Intraday Backtesting

ehlaban I meant RavenQuote, I know it does not have backtesting, but you can build it. Backtesting is not very difficult to code if you have proper language scripting and good data.
For my backtesting in Ensign I do not use their built in feature, I rather export my trades and let them analyze externally. You can do that with several of these programs. Finding good and useful backtesting is difficult. Even the reference, Tradestation, does not take in consideration many variables because they count only dollars not percentage. it's just an example. I heard but did not test that WealthLab desktop is pretty good at this though.

tntneo
 
I have been a Metastock user since its inception in 1985. The program can handle intraday data. It depends upon your data source, but eSignal is what I use. With eSignal however you are limited to only the past two weeks of intraday data for downloading. You can collect the 1 minutes data for any number of securities and the program will keep it current in a cache and in this way you can develop a historical intraday database. All larger time frames are developed from the 1 minute database you keep. The database is limited to about 65,000 lines or about 7 months of 1 minute data. This is what I have in my database at all times. You can save the historical data also to a different part of the cache and use it for backtesting, but only 7 months(1 minute), at a time. I use Metastock in realtime using their Experts which are basically systems developed from the System Tester. The system tester uses a very simple language to write tests. Many indicators available....only one time frame.
I use the Nasdaq one minute emini for my tests and realtime trading with eSignal. Works fine! The chart will show buy or sell signals on the chart with an alert if you wish.
Good luck.
 
At one time I did a lot of system testing for futures with earlier versions of TradeStation and it was well worth the cost. I had big trouble with TS2000i however and ashcanned it. By that time I knew what I wanted to do and really didn't need it. I recently had some correspondence on another site with a very astute trader who had developed some interesting approaches using tickdata intraday data and a product from Salford Systems. Looked at it but it was way too programmer/stat oriented for me. There is an article on the same subject in the October Futures mag called Silver in the Data Mine. Might be worth a look.

There is a product called Technifilter Plus that I believe will do what you want. Never used it myself. Made by RTR software, don't have url.

I'd recommend looking at TASC mag, www.traders.com , as most vendors advertise there.They also have a complete list available.

Before investing a lot of money though, I would think carefully about what you want to do. Some products are optimized for system building, others for devloping analogues, others for trading automation or intraday watching.
 
Dear Pryosius,

Good news! TradeStation.com recently started accepting subscriptions to the TradeStation 6 platform without having to open a brokerage account first. You can get real-time streaming quotes on stocks and options for $199.95 per month. If you want realtime streaming quotes on futures you would need to pay the futures exchange fees as well. Of course, with this you will get the TradeStation 6 platform and the historical data and backtesting capabilities. You can respond to me directly and I will gladly give you the details on this.

Doreen
 
I bought WealthLab Developer 2.1 about 2 months ago. It's a great product which is continually improving as we speak.

The backtesting capability are superb with sophisticated money management techniques built in or can be programmed. The language is WealthScript, which is a Pascal-basaed language. But for simpel systems it's almost English-like.

It supporst futures and stocks and other cheap data like free eod at Yahoo Finance. ANd also, intraday backtesting if you have a database of such or if not you can BUILD one by starting to collect intraday data from you favorite real-time source either eSignal, Realtick, or even for free using Medvod Quotetrakker.

i'm still learning about it. it's a pretty big system. but to get things up and running probably only takes a few minutes since they have ample example codes,etc.

99
 
Following the addition of the formula language (EFS) & advanced charting in 7.0, eSignal will be adding back testing as a built-in feature of 7.1. A beta release of 7.1 will be available in a couple weeks.

Chuck
http://www.eSignal.com
 
trader99,

I'm glad Wealth-Lab is working well for you (and the growing Wealth-Lab community currently at about 7000 members).

When evaluating a mechanical system it's important to test on a variety of markets, and try various position sizing techniques. You can perform portfolio testing for free on our web site, and program more complex position sizing strategies using our desktop product (Developer 2.1).

Dion Kurczek
Wealth-Lab, Inc.
http://www.wealth-lab.com
 
One of TradeStation's key benefits is the fact that we developed 'Easy Language'. This means you can use English-like statements to input your trading ideas to the program. It also means you don't have to hire a programmer familiar with Java or other computer languages in order to input your customer strategies. With TradeStation 6, you also don't need to go to an outside vendor for your data.

Doreen
 
Neuroshell is the way to go. I am able to program in Java, but I hate to program period. With NeuroShell Day Trader, it is a menu driven, point and click process. In the time it takes one of you to build a backtest from scratch in tradestation, I will have tested several models of the same backtest, carried out sensitivity analysis, and most likely canned the system while you are still
trying to figure out the best way to write your code for a system,
that in most cases will fail any way. (debate my last point in your own mind, because in my mind it is very clear that very little works in a mechanical trading environment; and yes I am familiar with the OOP approach and reusability of existing lines of code, but I'm just trying to make a point)

And by the way, you do not have to use the neural net feature which is merely a fancy regression analysis. ( Sure it is much more than that, but to the uninitiated the preceding is a sufficient definition.) Moreover, you can add some neural nets to your trading strategy in an effort to improve it. Furthermore, their tech support is the best I've ever dealt with, excluding Dell tech support. And there is a private message board where the users exchange ideas.

Call em' and ask for Marge, she's a sweetie. But I should add, the price is not so nice. (but you know, you pay for what you get, almost always)

Trade on Traders.

Royce III
 
You must log in or register to reply here.
Back
Top