Looking for realistic stock backtester

W

Wowzers

Hi, I am looking for a realistic stock backtesting software that takes into account mergers, reverse splits, and reverse mergers. Does such a software exist? Preferably free?

Thank you all in advance
 
amibroker

use amiquote with it and use Yahoo Data.. you will get most splits done for you by yahoo automatically, if the split isnt shown you can do it manually as well...

Price from Amibroker is about $200 USD + 30 for amiquote.

You won't get anything good for free...
 
Quote from psytrade:

amibroker

use amiquote with it and use Yahoo Data.. you will get most splits done for you by yahoo automatically, if the split isnt shown you can do it manually as well...

Price from Amibroker is about $200 USD + 30 for amiquote.

You won't get anything good for free...
More...

If splits are accounted for in the data, this does not necessarily imply the backtest is realistic. Actually, in most cases it won't be realistic since prices before the splits won't be real prices.

The most realistic tests are the ones you do yourself with simple software, even you can do it in excel. Read this paper to get an idea what sort of problems and flaws the users of some well-known backtesting programs faced without being aware of them.
 
Quote from intradaybill:

If splits are accounted for in the data, this does not necessarily imply the backtest is realistic. Actually, in most cases it won't be realistic since prices before the splits won't be real prices.

The most realistic tests are the ones you do yourself with simple software, even you can do it in excel. Read this paper to get an idea what sort of problems and flaws the users of some well-known backtesting programs faced without being aware of them.
More...
Thanks for that reference! I must confess that I have this flaw in my backtester :(
Back to the drawing board...
 
Quote from total_keops:

Thanks for that reference! I must confess that I have this flaw in my backtester :(
Back to the drawing board...
More...

Can you say which one you have? The type of flaw demonstrated in that paper is very serious. It definitely produces misleading backtesting results. I wonder how many traders were affected by these flaws. I am sure I was but it is hard to say to what degree.
 
Quote from Andyroki:

I wrote something. I am not sure if it would fit your needs but it is free. Any way here it is. If you do try it I would be curious to know that you think.
Any way there is the link http://sites.google.com/site/testmytrades/
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How do we know that your program won't install a backdoor and steal passwords, cc numbers, or other important info. Oh yes, you will come back and say that you are a nice guy and you would never do something like that to fellow traders. I don't believe you unless you post a copy of your drivers license here.

Besides that, your backtester is rudimentary.
 
Quote from intradaybill:

If splits are accounted for in the data, this does not necessarily imply the backtest is realistic. Actually, in most cases it won't be realistic since prices before the splits won't be real prices.

The most realistic tests are the ones you do yourself with simple software, even you can do it in excel. Read this paper to get an idea what sort of problems and flaws the users of some well-known backtesting programs faced without being aware of them.
More...

I think one of the programs is Metastock. I am not sure about the other one. These companies should be sued for millions or even billions of damages because I am sure they new the flaws were there. I tried to contact the author of the paper to find out the names but he did not reply.
 
Quote from bashatrader:

How do we know that your program won't install a backdoor and steal passwords, cc numbers, or other important info. Oh yes, you will come back and say that you are a nice guy and you would never do something like that to fellow traders. I don't believe you unless you post a copy of your drivers license here.

Besides that, your backtester is rudimentary.
More...

You bring up a good point, but no it does not install backdoor or anything like that. You have my real name on the site so getting my drivers license numbers should be fairly easy with the use of internet.
If you feel uncomfortable than ignore it.
 
Hi guys, thanks for all the replies. You guys seem to be directing me to many different apps. which is good. It's always good to have many options however I only need a EOD backtester.

The intraday fluctuations are not important as I am looking at backtesting some longer term strategies. What is important is that the backtester would be an exact replica of the actual market (with at least EOD data) during the chosen times. Again, account mergers, reverse splits, and reverse mergers would all need to be applied to the backtester as they were applied to the stock during real-time market conditions.

For, example, if I bought 1000 shares of XYZ stock at $2 a share ($2000 total) only to see it undergo a 1-for-4 reverse split I would like the backtester to be "correct" and show me 250 shares valued at $8.

Alot of backtesters would not take this into account and would value my 1000 shares at $8, thus giving a total value of $8000.
Meaning I would show a false gain of $6000.

Correct me, if i'm not mistaken, using Yahoo's data would not solve the problem.

Would there be any other software or methods??

Thank you guys for the help so far
 
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