What Backtesting Platform do you use?

[amibroker]

@agtrader777

Actually, it is possible to specify both range and step WITHOUT changing the code. It can be simply done by using PARAM()
function http://www.amibroker.com/f?param in place of optimize function arguments. This way step and min-max range can be specified by the user by clicking "Parameters" button and adjusting parameters from the UI (without need to change any code).

So you write code ONCE and that's it. No further changes are necessary.

As for password protecting formulas - it is in fact not available as of now. Our intention was to encourage sharing of ideas (on our mailing list) rather than encourage black-box approach. Thanks to our attitude, AmiBroker mailing list and AFL library is full of freely available code for everyone to use and sharing spirit makes our community quite unique.

Regards,
Tomasz Janeczko
amibroker.com

 

[Nana Trader]

Quote from amibroker:

Assuming that you wrote the portfolio trading system already
(for more info: http://www.amibroker.com/guide/h_portfolio.html)
optimizing it is just a matter of specifying which parameters
you want to optimize:
http://www.amibroker.com/guide/h_optimization.html
and then clicking "optimize" button.

As to why AmiBroker is cheaper than competition: the answer is simple: we don't spend huge amounts of money on full-page advertising in paper magazines and rely solely on word-of-mouth.

Best regards,
Tomasz Janeczko
amibroker.com

I Know TS easylanguage and Amibroker AFL are among
scripting language with largest number of users(wealthlab
is doing poor take over by fidelity, metastock isn't
powerful enough, esignal EFS powerful but not well
developed and documented)

My question is:
I was checking quant and recruitive boards, and found
there isn't any requirement for this users?
I know scripting languages has some shortcoming like
abritrage, scalping,... Does not knowing system langauges
realy put traders at disadvantage in trading industry jobs?

 

[SWScapital]

Quote from macgibby:

Does AIQ systems have historical fundamental data?

yes

 

[ssternlight]

Quote from Nana Trader:

I Know TS easylanguage and Amibroker AFL are among
scripting language with largest number of users(wealthlab
is doing poor take over by fidelity, metastock isn't
powerful enough, esignal EFS powerful but not well
developed and documented)

My question is:
I was checking quant and recruitive boards, and found
there isn't any requirement for this users?
I know scripting languages has some shortcoming like
abritrage, scalping,... Does not knowing system langauges
realy put traders at disadvantage in trading industry jobs?

Interesting that you say that WLD isn't doing well. I was surprised by the number of people on ET responding that they use WLD. If they had continued independent, I think they would probably have been number 1 instead of number 2 in the poll. There is a new IB adapter (3rd party) coming out soon which will handle historical data as well as a number of other functions. So, all is not dead there from what I hear.

As far as your question regarding the use of these "toy" scripting languages for quant jobs, I would suggest that serious quants use C or C++ or C# to program their own ideas from the ground up. I don't think TS, WLD, AmiBroker, whatever are in any way whatsoever geared to the needs of the high end trading community.

FWIW, the only nod I could see in that direction is Quant Developer -- and many of the stronger programmers on the site have suggested they might as well build their own...

 

[TruthTeller]

Quote from cashonly:

I need a backtesting program that has the following features:

1. Can backtest on intraday data, both n minute bars, and tick data.

2. Can backtest on a portfolio of stocks with intraday data over a period of time from a day to years, giving BOTH reports for each individual stock as well as for the portfolio as a whole.

3. Must be able to allow me to write ascii text to a text file at each bar or tick.

4. Need to be able to access daily data on an intraday basis. For example, if I'm running a backtest on a 20 period MA on one minute bars on a stock, it should also let me access the 14 period ADX, +DMI, -DMI using daily data and be able to access them both in my code at each intraday bar.

5. Would be nice to compare two instruments in one backtest, like have the primary be a stock, and be able to compare the 20 period MA of the stock on an intraday basis to the 20 period MA of the e-mini for the same time period.

Anyone know af a product that can do this?

Cash

Investor RT. www.linnsoft.com

Not certain if it can accomplish #3. Call them for specific info, or e-mail to support@linnsoft.com

You can most certainly access multiple timeframes simultaneously, and multiple instruments in backtesting. (Combine market indexes and equities, various timeframes, etc. etc.) Data is available from a number of vendors. If you want to access intraday for long periods, you'll need to ask the Linnsoft folks for their recommendations. Or, you may well be able to import data if you already have it. The system will import text file data. Investor RT requires no programming skills, and works with its own set of rules, values, etc. Whatever you can dream, you can do.

 

[agtrader777]

Amibroker, thank you for a prompt and insightful response!

Regards

 

[Nana Trader]

Quote from ssternlight:

Interesting that you say that WLD isn't doing well. I was surprised by the number of people on ET responding that they use WLD. If they had continued independent, I think they would probably have been number 1 instead of number 2 in the poll. There is a new IB adapter (3rd party) coming out soon which will handle historical data as well as a number of other functions. So, all is not dead there from what I hear.

when wealth-lab will be out is matter of time, It benifited
from portfolio testing and TS subscribtion price, But this two
factor will be changed within month or two.
Btw, Easylangauge is more grown with words & functions
needed for automated trading than wealthscript

far as your question regarding the use of these "toy" scripting languages for quant jobs, I would suggest that serious quants use C or C++ or C# to program their own ideas from the ground up. I don't think TS, WLD, AmiBroker, whatever are in any way whatsoever geared to the needs of the high end trading community.
I knew all these, my question was what EL can't do for trading
that system language can? looking for few example anything
beside rapid trading purpose

FWIW, the only nod I could see in that direction is Quant Developer -- and many of the stronger programmers on the site have suggested they might as well build their own...

You need to know C#, C.net (no C++, am i right?), and if
you take time to learn those languages, why do you still
need to use Quant developer?

 

[ssternlight]

Quote from Nana Trader:

Quote from ssternlight:

Interesting that you say that WLD isn't doing well. I was surprised by the number of people on ET responding that they use WLD. If they had continued independent, I think they would probably have been number 1 instead of number 2 in the poll. There is a new IB adapter (3rd party) coming out soon which will handle historical data as well as a number of other functions. So, all is not dead there from what I hear.

when wealth-lab will be out is matter of time, It benifited
from portfolio testing and TS subscribtion price, But this two
factor will be changed within month or two.
Btw, Easylangauge is more grown with words & functions
needed for automated trading than wealthscript

far as your question regarding the use of these "toy" scripting languages for quant jobs, I would suggest that serious quants use C or C++ or C# to program their own ideas from the ground up. I don't think TS, WLD, AmiBroker, whatever are in any way whatsoever geared to the needs of the high end trading community.
I knew all these, my question was what EL can't do for trading
that system language can? looking for few example anything
beside rapid trading purpose

FWIW, the only nod I could see in that direction is Quant Developer -- and many of the stronger programmers on the site have suggested they might as well build their own...

You need to know C#, C.net (no C++, am i right?), and if
you take time to learn those languages, why do you still
need to use Quant developer?

To answer the last first,

Yes, C# or C.net are probably more likely candidates. A lot of people are talking about python now as well I guess. I am not a "programmer" as such so don't take my word for it.

To answer the QD point, I think it's a cost/benefit situation. You can buy the source code and go from there, use the existing app and add your own code -- much like WLD or TS -- or you can write it all from scratch. I guess it depends on how many man hours it would take you to write a similar application and whether that was the most productive use of your time. I am interested in trading not coding. The easier tools make things to do the analysis the happier I am. One thing I do know from a cursory review, QD is much more flexible than WL or TS or any of the other backtesting/autotrading apps. Unfortunately, this flexibility comes at an increased price in learning curve and pricing requirements.

I don't know about the state of play between WLD and TS as far as new features goes. I have a friend who uses WLD and just got into TS -- he is a programmer. He is not having a pleasant experience so far. I don't know about EL as I never sat down with it in depth -- due in fact to the cost of using TS as you note. With the lower cost structure, I was tempted but after hearing my friend's review have held off until I get definitive word from him.

As to what EL can and can't do on a professional level, all you need to do is look and see what professionals use and have used -- I can tell you it's not EL or Wealthscript, etc...

 

[Nana Trader]

Quote from ssternlight:

To answer the last first,

To answer the QD point, I think it's a cost/benefit situation. You can buy the source code and go from there, use the existing app and add your own code -- much like WLD or TS -- or you can write it all from scratch. I guess it depends on how many man hours it would take you to write a similar application and whether that was the most productive use of your time. I am interested in trading not coding. The easier tools make things to do the analysis the happier I am. One thing I do know from a cursory review, QD is much more flexible than WL or TS or any of the other backtesting/autotrading apps. Unfortunately, this flexibility comes at an increased price in learning curve and pricing requirements.

what is the grantee that Mr. Anton provide you with all
source code and support needed, after making "first"
payment? That's not the case with monthly softwares
and much easier to start out with as beginner.

I don't know about the state of play between WLD and TS as far as new features goes. I have a friend who uses WLD and just got into TS -- he is a programmer. He is not having a pleasant experience so far. I don't know about EL as I never sat down with it in depth -- due in fact to the cost of using TS as you note. With the lower cost structure, I was tempted but after hearing my friend's review have held off until I get definitive word from him.

Trust your eyes, not your ears. Look at list of keywords and
functions at EL and WLscripts?
http://www.wealth-lab.com/cgi-bin/WealthLab.DLL/getpage?page=WLSReference.htm Not only EL has 3-4 times
more scripts, But has functions for orders routing, order
improvement and realtime positions and P&L reading within
your strategy for better automation, while WLscript can't do
all these, making complex automation not possible.
Owntrade from http://www.tssupport.com/addons/owntrade/
make it possible to do above functions even with other brokerages +software Tradestation 8.1

As to what EL can and can't do on a professional level, all you need to do is look and see what professionals use and have used -- I can tell you it's not EL or Wealthscript, etc...
Not easy to find find out what is it? Anyhow I'm on my way to learning VB & C++, and keep EL as only scripting language for strategy development, time is very critical.

 

[ssternlight]

Quote from Nana Trader:

Quote from ssternlight:

To answer the last first,

To answer the QD point, I think it's a cost/benefit situation. You can buy the source code and go from there, use the existing app and add your own code -- much like WLD or TS -- or you can write it all from scratch. I guess it depends on how many man hours it would take you to write a similar application and whether that was the most productive use of your time. I am interested in trading not coding. The easier tools make things to do the analysis the happier I am. One thing I do know from a cursory review, QD is much more flexible than WL or TS or any of the other backtesting/autotrading apps. Unfortunately, this flexibility comes at an increased price in learning curve and pricing requirements.

what is the grantee that Mr. Anton provide you with all
source code and support needed, after making "first"
payment? That's not the case with monthly softwares
and much easier to start out with as beginner.

I don't know about the state of play between WLD and TS as far as new features goes. I have a friend who uses WLD and just got into TS -- he is a programmer. He is not having a pleasant experience so far. I don't know about EL as I never sat down with it in depth -- due in fact to the cost of using TS as you note. With the lower cost structure, I was tempted but after hearing my friend's review have held off until I get definitive word from him.

Trust your eyes, not your ears. Look at list of keywords and
functions at EL and WLscripts?
http://www.wealth-lab.com/cgi-bin/WealthLab.DLL/getpage?page=WLSReference.htm Not only EL has 3-4 times
more scripts, But has functions for orders routing, order
improvement and realtime positions and P&L reading within
your strategy for better automation, while WLscript can't do
all these, making complex automation not possible.
Owntrade from http://www.tssupport.com/addons/owntrade/
make it possible to do above functions even with other brokerages +software Tradestation 8.1

As to what EL can and can't do on a professional level, all you need to do is look and see what professionals use and have used -- I can tell you it's not EL or Wealthscript, etc...
Not easy to find find out what is it? Anyhow I'm on my way to learning VB & C++, and keep EL as only scripting language for strategy development, time is very critical.

OK, I tried. This just turned into a commercial for TS...whatever.