Trading Software - Backtesting and Realtime Scanning

B

B.Willis

I´m looking for a software with following features:

- Trading desktop with watchlist, charts, drawing tools, etc. (like Quotetracker).
- Portfolio backtesting on intraday level.
- Realtime intraday scanning.
- Eventually also order entry.
- Suitable for stocks.

I looked into Blocks and Ninjatrader but I don´t find more programs which have all these features combined.

Does anyone have more suggestions?
 
Quote from B.Willis:

I´m looking for a software with following features:

- Trading desktop with watchlist, charts, drawing tools, etc. (like Quotetracker).
- Portfolio backtesting on intraday level.
- Realtime intraday scanning.
- Eventually also order entry.
- Suitable for stocks.

I looked into Blocks and Ninjatrader but I don´t find more programs which have all these features combined.

Does anyone have more suggestions?
More...


InvestorRT at www.linnsoft.com. Does everything you listed.
 
lindq,

do you use InvestorRT?

If yes, how many stocks can InvestorRT handle with intraday data? (e.g. is a backtest on 1 min. data of several thousand stocks possible?)
 
Quote from B.Willis:

lindq,

do you use InvestorRT?

If yes, how many stocks can InvestorRT handle with intraday data? (e.g. is a backtest on 1 min. data of several thousand stocks possible?)
More...

The only product that does that is Trade Ideas as far as I know. Not the charting stuff that you will have to get elsewhere. TI does the scanning and backtesting on unlimited symbols intra day.
 
Quote from B.Willis:

lindq,

do you use InvestorRT?

If yes, how many stocks can InvestorRT handle with intraday data? (e.g. is a backtest on 1 min. data of several thousand stocks possible?)
More...

Yes, I have used InvestorRT for 5 years.

Your reference to "handling" intraday data opens two issues: realtime tracking, and backtesting.

In terms of backtesting, you can backtest intraday as many stocks as you want in a portfilio. But if you want to backtest thousands with 1 min data over many days/weeks/months, you will have a huge database to deal with.

For tracking/trading, the limit is based not on IRT, but on the data source. The software works with a number of data sources, each of which has certain limits. For example, 700 or 1000 stocks tracking intraday.

I am not aware of any software or data source that will provide you with unlimited symbols tracking intraday. And I don't know why you would need to do that. Any strategy that I have worked with or traded can be improved by applying some basic measures on daily data first. For example, volume, or technical or price levels. That will cut down your list to a manageble size for intraday tracking.

In my case, I run scans of daily data at the end of each trading day looking for certain parameters, then use that list for intraday tracking the next day.
 
lindq,

you are right, for realtime scanning you can narrow down the number of stocks. But how do you do that when backtesting? You need to include the filter in the strategy code and apply it to all stocks. Maybe you have another idea.

Backtesting: Worden seems to have found a way to settle the problem with the huge database.
In the Blocks software all stocks are available for backtesting on intraday basis, 4 years back.
But I don´t like the charting module of Blocks.
And there are (still?) some problems with their data.
 
Quote from B.Willis:

SOESBandit94,

how far back does backtesting go for OddsMaker?
I heard it´s only 3 weeks back?
More...

Yes it goes back 3 weeks. But I export the data to excel and keep much longer tabs on it. So I have a system that has been giving me high odds now for over 5 months. Believe it or not when you are running tests the 3 weeks period works. If things change results change.
 
I'm new to backtesting...

I'd like to backtest ER futures with intraday data as far as 10 years...is this possible?
I have ninjatrader right now. Am I using the right software?
 
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