Need serious backtesting capabilities
- Thread starter G_Morgan
- Start date
Scanning is one thing, setting up rules to trade (buy/sell) and
rules for dynamic portfolio mgt. AND rules for stops and pyramiding. You have a little more complication and nothing off the shelf is that good. All these scanning and backtesting toys are buy/sell driven on one stock or perhaps can handle a portfolio but the rules you set up are what. based on some indicators.
You will never get what you want exactly from any vendor anyways.
They won't let you customize and certainly will never make changes for you personally...that's why the sell software.
It is better to custom make your own.
One system I have is based on Valueline scanning and has a long short portfolio, buy sell rules and dynamic money management rules are set up separately. All results can be measured and reported in seconds.
All the buys are 1,2 in VL all the shorts are 5's.
Long short ratio is changeable percentage and stops are dynamic
to the portfolio 'heat'.
rules for dynamic portfolio mgt. AND rules for stops and pyramiding. You have a little more complication and nothing off the shelf is that good. All these scanning and backtesting toys are buy/sell driven on one stock or perhaps can handle a portfolio but the rules you set up are what. based on some indicators.
You will never get what you want exactly from any vendor anyways.
They won't let you customize and certainly will never make changes for you personally...that's why the sell software.
It is better to custom make your own.
One system I have is based on Valueline scanning and has a long short portfolio, buy sell rules and dynamic money management rules are set up separately. All results can be measured and reported in seconds.
All the buys are 1,2 in VL all the shorts are 5's.
Long short ratio is changeable percentage and stops are dynamic
to the portfolio 'heat'.
Example:
IF QQQ volume > 500,000
THEN enter all stocks above their 10 day SMAs, with the percentage of the portfolio of each = (# of 10-day sma stocks found + number of 10-day sma stocks open)/400
AND enter all stocks above their 5 day sma, with ... etc
THEN sell the 10 day sma stocks when they fall below their opt1 day SMAs.
AND sell the 5 day sma stocks when they fall below their 5 day SMAs.
And see how the portfolio performs
...
Preferably with optimization capabilities and histogram representation of results
Possible?
My strategies have done well on most single stocks I test, but I want to know how independent the results are (portfolio drawdown expectations, position sizing), if I'm just getting lucky with what stocks I choose (though I really doubt that part), and how the strategies would complement each other... And to test other strategies not testable with metastock/excel (terrible backtesting software platforms).
IF QQQ volume > 500,000
THEN enter all stocks above their 10 day SMAs, with the percentage of the portfolio of each = (# of 10-day sma stocks found + number of 10-day sma stocks open)/400
AND enter all stocks above their 5 day sma, with ... etc
THEN sell the 10 day sma stocks when they fall below their opt1 day SMAs.
AND sell the 5 day sma stocks when they fall below their 5 day SMAs.
And see how the portfolio performs
...
Preferably with optimization capabilities and histogram representation of results
Possible?
My strategies have done well on most single stocks I test, but I want to know how independent the results are (portfolio drawdown expectations, position sizing), if I'm just getting lucky with what stocks I choose (though I really doubt that part), and how the strategies would complement each other... And to test other strategies not testable with metastock/excel (terrible backtesting software platforms).
Everything you just outlined can be done with Investor RT. You will create quote pages containing your stocks to watch. (Similar look to an Excel spreadsheet). Then you will create a column in that page that calculates the EMA of each stock. Then you will create a backtest that each day sorts the stocks by MA deviation and your QQQ parameters. When you are satisfied, with the results, you can then create a trading system based on your results with buy/sell alerts. Not hard to do.
We are developing a new, serious backtesting software and it already can do this. More ideas I would appreciate.
http://www.traders-toolkit.com