Playback backtest

B

BuyLowSellHigh

I want to backtest my strategy but it is not something I can model in software easily. i.e. I can't run the automated backtest. Instead, I want to practice/evaluate my trading on old quote data being played back by a software. Is there a recommended SW for this? Preferably, it should be able to playback multiple streams simultaneously (e.g. SPX and NDX) and track my trading results. The playback should be at worst 1 minute resolution. I prefer 15 sec interval or tick-by-tick. To speed things up a bit, it would be good to be able to playback at speeds faster than the actual tick interval.

And where can I get the quote data from different periods of market? I would love to test my strategy on various market conditions including '87 crash, 2000 bubble/burst and etc. If someone has SPX, COMP and NDX tick-by-tick historical data, I would be happy to consider buying them (regardless of the playback software).

TIA
 
I should have googled it. It looks like tickdata.com sells tick-by-tick historical indices so I am good with the data. Just need to find a playback sw.
 
Quote from BuyLowSellHigh:

I should have googled it. It looks like tickdata.com sells tick-by-tick historical indices so I am good with the data. Just need to find a playback sw.
More...

We are developing a historical time series screener/backtest/replay software with innovations such as multiple synchronized windows capable to operate on different stocks, different time frames, and different time periods and fast parallel processing. Moving your cursor in one window automatically moves the current marker in all open windows sumultaneously. Still in development but you can look at thstart.com for more info.
 
esignal:
"Bar Replay
With this feature, you can step through your trading day bar by bar to assess your strategies and adjust accordingly. This feature has a fast forward and reverse capability, as well as the ability to step through the data a bar at a time. "
Never used it or I dont remember. Not sure you can put in your own data but probably, worth a call to them.
 
tradelink will replay whatever data you record with it, at tick by tick speed.

you can use Replay to do this, it will also simulate all types of fills against same data at whatever speed you play it back.

tradelink is free and open source, it comes with converters to import data from CQG, esignal and tradestation.

http://tradelink.googlecode.com
 
You must log in or register to reply here.
Back
Top