally, as I've said previously Murray Ruggerio and his team truly understand trading and their real-life trading insights directly positively influence the TradersStudio platform. This is a major advantage.

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I totally agree with you, CPTrader, as Murray was the only person (more properly Vendor) of all the software platforms, to have offered me direct one on one help. Besides that he also added several features which I had requested him to include. An example would be that I wanted to be able to rank the commodities by groups so that I could trade only the top commodity in each group as ranked by ADX for a trend following system. He told me this feature would be available in the next release.

However, till date have noticed that a number of requests have been included and if he feels it is good, he is agreeable to the idea, like the below post:

http://www.elitetrader.com/vb/showthread.php?s=&postid=1859821#post1859821

The above speaks a lot of his co-operation and willingness to accept improvements as well as complaints.
 
Trading Blox supports multiple time frames in a couple of ways. The weekly bars are created automatically from the daily bars. So in this way you always have access to the daily and weekly bar series and can use any series functions on the weekly data indexed by week. Monthly bar creation will be available in the upcoming 2.3 release.

Another way is to load up multiple time frames as separate data streams. In this way you can test 5 minute, 60 minute, daily, weekly, and monthly all at the same time. This is useful when you are trading an intraday strategy based on the weekly moving average of another index, commodity, or market. All the time frames are synchronized as they would be in real live trading.

Within the Trading Blox scripting language, you can load up fundamental data along side your price data. You can also load up and access any other markets while generating orders.

Trading Blox supports an unlimited number of systems per strategy, and each system can of course test an unlimited number of markets. (Limited by the amount of memory in your computer.) Also note that each market can access not only other markets, but other systems as well for portfolio management, entry/exit rules, money management, or risk management purposes.
 
Very nice, Tim. Thanks for sharing. When will 2.3 be released? Any other new features in 2.3 you can share with us?

I presume one can backtest intra-day strategies in TradingBlox using intraday data; is there any way to automate an intra-day strategy from tradingBlox.

I assume that currently EndofDay (EOD) traders can generate their orders and after the close manually place their trades.

With intra-daytrading this EOD manual process isn't possible, so how do TB intra-day traders use TB for live/real-time intra-day trading?

Thanks again.

Quote from Tim Arnold:

Trading Blox supports multiple time frames in a couple of ways. The weekly bars are created automatically from the daily bars. So in this way you always have access to the daily and weekly bar series and can use any series functions on the weekly data indexed by week. Monthly bar creation will be available in the upcoming 2.3 release.

Another way is to load up multiple time frames as separate data streams. In this way you can test 5 minute, 60 minute, daily, weekly, and monthly all at the same time. This is useful when you are trading an intraday strategy based on the weekly moving average of another index, commodity, or market. All the time frames are synchronized as they would be in real live trading.

Within the Trading Blox scripting language, you can load up fundamental data along side your price data. You can also load up and access any other markets while generating orders.

Trading Blox supports an unlimited number of systems per strategy, and each system can of course test an unlimited number of markets. (Limited by the amount of memory in your computer.) Also note that each market can access not only other markets, but other systems as well for portfolio management, entry/exit rules, money management, or risk management purposes.
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