Is backtesting simply simulated trades on historic data?

[treeman]

Yeah, I wrote user generated tables, but I reality, there are an infinite number of solutions to this that are lighter than creating a new table and a table join. That was more conceptual. You mentioned one.. and things like moving averages are trivial computationally. But if you want all the crazy popular indicators, how tough is it to do a) in-line, or b) if it’s used all the time, as a column of a table?? Of course you charge access to that table, but Monetization of such a system should be pretty easy. I’d charge by computational cycles. Really wished I owned the copyright to such data.

As for user defined computations, how hard are they to do in-line? For sure, initially you can play with it.. but this is what hive was created for. No one is expecting a 30 second job completion.

 

[treeman]

Btw, pm me if you have a serious interest in this. I might decide to roll up my sleeves with you. It’s a need. And baffling why it doesn’t exist. I have a decent idea on how to architect it. Admittedly, I glossed over a lot, but you get the idea. If not, I might get to it one day. I might not. there are plenty of rocks to climb.

 

[MaxPastukhov]

Btw, pm me if you have a serious interest in this. I might decide to roll up my sleeves with you. It’s a need. And baffling why it doesn’t exist. I have a decent idea on how to architect it. If not, I might get to it one day. I might not.

Thank you, but sitting on 2 chairs at once didn't work for me in the past

I feel that I must focus on one thing at the moment. It's a great idea, I'm sure that you can make something good out of it. I just feel that 2 projects at a time is more than I can actually handle, especially in terms of market research, marketing and sales.

 

[treeman]

I have a feeling I’ll be bouldering instead then. All the best

 

[MaxPastukhov]

I have a feeling I’ll be bouldering instead then. All the best

PS: I feel that you will soon get a "Hello my friend" from some Indian guy who will do it for free, just be patient
You can't imagine how often I get such requests.

 

[ehsmama]

Being a programmer, too, I can give some advice here:
1. Look for tick data, don't try to backtest a strategy on something like M1. Yes, it may be slower but you will get more precise results at the end. Use next tick order execution, don't rely on the current tick. It may be even better to emulate delays for 100-500ms, especially when the volatility is high.
2. Take spreads into account, it may be not obvious for a newbie, I often see questions like: "Why is my position getting negative immediately after I open it?"
3. Give some space for slippage. You will not be filled at the exact bid or ask price, it depends on a broker. The more margin for error you preserve, the less is the risk.
4. Google "curve fitting" and read more it, everything you can find. It's a common mistake between newbies to become excited after they coded some really complex system with a number of rules and exceptions which runs perfectly in the past. The more complex are your trading rules during simulation, the more you will become disappointed in real life.
5. Risks are much more important than profits. Really simple system or even a random one with good money management can become profitable. Even the best AI can't win in the long run if you risk more than 0.5% of your account in a single position. "Black Swan" events happen much more often than you can initally expect.
6. Don't expect much. I've met several people who wasted 10+ years of their lives trying to develop fully automated trading robots without success. I personally prefer to automate human work and develop automated learning systems. Human+AI will always beat the AI alone.
7. Don't bet your life on this only business.

Max,
You might be a Programmer, but you certainly are no trader. I would bet my life on this Business.

 

[MaxPastukhov]

Max,
You might be a Programmer, but you certainly are no trader. I would bet my life on this Business.

Yes, I came to the same conclusion
Every person should be in its place.

I'm happy for you that you decided to make this bet.
Can you please tell me if you are successful and for how long so far?
Do you make a living out of it?

 

[ehsmama]

yes I am a full time Trader. And also a systems based one. More than a decade now.

 

[tomorton]

Backtesting a trading strategy is based on the tenet that whatever had happened in the past will happen again. But when will it happen ? I scan charts manually and run screening after each trading day as I am practising trend following. Here are what I have observed.
1. 70% of trend are either false or premature i.e. will not past 20 days.
2. Big operators are supporting long running trend.
3. It hard to model market expectation.

I don't have any hard data on the duration of trends but its very much my concern as I only run trend-following trades. Do you have anything you want to share on your observations of trends?

 

[Van_der_Voort_4]

Yes, I agree that timing is the most important part here. Sometimes it's easy to predict that the price will go into a given direction, but it's hard to execute the trade because of the need to find a stop loss level.

Out of curiosity.Did you incorporate time based stops into those methods you tested?