The market changes everyday - backtesting may be useful but ultimately isnt proven to be effective for the future.
Deciding on a Backtesting and Trading Platform
- Thread starter Gyles
- Start date
Agreed!
Back testing is almost a scam. Believing that what worked best in the past would work best in the future is foolish. I see that every day. My best models walking forward are certainly not the one that showed good results on in-sample data. Traders should look for trading platforms that emphasize good generalization on out-of sample data...
The problem with above mentioned firms (in the ~1k USD segment) is always broker/datafeed connectivity and maintaining the same in a timely fashion. If you want to/have to change broker/feed or the broker/feed breaks something in their API you are basically dead in the water until the software firm fixes it (they are notoriously slow about it if they care to do it at all). Its best to handle this connection yourself. Only Neoticker and Rightedge allow that as far as i am aware. RE allows you to write your own plugins for datafeeds, brokers and data-storage. NT allows you to write custom data-/broker-servers. When you wait for weeks on a reply to a support inquiry you will understand why i want to have control over as much things as possible.
I have licenses for both. NT is by far the more complete product. It does pretty much everything better than RE and does things RE doesn't even try(small wonder, NT has several years more development time). As it stands now, RE is just a pretty barebone C# execution framework (bar-level backtesting only, only 1 system at a time on 1 single timeframe). However, as far as the execution side is concerned, in my opinion the RE design is superior (broker<->system communication, position synchronization, fill reporting, etc.). I will probalby move these things to RE once they make some basic features available, but i guess it will be another year before they are ready.
As for OpenQuant, it will always be a crippled version and afterthought of SmartQuant (no/limited api access, cant write feed plugins, only one system at a time). Ninjatrader is lacking severely when it comes to ats, cant even manage a temporary connectivity loss without troubles.
I have licenses for both. NT is by far the more complete product. It does pretty much everything better than RE and does things RE doesn't even try(small wonder, NT has several years more development time). As it stands now, RE is just a pretty barebone C# execution framework (bar-level backtesting only, only 1 system at a time on 1 single timeframe). However, as far as the execution side is concerned, in my opinion the RE design is superior (broker<->system communication, position synchronization, fill reporting, etc.). I will probalby move these things to RE once they make some basic features available, but i guess it will be another year before they are ready.
As for OpenQuant, it will always be a crippled version and afterthought of SmartQuant (no/limited api access, cant write feed plugins, only one system at a time). Ninjatrader is lacking severely when it comes to ats, cant even manage a temporary connectivity loss without troubles.
Quote from algonxt:
Hello my friends,
First I want to thank all of you for the collaborating and for all your activity here, I am new in the forum (2.5 years active at forx-tsd)
I read a lot of post here in the forum and I have some Q :
My problem is :
Today I am developing algo using Tradestation & MT4 (MQL)
Since I am looking to upgrade my development environment I am looking for a good platform for this issue.
Things that I must have in the platform :
1.The ability to work with Real time Data.
2.The ability to use my Owen Data feed (since I am not working on a lot of different markets).
3.high performance regarding Back testing and using Tick Data.
4.The ability to program algo that is trading from the OrderBook.
5.A platform that can store a lot of Tick Data in flexible way (not so important as the others).
6.a good interface that can allow me as a developer to get info from the chats in visual mode.
the platform that i came into are :
OpenQuant
MultiChats
TradersStudio
Right Edge
Trading BLOX
anyone...?
Thank a lot.
Just my opinion, but you might want to take a look at Amibroker. It has most of what you're looking for - the backtesting performance is well beyond what I have experienced with most of the other platforms you mention, and it can deal with real-time data.
By the way, I don't see "coming soon" on this page
http://www.smartquant.com/openquant.php
Where do you see it?
Thanks,
Anton