Need platform/backtesting solution for a system that uses 2 points of emini tick data

L

LeroyJeeenkins

Folks,
Been using Tradestation for a while now and while it has its limitations I like it because it's fairly straightforward but I've finally hit a snag and need to look elsewhere for a new software solution for some new potential systems.

I'm always looking to increase live systems and I came across some interesting eyeball testing on emini price movement using two separate tick bar lengths of tick data. Unfortunately, I can't code and test this double data series on Tradestation with tick data because Tradestation doesn't offer the same system testing properties with tick data as they do on intraday system development. I may just use Tradestation and a new solution but I need to discover a new solution.

I would like to create, test and possibly put live (depending on results) a system that utilizes two emini tick data points (1200 t and 200t on ER2 for example) in the same system.

Tradestation allows such in intraday time bar testing/system development, so I can create a system that uses 180 minute and 5 minute data for example. BUT, once you move over to Tick data, there are significant limitations and this is not possible.

Truly thanks for your help. I've started digging in on the net but wanted to reach out to you who know best and may be familiar with a solution right off the bat.

So this is what I'm looking for. Please let me know if you can aim me in the direction of a system testing software/broker solution or to a thread already started.

Requirements (for eminis specifically er2.):
1) System testing and auto trading solution that can consider two different tick bar sizes (series of data such as 1200t & 200t)) in the same system.
2) Using Tradestation lingo, the ability to "look inside back-bar testing on tick data" (to accurately test stops and trailing stops during backtesting)
3) Ability to trigger and automatically trade system once completed
4) BONUS: access to tick data longer than the 6 month Tradestation time period (I know I can purchase data to be used in Tradestation from an outside vendor but would be nice if I don't have to especially if I'm using a different platform/system software)

Big thanks for your help in advance! Great boards you have here. Shoot me a note if you prefer instead of posting.

Mike
 
NinjaTrader may be right up your alley. Here's a link to the documentation covering multiple time frames: http://www.ninjatrader-support.com/HelpGuideV6/helpguide.html?MultiTimeFrameInstruments

I worked with NT for quite some time, and it has a lot of neat features. Sign up with ampfutures for a demo account and you can also get some free data via ZenFire. Once you get into more extensive system development, NT does have its fair share of shortcomings, and I've recently moved on, but it may work nicely for your purposes.
 
Have a look at NeoTicker from TickQuest company, sponsor of this forum.

Requirements (for eminis specifically er2.):
1) System testing and auto trading solution that can consider two different tick bar sizes (series of data such as 1200t & 200t)) in the same system.
More...
Yes, can be done.

2) Using Tradestation lingo, the ability to "look inside back-bar testing on tick data" (to accurately test stops and trailing stops during backtesting)
More...
Sorry, don't know what that means

3) Ability to trigger and automatically trade system once completed
More...
Will depend upon your broker, check which ones are supported by NeoTicker.

4) BONUS: access to tick data longer than the 6 month Tradestation time period (I know I can purchase data to be used in Tradestation from an outside vendor but would be nice if I don't have to especially if I'm using a different platform/system software)
..
Mike
More...

They supply some data for their customers, but I do not think for such a long period of time.

NeoTicker interfaces to some data vendors and it depends upon them, how much data you can access. I do not think any of them supplies 6 month of tick data.

Regards
 
Quote from ATLien:

NinjaTrader may be right up your alley. Here's a link to the documentation covering multiple time frames: http://www.ninjatrader-support.com/HelpGuideV6/helpguide.html?MultiTimeFrameInstruments

I worked with NT for quite some time, and it has a lot of neat features. Sign up with ampfutures for a demo account and you can also get some free data via ZenFire. Once you get into more extensive system development, NT does have its fair share of shortcomings, and I've recently moved on, but it may work nicely for your purposes.
More...

ATLien, thanks for the link to the documentation. I've already been hanging there this morning and will lose myself in that for a couple weeks/months. M
 
Quote from LeroyJeeenkins:

ATLien, thanks for the link to the documentation. I've already been hanging there this morning and will lose myself in that for a couple weeks/months. M
More...

No problem. If you need any help, the NT forums are pretty active and helpful, but if you have any questions you can also just PM me if you'd like.
 
If you access the TS forums you can download a free package called ADE (All Data Everywhere) it will let you access data from any bar interval or volume setting and reference multiple data streams from and other data stream.

Well documented and works well.
 
You must log in or register to reply here.
Back
Top