TS backtesting issue

You can do Bid/Ask testing with NeoTicker. I used TradeStation for many years, but found that it just has too many limitiations. If you're really serious about system development and testing you should look into NeoTicker ... it makes TradeStation look like a toy.

Regards,

Slave2Market


P.S. I definitely do not work for NeoTicker, I am just a serious user.
 
Quote from Slave2Market:

You can do Bid/Ask testing with NeoTicker. I used TradeStation for many years, but found that it just has too many limitiations. If you're really serious about system development and testing you should look into NeoTicker ... it makes TradeStation look like a toy.

Regards,

Slave2Market


P.S. I definitely do not work for NeoTicker, I am just a serious user.
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... Most of the people don't get the point...

NeoTicker, TS, Wealth-Lab... or all the other software... Everyone seems to be concentrated on the software feature side. I'm more talking about the database side.

Ahhh... forget about it...
 
WDGann,

just out of curiousity, what is your point ... please note, this is a non-confrontational question?
NeoTicker is primarily just a very sophisticated real-time database application that offers the User incredibile flexibility in terms of accessing the data. As a quantitative trader and system developer, I don't know what else I could want? Well, there's always more ... but it's the best thing that I've encountered, and I've just about used or evaluated them all.

Regards,

Slave2Market
 
Quote from Slave2Market:

WDGann,

just out of curiousity, what is your point ... please note, this is a non-confrontational question?
NeoTicker is primarily just a very sophisticated real-time database application that offers the User incredibile flexibility in terms of accessing the data. As a quantitative trader and system developer, I don't know what else I could want? Well, there's always more ... but it's the best thing that I've encountered, and I've just about used or evaluated them all.

Regards,

Slave2Market
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Look at it this way...

On a Tick-Tick Data, create a system using that specific software that you prefer.

Put each individual system in an automated trading condition for an year.

After a year, test the system and compare it with the actual trades.

Would the trades be identical?

That's my point.
 
Of course the trades won't be identical to simulation results, but I can tell you from many years of personal experience that the results will be insignificant ... that is if you do proper simulation and analysis. If your system trades once in a Blue Moon and is not a robust system, then you will have problems. I trade high-volume systems that trade hundreds of stocks simultaneously, and my simulation results are almost identical to actuals.

Regards,

Slave2Market
 
interesting. so can neoticker perform tick for tick and bid/ask backtesting for .. say .. two years of history?

If you've tried this, how well does it address the multi symbol testing issues I mentioned earlier?

do they have their own feed, or do you link up with a secondary data provider? to perform the testing I'm looking for, would I have to buy the data myself and put it on my pc?

thanks very much for your suggestions.
 
vanilla2,

yes NeoTicker can perform tick by tick bid/ask testing, but there is a catch ... you need the data! The only way to get years of historical data is to collect it yourself in real-time, or buy it and import it into NeoTicker. NeoTicker is not a data provider, they are basically a data analysis, data mining, and real-time market monitoring tool. I don't know what you're trying to analyze, but I can tell you that working at the tick level can be very difficult, and getting and maintaining clean data is a lot of work. There is definitely some good stuff that can be done with tick data, but there's also a whole lot of "Fools Gold" in analyzing Bid/Ask data ... good luck with your efforts.

Regards,

Slave2Market
 
Quote from size:



When your conditions are met during backtesting the best it can do is execute a simulated fill at the close of the bar, according to whatever timeframe chart your strategy is running on. This means that if you are backtesting a strategy on 15-minute bars, and your conditions are met in the 1st minute of a new bar, your back-test execution price will be wherever the stock is 14 minutes later. A complete joke.

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I use TS2000 and use the Easy Language arrays to build longer term data out of 1 minute bars. Then I write strategies and backtest in exactly the fashion that you say cannot be done. It cannot be done in TS4 but in TS2k and maybe the later versions it is not only done, it is not all that hard.

Max
 
You can do tick by tick data backtesting on TS.

I have definetly tried this on ts2000i and also ts6.

However when you are getting down to this level you really have to beware that speed really becomes an issue.

i.e if your system relies on getting the absolute next tick or hitting the bid, there is probably a queue as long as your arm in front of you and you will not be filled at anywhere near what you wanted.

remember there are always people with bigger/faster/better connections to the exchanges, who even if trading identically to you, will always get the trade before you.
 
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