Have some trade ideas and looking for extensible trading platform?

Quote from QQQShort:

You are right about position sizing.

Yeah, I suspected we were talking about different concepts after posting my last message. You want to pick five stocks from, let's say, the S&P 500 and run your tests against those five stocks. What criteria would you use to pick that smaller group?
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Well, let's imagine a simple system where I'm using a MA crossover. I'll use the S&P500 as my base group of stocks. I want to buy, over time, 10 stocks where the 50dma has crossed over the 100dma (this isn't a strategy I use - just for illustration). I want to size the positions based on an ATR-based position sizing technique. Then I want a report on how this did over time, and I want to optimize it both backwards and using a walk-forward technique that gets rid of data-mining basis.

All of this are basic requirements to doing system testing on a portfolio in my mind.
 
With exception of ATR-based sizing, I'd be surprised if it couldn't do those tasks.

In your example Stratasearch will put S&P 500 stocks into a portfolio when their 50 dma crosses over their 100 dma and will stop filling when the limit of 10 is reached. That portfolio can be static or stocks can be rotated out using defined criteria. Reports, optimizing and walk-forward testing are all available.

The developer has added a lot of functionality to Stratasearch in the past few years, to an extent there is much I'm not familiar with. If position sizing features aren't a deal breaker, I suggest contacting them directly with questions.
 
Quote from QQQShort:

With exception of ATR-based sizing, I'd be surprised if it couldn't do those tasks.

In your example Stratasearch will put S&P 500 stocks into a portfolio when their 50 dma crosses over their 100 dma and will stop filling when the limit of 10 is reached. That portfolio can be static or stocks can be rotated out using defined criteria. Reports, optimizing and walk-forward testing are all available.

The developer has added a lot of functionality to Stratasearch in the past few years, to an extent there is much I'm not familiar with. If position sizing features aren't a deal breaker, I suggest contacting them directly with questions.
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Without position sizing, you aren't trading a portfolio, so it's not realistic. So for me, that is a deal breaker.

StrataSearch is focused on delivering their brute force optimization engine - which is not interesting to me. In contrast, a tool like Tradingblox or Tradersstudio or Amibroker all focus on backtesting and provide significantly better tools in those areas.

Obviously all my two cents - and I'll continue to keep an eye on SS as it continues to develop - it just doesn't match my needs right now.
 
I don't want to wander too far off point, but did want to thank you for this discussion. Because of it, I finally took time to begin exploring the use of volatility filters in my strategies. The initial results are promising. It'll be interesting to see how they work out.

Back on point, you are correct that there are different strokes for different folks, and people should choose tools suited for their needs. Stratasearch has very good depth and breadth in functionality, but it won't meet everyone's needs (and no software developer should try to). I find brute force searches intuitively and practically appealing, while others believe them to be curve fit nightmares. Variable position sizing is commonly used, but not by me. So on and so forth. It is good that products like Amibroker and Stratasearch offer free trials so users have a chance to see what will work for them.
 
Quote from QQQShort:

I don't want to wander too far off point, but did want to thank you for this discussion. Because of it, I finally took time to begin exploring the use of volatility filters in my strategies. The initial results are promising. It'll be interesting to see how they work out.

Back on point, you are correct that there are different strokes for different folks, and people should choose tools suited for their needs. Stratasearch has very good depth and breadth in functionality, but it won't meet everyone's needs (and no software developer should try to). I find brute force searches intuitively and practically appealing, while others believe them to be curve fit nightmares. Variable position sizing is commonly used, but not by me. So on and so forth. It is good that products like Amibroker and Stratasearch offer free trials so users have a chance to see what will work for them.
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Absolutely right - by volatility filter, I take you mean not taking trades when, say, the VIX is extended below a moving average?
 
Quote from droskill:

Absolutely right - by volatility filter, I take you mean not taking trades when, say, the VIX is extended below a moving average?
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I have not explored using a market level volatility filter. Instead, I'm tinkering with volatility filters at the stock level. Same basic idea: bypass trading any stock whose volatility is below a threshold level.
 
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