Deciding on a Backtesting and Trading Platform
- Thread starter Gyles
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Thanks, TraderSystem for the reply.
Thanks, TraderSystem for the reply.
HI Folks
have read this thread fully. It contains some really useful info.
I swing trade on EOD data (using Worden's Telechart). Want to look at using intraday data to support my swing trades. I get the feeling that the analysis i want to do, is less advanced than some of the posters on this thread, but I've a couple of points that i'd like people's thoughts on.
1) TradersStudio. I understand that can handle data in any Excel/ASCII type format. What data feeds/sources do people actually use with TS besides Pinnacle and CSI? I'm particularly interested in intraday data.
2) I'd prefer to have one piece of sw for all my strategy development, testing, and trade idenfication (the type of which TS supports), but I still want advanced and easy to use charting, and perhaps autotrading (not supported by TS i think??). I appreciate this might not be the best route and that i might have to have two or more pieces of software to do this. My concern re doing this is that i would have to use the same data to ensure consistency between the two (or more) packages. Does anyone have experience of trading like this? If so, is it easy enough to get the technology right to support it? Which historic data/feeds do people find work well for TS and another charting package, e.g sierra, quotetracker, Ami, etc.
All advice much appreciated.
Syn
have read this thread fully. It contains some really useful info.
I swing trade on EOD data (using Worden's Telechart). Want to look at using intraday data to support my swing trades. I get the feeling that the analysis i want to do, is less advanced than some of the posters on this thread, but I've a couple of points that i'd like people's thoughts on.
1) TradersStudio. I understand that can handle data in any Excel/ASCII type format. What data feeds/sources do people actually use with TS besides Pinnacle and CSI? I'm particularly interested in intraday data.
2) I'd prefer to have one piece of sw for all my strategy development, testing, and trade idenfication (the type of which TS supports), but I still want advanced and easy to use charting, and perhaps autotrading (not supported by TS i think??). I appreciate this might not be the best route and that i might have to have two or more pieces of software to do this. My concern re doing this is that i would have to use the same data to ensure consistency between the two (or more) packages. Does anyone have experience of trading like this? If so, is it easy enough to get the technology right to support it? Which historic data/feeds do people find work well for TS and another charting package, e.g sierra, quotetracker, Ami, etc.
All advice much appreciated.
Syn
I understand you can backtest on intra-day data but the product doesn't yet take real-time data-feeds - that's in beta.
I suspect you may be wondering about using telechart data with Tradersstudio. is that right? I'm shooting from the lip a bit here but telecharts can export it's data to csv files. Given that you sould be able to "tell" tradersstudio how to read it.
Again, in beta. There are obvious dependancies between autotrading and real-time support (chicken and egg).
I understand your requirement. Assuming you go down this path and have ideas you may start coding up your own indicators etc. bing able to chart those indicators will be important too i imagiine. So, your charting package also needs to be programmable. Telecharts doesn't have a developer API does it?
I wouldn't call that a concern - rather an essential expectation.
If you get into automated trading strategy development and away frm the discretionary approach that Worden brothers expound then I imagine you might undergo some changes in attitude:
1. Regard telecharts more as a visual toy - though eyeballing data and indicators does have it's place early in the cycle.
2. Be driven more by the requirements of proper backtesting (doing it right) and quantitively measuringout of sample performance.
3. using charting packages to trial indicators in order to validate that your indicator code isn't screwy. Note: You don't need to become a big time developer to write indicator and system code.
So you can see that the use of charting packages changes from being the driver to backtesting & trading to being driven by backtesting and trading (supporting role). However, I have my doubts whether telechats is truely capable of supporting a systematic trader and his/her custom indicators etc.
Thx
D
Have had the lot and use TradeStation 2000i.
EOD trading is fine, you can drag in MetaStock data format and plenty of that available.
Intraday only good for a single symbol at the time and using a third party interface. Works like a charm and full control over data feed (read: independance of broker / software vendor) and historical data (you may want to make changes to the data, e.g. if there is an anomlay like a spike of a single or few trades because of someone panicking etc you may like to delete those since it can "paint the tape".
Vendors don't like it since there is no monthly milking cow to be had....
Maria
Hi D
thanks for your helpful reply.
Have TradersStudio given any idea when they aim to have the RT version ready? It's not vital for me at the moment but might well be in future. I wasn't actually thinking about using TChart data, for the reason you highlighted, i.e. Telechart doesn't have the capabilities i now need in my charting sw. Therefore i'm looking for something that can support the more advanced stuff i want to do.
You're exactly right, i do want to develop and chart custom indicators (and scan instruments based on them too. In future, its likely i'll want to autotrade instruments that meet my strategy criteria - why a RT version would be good for me). API? Sorry, have heard the term, but not sure what it means. But i do doubt TC has one.
Yes, exactly.
Yes, i'm basically there. Although i do like the (simple but effective) sector analysis that it can do, which suprisingly many other platforms (including much more sophisticated ones) and web-based scanners (free and paid for) cannot.
Again, you echo my thoughts. It's always good to hear from someone who has already successfully made the journey, that you're reading the land correctly whilst making your own way.
The questions that i am currently facing and would really appreciate good advice on are:
1) I am no programmer (I don't want to have to change that yet -but might do if needs be in future). Is there one piece of software that without any real coding, will do all i want to do (outlined above), in a truly reliable and stable way? The options i have found are -
* Multicharts. I have concerns re it's stability (various posts re data gaps) and the attitude of support staff in response to problems experienced by their customers.
* Tradecision. Can't seem to find anyone who really rates this. The website seems okay, but it's not very compelling. Comparatively expensive and no trial available.
* Investor RT. Looks to have good functionality, but not reassured by the nature of the website or the support model they offer (i may have the wrong impression). Also i'd prefer to buy outright rather than pay monthly.
* Yet to fully consider Seertrading (another pay monthly one) and Stratasearch - the first impression i get from their website on this is that it's all front and has no substance (i may well be wrong).
2) I'd prefer to have it all in one, but am i asking too much from one application and instead need to have two; one for datamining, strategy development and testing, and one for advanced charting? The functions of trade candidate idenfication and in future autotrading would ideally be supported by one of these two. As mentioned earlier, the same data feed must work on both. If this has to be the way, then the options i've currently identified are:
For strategy development and testing -
* TradersStudio
* Trading Blox - RT version unlikely in future?
* Possibly seertrading or stratasearch.
For advanced charting (not closely considered these yet), initial thoughts are -
* Quotetracker
* Amibroker
* Sierra (wow their site is idiosyncratic!)
* Ensign
At a push...Esignal?! or basic version Trade navigator (comparatively expensive i think)
If two pieces of sw is the way to go, i then need to find a reliable data feed for US stocks and futures, which for the moment is delayed (no point paying for RT, when i don't currently use it). Ideally i want the two pieces of sw to support the same RT feeds, so that it's there if i need it in future.
I'd really appreciate your and others' useful advice .
cheers
Syn
thanks for your helpful reply.
Have TradersStudio given any idea when they aim to have the RT version ready? It's not vital for me at the moment but might well be in future. I wasn't actually thinking about using TChart data, for the reason you highlighted, i.e. Telechart doesn't have the capabilities i now need in my charting sw. Therefore i'm looking for something that can support the more advanced stuff i want to do.
You're exactly right, i do want to develop and chart custom indicators (and scan instruments based on them too. In future, its likely i'll want to autotrade instruments that meet my strategy criteria - why a RT version would be good for me). API? Sorry, have heard the term, but not sure what it means. But i do doubt TC has one.
Yes, exactly.
Yes, i'm basically there. Although i do like the (simple but effective) sector analysis that it can do, which suprisingly many other platforms (including much more sophisticated ones) and web-based scanners (free and paid for) cannot.
That's what i want to do.
Again, you echo my thoughts. It's always good to hear from someone who has already successfully made the journey, that you're reading the land correctly whilst making your own way.
The questions that i am currently facing and would really appreciate good advice on are:
1) I am no programmer (I don't want to have to change that yet -but might do if needs be in future). Is there one piece of software that without any real coding, will do all i want to do (outlined above), in a truly reliable and stable way? The options i have found are -
* Multicharts. I have concerns re it's stability (various posts re data gaps) and the attitude of support staff in response to problems experienced by their customers.
* Tradecision. Can't seem to find anyone who really rates this. The website seems okay, but it's not very compelling. Comparatively expensive and no trial available.
* Investor RT. Looks to have good functionality, but not reassured by the nature of the website or the support model they offer (i may have the wrong impression). Also i'd prefer to buy outright rather than pay monthly.
* Yet to fully consider Seertrading (another pay monthly one) and Stratasearch - the first impression i get from their website on this is that it's all front and has no substance (i may well be wrong).
2) I'd prefer to have it all in one, but am i asking too much from one application and instead need to have two; one for datamining, strategy development and testing, and one for advanced charting? The functions of trade candidate idenfication and in future autotrading would ideally be supported by one of these two. As mentioned earlier, the same data feed must work on both. If this has to be the way, then the options i've currently identified are:
For strategy development and testing -
* TradersStudio
* Trading Blox - RT version unlikely in future?
* Possibly seertrading or stratasearch.
For advanced charting (not closely considered these yet), initial thoughts are -
* Quotetracker
* Amibroker
* Sierra (wow their site is idiosyncratic!)
* Ensign
At a push...Esignal?! or basic version Trade navigator (comparatively expensive i think)
If two pieces of sw is the way to go, i then need to find a reliable data feed for US stocks and futures, which for the moment is delayed (no point paying for RT, when i don't currently use it). Ideally i want the two pieces of sw to support the same RT feeds, so that it's there if i need it in future.
I'd really appreciate your and others' useful advice .
cheers
Syn
No idea when they're going to get it out.
API = Application Programming Interface - it's a means of accessing/controlling a given application. For instance, Quotetracker can use the Interactive Brokers API to get data from it.
TC, which I also use, doesn't do any of these things and never will. I think they're putting their money on their Blocks software (www.blocks.com). It's interesting. Definitely designed for people without programming experience. The backtesting is very simplistic - no portfolio backtesting, but it's ok for simple tests. I believe it works with the TC real-time data, but that feed, I believe, is limited to 1m intervals if that matters.
Amibroker and, again, Blocks, both have excellent scanners. AB's scanner is very good and highly programmable.
Your chief obstacle is that every tool mentioned requires some knowledge of programming. And I don't think there is a way out of it.
No offense to Multicharts, but I'm not a fan. I've found it rather buggy and I wasn't a fan of their backtester.
Stratasearch is a nice tool but I find their basic approach rather questionable - scanning thousands of strategies to find one that works. It's nice, but it's not real time.
Seertrading is interesting - but their support is typical of a European company - none. I've posted messages to their board and gotten no answers.
Tradecision is an interesting tool, but the backtesting, the last time I looked at it, it did not do portfolio-level testing.
You'll need two programs at the moment.
If you're going for cheap, QT is impossible to beat. As you know, I'm a AB fan. One more to consider that I've been playing around with and like: NinjaTrader. For trade automation, I've found no good solution that doesn't require programming - NinjaTrader is very good in this area. AB can autotrade, but it takes a lot of programming work.
I've found no one data feed that solves the problems. Tradersstudio uses CSI for a specific reason - the number of decimals associated with each equity and separation of dividends and splits so you can construct what TS calls "TS adjusted" stocks. This allows you to test into the past correctly. They're the only ones that offer this.
AB is a great program, but it doesn't handle stocks this way. The backtesting is very good, but it isn't as good as TS. It is a lot faster than TS however.
The bottom line here is that you'll need to learn to program to anything sophisticated. So you'll need to get some experience in this area.
I would also mention the importance of a community. AB really has a great community (as does Trading Blox) - Tradersstudio has yet to develop that kind of support, but I have my hopes. NinjaTrader seems to have a nice community as well.
Lastly, I keep these expenses as cheap as possible. Keeping expenses down in terms of fees and commissions is intensely important. So I try and do everything for as little as possible across the board.