Intraday Backtesting

A key benefit of Wealth-Lab is the portfolio level testing capability, and the power to see the results of money management applied at the portfolio level in seconds. To get portfolio level testing in other tools can require add-ins costing thousands of dollars.

Dion Kurczek
Wealth-Lab, Inc.
http://www.wealth-lab.com
 
I use TS 2000i now but have also used TS6. I left TS6 because of the data limitations. I was only able to go back a year of intraday futures data and much less on other data such as ADV and DECL. Maybe they have changed this (its been several months since I dropped them), but to me, what good is backtesting software if you can't get a lot of historical data? If they would just allow you to import historical data like the standalone version will then it would be fine, but instead they only allow the data they provide. Makes no sense.

I looked at Wealth-Lab, and it is impressive, but not being a programmer I'm not sure I want to learn a new language at this point. EasyLanguage works for most of what I need, but if I needed to test entire portfolios or code complex money management rules, then it seems WL will do the job after the learning curve.

I haven't used Ensign, but I trust tntneo's opinion of it, so I'm sure its good too...again, the code complexity kept me away. Probably an irrational fear that a few hours of work could overcome...
 
Originally posted by WarEagle

...I looked at Wealth-Lab, and it is impressive, but not being a programmer I'm not sure I want to learn a new language at this point. EasyLanguage works for most of what I need, but if I needed to test entire portfolios or code complex money management rules, then it seems WL will do the job after the learning curve...
More...

Not being a programmer myself, I found getting started in WL to be pretty easy. I probably invested 5 hours in my first system getting the logic and basics nailed down. When I wanted something esoteric I just looked under help, or examples on the website and copied the logic.

My first project I created a simple system that bought and sold based on S/R. Once this script was programmed, I used the scan feature to scan many random portfolios of 20 stocks each, for a 2 year period, determining robustibility.

I then scanned the entire stock market to find which stocks peformed best using my system. I then filtered it down to the most consistent, high volume stocks and created a basket to trade with.

I'm working with intraday data for futures now. I can either export a chart from Qcharts or whatever, and import it in, or use the auto import feature of WL.

I've used Metastock for several years as well, and I think the learning curve is only slightly longer for WL, but WL is much more powerful and flexible. Edit...I should say the Metastock learning curve ends because it can only do so much.
 
Doreen,

I used TS4 and it had major limitations. I was actually planning to buy RINA's software for portfolio testing. Your arguments are not very convincing. The language of WL2 is very similar to EL but more powerful. Also I like to choose my own data vendor. WL2 allows you to download anytime historical intra day data from QCharts and eSignal. I have over 60 days intra day data of over 200 stocks on my computer and I use them offline for my backtesting (still backtesting stage). After TS4 I became a very big fan of WL2 and I want the world to know. Since it seems to be a small but very responsive company I want to make sure they stay in business. :D

S.
 
I never really liked Omega Research, but I have always been amazed at EasyLanguage. I was able to get more done in less time with that platform than I could ever have imagined. One of the best tools I've ever come across (I'm not a programmer).
 
Shankar,

I think you will find that TradeStation has progressed tremendously since TradeStation 4. We are currently building on our intraday data-base. Our equities intraday data begins in November of the year 2,000, and our intraday data-base for Futures begins in February of 2,001. There are several reasons we found centralized data to be a much more convenient solution for our customers:
If you wanted to pull up a chart on a symbol you have not collected data on in the past, you would have to 'build your chart' from scratch. With the TradeStation 6, and the centralized data, you would just type the symbol in and immediately have the data at your fingertips. This includes your long-term daily data, and your intraday data. You would not have to wait till the close of the day to download your missing data from another site, or have to interrupt your trading day to download this data.
On the same line, when you are responsible to download and store your own data, if your computer goes down for any period of time during the trading day, when you reboot, you will have significant 'gaps' in your charts for the time you were down. If you are running a strategy or indicator on your charts, your results for the rest of the trading day would be skewed because of these gaps. With the centralized data, if your computer went down, or you didn't log on till later, etc....you wouldn't have missed a tick when you log on. This is something that is vitally important to those who base their trading decisions on their indicators or strategies.

Doreen
 
Originally posted by Doreen Diamond
Shankar,

I think you will find that TradeStation has progressed tremendously since TradeStation 4. We are currently building on our intraday data-base. Our equities intraday data begins in November of the year 2,000, and our intraday data-base for Futures begins in February of 2,001. There are several reasons we found centralized data to be a much more convenient solution for our customers:
If you wanted to pull up a chart on a symbol you have not collected data on in the past, you would have to 'build your chart' from scratch. With the TradeStation 6, and the centralized data, you would just type the symbol in and immediately have the data at your fingertips. This includes your long-term daily data, and your intraday data. You would not have to wait till the close of the day to download your missing data from another site, or have to interrupt your trading day to download this data.
On the same line, when you are responsible to download and store your own data, if your computer goes down for any period of time during the trading day, when you reboot, you will have significant 'gaps' in your charts for the time you were down. If you are running a strategy or indicator on your charts, your results for the rest of the trading day would be skewed because of these gaps. With the centralized data, if your computer went down, or you didn't log on till later, etc....you wouldn't have missed a tick when you log on. This is something that is vitally important to those who base their trading decisions on their indicators or strategies.

Doreen
More...

Doreen, this feature is standard with Wealth Lab Developer 2. If you sign up with esignal or qcharts or any other data vendor who stores the data on the server. Anytime I log on to WL2 I get my historical intra day data (not that I need it). I also get my end of day data updated for free! Also: 1. You can store it on your computer and create your own historical intra day file. 2. You can edit and correct the data on your computer. 3. You can then use the whole portfolio of historical intra day data and can test as much history as you like. 4. You can do portfolio testing with real money management (better then RINA). 5. You can optimise a whole portfolio of symbols and assign the best value to each symbol with one mouse klick. Whenever you call the chart it is opening up with the optimised value of an indicator and generates the signals with the optimised value. That's what I call progress.

Shankar
 
Tradestation was apparently not designed with serious active traders in mind. It's shortcomings to active intraday traders are just too numerous for it to even be considered as a viable platform for anything. Omega FALSELY advertises that it has the ability to backtest trading strategies and show results which could have been obtained in real trading. THIS IS A LIE.

It's backtesting is chart-based, not tick-based. When your conditions are met during backtesting the best it can do is execute a simulated fill at the close of the bar, according to whatever timeframe chart your strategy is running on. This means that if you are backtesting a strategy on 15-minute bars, and your conditions are met in the 1st minute of a new bar, your back-test execution price will be wherever the stock is 14 minutes later. A complete joke.

I have told them about this flaw and those false advertising claims numerous times over the years, to no avail. I spoke with a head developer. I was told that I was the only one who complained about this and that their product was just fine the way it was. I explained to him and numerous people at Omega that they are excluding a large potential customer base of active professional intraday traders by not addressing all of these shortcomings. My words and numerous e-mails were ignored.

Until Tradestion provides for the ability to "buy at the current ask" or "sell at the current bid" it's backtest results are just fantasy and totally misleading. They deserve to be sued for all of the splashy false claims in their advertising.

Every trading/quote platform I have seen (dozens) provides drag and drop capability. This is an absolute must have for any active trader. I told them this - that was four years ago. I told them again three, two and one year ago. Here I am again. But it is too late.

I could go on, but why bother?

It is doubtful any sales commissions will be earned here by touting tradesation on this board. We can see that you still don't get it.
 
I'm sure that I saw a TS ad not too long ago that stated that TS does use tick data (if available) to simulate trade execution realistically on a daily bar. The ad even showed 2 charts of the blown up daily bar, showing how the trade would have exited at a stop if prices moved in one pattern or at a profit target if prices moved in a different pattern.

Now, I didn't dream this did I?? :confused:
 
Originally posted by size
Tradestation was apparently not designed with serious active traders in mind. It's shortcomings to active intraday traders are just too numerous for it to even be considered as a viable platform for anything. Omega FALSELY advertises that it has the ability to backtest trading strategies and show results which could have been obtained in real trading. THIS IS A LIE.

It's backtesting is chart-based, not tick-based. When your conditions are met during backtesting the best it can do is execute a simulated fill at the close of the bar, according to whatever timeframe chart your strategy is running on. This means that if you are backtesting a strategy on 15-minute bars, and your conditions are met in the 1st minute of a new bar, your back-test execution price will be wherever the stock is 14 minutes later. A complete joke.

I have told them about this flaw and those false advertising claims numerous times over the years, to no avail. I spoke with a head developer. I was told that I was the only one who complained about this and that their product was just fine the way it was. I explained to him and numerous people at Omega that they are excluding a large potential customer base of active professional intraday traders by not addressing all of these shortcomings. My words and numerous e-mails were ignored.

Until Tradestion provides for the ability to "buy at the current ask" or "sell at the current bid" it's backtest results are just fantasy and totally misleading. They deserve to be sued for all of the splashy false claims in their advertising.

Every trading/quote platform I have seen (dozens) provides drag and drop capability. This is an absolute must have for any active trader. I told them this - that was four years ago. I told them again three, two and one year ago. Here I am again. But it is too late.

I could go on, but why bother?

It is doubtful any sales commissions will be earned here by touting tradesation on this board. We can see that you still don't get it.
More...

To summarize your comments, you are not going to endorse Tradestation.

I agree, great concept, lousy implementation ...
 
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