Murray Ruggiero
Sponsor
TradersStudio has a walk forward macro which is shipped free with the product. If you want to do walk forward testing , TradersStudio can do that too.
What Backtesting Platform do you use?
- Thread starter Baron
- Start date
Just depends on how much work you want to put in vs how much work you are willing to pay to have done in advance. They will sell you the source code so it's not like you lose control.
My guess is that unless you have done this kind of work before there is no way you could cost effectively develop the same yourself. Especially if you job is trading and not programming.
But I do understand where you are coming from.
Murray Ruggiero
Sponsor
When we developed TradersStudio,I made sure it had a rich addin interface for witting your own addins. This interface includes adding your items to TradersStudio built in menu's just like the Addin interface in Excel.
In TradersStudio you can write your code in our TradersStudio basic language. You can also write addins in VB 6.0 or C++. We have examples and documentation for both languages on how to write addins. Your addins can access all of the built in functions and indicators.
TradersStudio also has built in function to control Excel including running VBA macro's. We used this interface to develop our Walk Forward macro which ships for free with the product.
In TradersStudio you can write your code in our TradersStudio basic language. You can also write addins in VB 6.0 or C++. We have examples and documentation for both languages on how to write addins. Your addins can access all of the built in functions and indicators.
TradersStudio also has built in function to control Excel including running VBA macro's. We used this interface to develop our Walk Forward macro which ships for free with the product.
Here is an example of something that NONE of the commercially available tools can do. Not one of them:
Test the strategy of trading 3 different mechanical systems on the same portfolio of futures markets, AND correctly handle the commissions and slippage when one system is short and the other two are long in the same market.
System A goes long 10 Soybeans on Monday, system B goes short 10 Soybeans on Tuesday, system C goes long 10 Soybeans on Wednesday. On Friday, you rollover from March Soybeans to May Soybeans. In real life you're long 10 contracts so you rollover 10 contracts. But half of the backtesting programs rollover 30 contracts, and the other half don't simulate rollovers at all. You can either have wrong answer number 1, or else wrong answer number 2.
Test the strategy of trading 3 different mechanical systems on the same portfolio of futures markets, AND correctly handle the commissions and slippage when one system is short and the other two are long in the same market.
System A goes long 10 Soybeans on Monday, system B goes short 10 Soybeans on Tuesday, system C goes long 10 Soybeans on Wednesday. On Friday, you rollover from March Soybeans to May Soybeans. In real life you're long 10 contracts so you rollover 10 contracts. But half of the backtesting programs rollover 30 contracts, and the other half don't simulate rollovers at all. You can either have wrong answer number 1, or else wrong answer number 2.
Murray Ruggiero
Sponsor
That is a good point, I want to address contract roll over issues in Version 2.0 of TradersStudio. We are currently offering free upgrades to our customers though and including version 2.0. This version will have the same user interface as the real time version planned for release this spring.
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 use http://www.r-project.org plus QCollector and an esignal feed for data.
I looked at your link and think I understood it correctly.
The optimization parameters need to be set at the code level. Once that is done, you can optimize with a mouse click. If you want to change the parameter range or the step, the code needs to be changed.
I know it is not a big deal, but I was looking to share some of my systems and allow people to optimize them. My problem is that I want to password protect the systems to protect my logic while still allowing them to optimize the parameters for any range and step they want.
This can be done in TradeStation 4.0 and I am told that it can also be done in TradersStudio. Their systems can be encrypted to allow users to change the parameters on an optimization.
From looking at your demo, password encryption does not seem to be available and since you have to change the optimize parameter range and step in code, it would not be possible to change the optimization parameters in a black box system.
Regards,
The optimization parameters need to be set at the code level. Once that is done, you can optimize with a mouse click. If you want to change the parameter range or the step, the code needs to be changed.
I know it is not a big deal, but I was looking to share some of my systems and allow people to optimize them. My problem is that I want to password protect the systems to protect my logic while still allowing them to optimize the parameters for any range and step they want.
This can be done in TradeStation 4.0 and I am told that it can also be done in TradersStudio. Their systems can be encrypted to allow users to change the parameters on an optimization.
From looking at your demo, password encryption does not seem to be available and since you have to change the optimize parameter range and step in code, it would not be possible to change the optimization parameters in a black box system.
Regards,