TWS and back-test

H

hurricane_sh

Is it fair to say that TWS is not suitable for back testing and strategy development?

I recently opened an account at TradeStation, it seems very easy to do back testing and develop trading strategies. But I don't like its charting, I lost sync with the market (if I had any with TWS), and I find the software hard to use. When I traded MES futures with TradeStation the first day, the market was very volatile, order execution was seriously delayed, it almost never happened on TWS. All these concern makes me hesitate to commit to TradeStation.

If TWS is OK with back testing, I would stick to TWS. I was a C++/Java programmer by trade, I'm willing to learn Python if it's a better option.

Should I use TradeStation to do back-test and strategy development, maybe automate trading? Or stick to TWS for everything if tws is capable of doing everything?

If anyone had similar experience, please share your thought, thanks!
 
I use IB for two reasons:
  1. Low commissions
  2. API for automated trading
I really hate their charting and their interface in general. I would never use it for backtesting.

For backtesting:
  1. www.amibroker.com
  2. www.portfolioboss.com
For strategy development (with options) the ThinkOrSwim interface is very good. There's a learning curve but once you've used it for a few months it's much more intuitive.

I use my own custom C# software for backtesting. No fancy interface but it does all the behind-the-scenes stuff I need. The signals I generate I feed into Alera Portfolio Manager (www.aleratrading.com) to automate the trades using the IB API.
 
hurricane_sh said:
Is it fair to say that TWS is not suitable for back testing and strategy development?
More...
TWS in itself is not a backtesting tool. You could only use it to download historical data through their API (which uses TWS for connection to their data servers).
You would then have to program your own backtesting tool to handle that downloaded data. In simple cases a spreadsheet might be sufficient for your strategy development, in more complex cases you would need to write some software in your language of choice.
 
GaryBtrader said:
I use IB for two reasons:
  1. Low commissions
  2. API for automated trading
I really hate their charting and their interface in general. I would never use it for backtesting.

For backtesting:
  1. www.amibroker.com
  2. www.portfolioboss.com
For strategy development (with options) the ThinkOrSwim interface is very good. There's a learning curve but once you've used it for a few months it's much more intuitive.

I use my own custom C# software for backtesting. No fancy interface but it does all the behind-the-scenes stuff I need. The signals I generate I feed into Alera Portfolio Manager (www.aleratrading.com) to automate the trades using the IB API.
More...

That's very helpful, thanks a lot!
 
hurricane_sh said:
Is it fair to say that TWS is not suitable for back testing and strategy development?

I recently opened an account at TradeStation, it seems very easy to do back testing and develop trading strategies. But I don't like its charting, I lost sync with the market (if I had any with TWS), and I find the software hard to use. When I traded MES futures with TradeStation the first day, the market was very volatile, order execution was seriously delayed, it almost never happened on TWS. All these concern makes me hesitate to commit to TradeStation.

If TWS is OK with back testing, I would stick to TWS. I was a C++/Java programmer by trade, I'm willing to learn Python if it's a better option.

Should I use TradeStation to do back-test and strategy development, maybe automate trading? Or stick to TWS for everything if tws is capable of doing everything?

If anyone had similar experience, please share your thought, thanks!
More...

TWS doesn't have any backtesting tool. You'd have to program your own backtesting engine. Since it might take you some time to develop it how you wish it, I'd rather suggest you try Ninjatrader. Be aware there are actually two versions, 7 or 8. The 7 version is lighter and functional but it has its limits. Version 8 is the newer one, heavier but with more functions.

Since I'm aware that IB's API still has some issues as a wrapper for C++, C#....other than Java, I've wanted to create my own version in pure C. It's a big project, still stopped because I'm still working to get a better Algo.
 
You must log in or register to reply here.
Back
Top