What's the best back testing program?

farmerjohn1324 · Apr 6, 2020

I'm looking for a program that I can back test strategies for S&P mini futures.

Specifically, setting TP and SL at certain % points above entry price.

And preferably has tick data (or 1sec data) going back 20+ years.

PoopyDeek · Apr 6, 2020

lol Mr 94% needs a new curve fitting device. Imagine.

bone · Apr 6, 2020

You can write a fairly simple Excel macro for sigma bands. Backtesting has some notable limitations.

farmerjohn1324 · Apr 6, 2020

bone said:
You can write a fairly simple Excel macro for sigma bands. Backtesting has some notable limitations.

I can't use Excel for this much data.

bone · Apr 6, 2020

You don’t need 20 years of tic data to find out if a trading system has potential. Backtesting is nothing more than a screening tool. The fact of the matter is that backtesting is a piss poor correlation to live trading results.

farmerjohn1324 said:
I can't use Excel for this much data.

guru · Apr 6, 2020

farmerjohn1324 said:
I'm looking for a program that I can back test strategies for S&P mini futures.

Specifically, setting TP and SL at certain % points above entry price.

And preferably has tick data (or 1sec data) going back 20+ years.

Plenty of them:
NinjaTrader, MetaTrader, TradeStation, Sierra Charts, AmiBroker.

Turveyd · Apr 6, 2020

Tick or 1S definately help, closed M1 data is cheating and why I rarely back test.

Main issue with going back 20years say is you need to know news times and importance of, don't want a position before the NFP for instance and risk a 100pt SL slipping move.

Manual entries I gather ??

Turveyd · Apr 6, 2020

guru said:
Plenty of them:
NinjaTrader, MetaTrader, TradeStation, Sierra Charts, AmiBroker.

Metetrader doesn't support Tick / 1s charts, it'll only show tick on the quote screen live, not historic.

RedDuke · Apr 6, 2020

farmerjohn1324 said:
I'm looking for a program that I can back test strategies for S&P mini futures.

Specifically, setting TP and SL at certain % points above entry price.

And preferably has tick data (or 1sec data) going back 20+ years.

NinjaTrader - 100 percent free until you need to trade live.

fractalize · Apr 6, 2020

bone said:
The fact of the matter is that backtesting is a piss poor correlation to live trading results.

So true. You can turn a tiny edge into a large one with gambling and probability theory, but you need the live trade data.