Macro Backtesting

funky · May 29, 2004

is there currently any tool out there for backtesting strategies across a large set of markets automatically? for instance, the tool should be able to sort by highest net profit for each market inputted.

trying to find a better way of manually inputting symbols and writing down the results into excel

WinSum · May 29, 2004

Have you looked at Wealth-Lab to see it works for you ?

funky · May 30, 2004

Quote from WinSum:

Have you looked at Wealth-Lab to see it works for you ?

How would you do this in WLD?

WinSum · May 30, 2004

It's too complicated to describe in a thread. Take a look at their web page ( http://www.wealth-lab.com/cgi-bin/WealthLab.DLL/getpage?page=SiteHelpCS.htm ).

Look at the section on "How do I Back-Test a ChartScript on a Group of Stocks?"

funky · May 30, 2004

Quote from funky:

How would you do this in WLD?

Also, can you do this in Tradestation? anyone?

funky · May 30, 2004

Quote from WinSum:

It's too complicated to describe in a thread. Take a look at their web page ( http://www.wealth-lab.com/cgi-bin/WealthLab.DLL/getpage?page=SiteHelpCS.htm ).

Look at the section on "How do I Back-Test a ChartScript on a Group of Stocks?"

You can use the $imulator tool to Back-Test a ChartScript on a group of up to 100 stocks at once.

i am looking for an automated tool to scan a universe of markets, not 100 markets at a time. good start though it doesn't cut it for me.

funky · May 30, 2004

how about "The Explorer" from Metastock 9.0?

http://www.equis.com/Products/MetaStock/PRO/AnalysisTools.aspx

anyone use this?

funky · May 30, 2004

or RINA's Portfolio Evaluator 6? www.rinafinancial.com

anyone use this?

mail2smitty · May 30, 2004

Hey funky,

The 100 stock limit on Wealth-Lab applies to the website version - they probably impose this to keep server access down. The desktop version can do all sorts of backtesting (I usually use the Russell 3000 for stocks, any groupings you want are possible). I like to set up a master list of all possible stocks (6000+), then create Watchlist composed of those stocks (Russell 3000, stocks with $Volume > 250K, etc.):

http://www.wld3.com/tutorials/MMPortfolio.swf

There is also a free add-on to Wealth-Lab to provide further scalability to your backtest:

http://www.webquiz.com/arwl/promo.htm

Haven't tried this yet, looking forward to it as time permits...

Hope this helps,
smitty

funky · May 31, 2004

Quote from mail2smitty:

Hey funky,

The 100 stock limit on Wealth-Lab applies to the website version -

thanks....i'm currently using TS so i'd rather find a way to do it that way, but its good to know i have another option.

looks like PortfolioStream from Rina (http://www.rinafinancial.com/PortfolioStream.asp) does the trick. but its $200/month + setup fees.

i'd rather just write my own custom code to do it, shouldn't be that bad -- but i'm looking for a start somewhere...maybe someone reading this thread will point me in the right direction?