Running a backtest on the 4000 nasdaq stocks

[gwb-trading]

I use Wealth-Lab for proto-typing, and back-testing of ideas. It can very quickly allow you to try things out.

However I use C++ for my real-time implementation and automation. I continually take concepts that pass prototype testing, and code them up for the real-time environment.

There is no need to do "either/or" ( a package simulator or C++).
A combination of both tools can be used most effectively.

- Greg

 

[maxpi]

Quote from rickty:



maxpi,
Are you aware that Matlab already has toolboxes that allow you to do some of this. In terms of data sources, they provide connections to Bloomberg, Interactive Data and yahoo:
https://tagteamdbserver.mathworks.c...oad/8406_9808v03_DataF%u2026ed_Toolbox_DS.pdf

It would be good if they added some of the more popular data sources.

As I understand it, other toolboxes allow plotting of candle charts with a variety of indicators:
https://tagteamdbserver.mathworks.com/ttserverroot/Download/7949_9795v02_Fin_Time_Series_DS.pdf

Richard

Thanks for the links. That is what I'm talking about. Considering what a great software tool could be made out of that with just a little more work on the data interface, somebody will do it soon and make a few bucks in the process. One poster said he used Matlab for backtesting and could process data extremely quickly. I am jumping through all sorts of hoops and comprimising my project a little to get TS2k to work for me, and succeeding BTW, but it is just not fast. I stay with it for a number of reasons but speed is not one of them.

 

[Mike_Vick]

If I'm going to download say 2 years worth of 5 min bars on 1000 stocks does anyone have any idea how much hard drive space that is going to eat up?

You guys that backtest in Tradestation and Esignal, when you run a backtest are you testing it on data that you have downloaded locally {to your hard drive} or is it tested off the data on their server or a CD rom?

How does it work data wise, getting all the data to work with?

 

[Bob111]

Quote from Mike_Vick:

If I'm going to download say 2 years worth of 5 min bars on 1000 stocks does anyone have any idea how much hard drive space that is going to eat up?

You guys that backtest in Tradestation and Esignal, when you run a backtest are you testing it on data that you have downloaded locally {to your hard drive} or is it tested off the data on their server or a CD rom?

How does it work data wise, getting all the data to work with?

5 min all nasdaq stocks for 97-03 eat about 5Gb in .csv