What's the best back testing program?

[virtusa]

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

Depends not on the backtesting but on the abilities of the trader to use it correctly.

My backtests have a very high correlation to live trading results. The reason why it is not 100% is because I am a (partially) discretionary trader which leads to small differences in entries and exits.

 

[Handle123]

Ninjatrader is ok, but best to have instead of one minute bars which has 4 components of open, high, low, close, have completed trade bars of one minute which has much more information. One minute bars you can not tell if high was made first or low was made first unless you chart individual tick charts. I have forgotten the code for it.

Back testing works much better for automation, but one has to be realistic, whatever the worst can happen, one day will exceed that number. For manual trading, gives an idea of one is on correct path, but due to how difficult to trade exactly to one's rules on every trade and risk management, back testing has limited value, better is forward testing. What can often happen during the day sessions are losses of data packets or data service does not send all completed trades, so you could get a signal, then after hours download data and whatever signal never occurred cause downloading all the data for the day.

Stocks are and always were. Commodities are a different animal all together.

I use to think futures were different, but not any more, who pulls the volume, dictates direction.

For those who believe there always be new all time highs, there will be, but what happens if that takes more than 20 years to happen? Remember when Gold topped 900 in 1980? I believe it was 2008 when Gold exceeded 1980 highs. Yep all time new highs after 28 years, in between Gold dropped to 260's, can you imagine holding on that long and watching bottom line that big of a dump and you start thinking of retirement?

Yea, I will stay with my way of trading, I am a buy and hold trader, but have to have that insurance of hedges so I don't have to wait so many years.

 

[Dazz]

When I ran dozens of different robot programs in real time for a day and then I would back test that actual day's data to see if the back tested trades stats = the actual observed trades, I found Ninja 7 (and now 8) to be the worst and TradeStation to have the highest fidelity.

 

[RedDuke]

.....

Back testing works much better for automation, .....

For those who believe there always be new all time highs, there will be, but what happens if that takes more than 20 years to happen? ......

Exactly what we did. We turn everything on Sunday, let it run for the whole week and exit any open position by end of Friday. Always flat on the weekended. That is why we have no skipped/emotional trades - we do not touch it. Automated of course does not mean unattended. I developed many tools to help to monitor the system. Btw, here is a revelation to those listening, backtest will never match live, but it does not need to.

This is exactly my point to Dozuu, he is 100 percent sure that because he understands "the boys" and has a crystal ball, those new highs are around the corner due to stimulus, and he might be right this time again, but they also could be 10-20 years away. he convinced himself, where I always say that I and most others know shit. Actually it would be great if he is right for our society for sure.

 

[RedDuke]

When I ran dozens of different robot programs in real time for a day and then I would back test that actual day's data to see if the back tested trades stats = the actual observed trades, I found Ninja 7 (and now 8) to be the worst and TradeStation to have the highest fidelity.

Please elaborate.

Ninja 7 had few flaws performance related, Ninja 8 uses multi-core and is fantastic. TradeStation is for retail, so is Ninja of course, but Ninja has full power of c# where TradeStation uses a scripting language. You can not automated with that anything serious.

You need to understand that in order to use Ninja (which is free until you trade live) you need to purchase data feed. Then all will match if you have no bugs in strategy.

 

[Dazz]

Beg to differ: I am in a trade skype room with some 200 members that all trade the same BOT but with different settings and for different indices. We have compared side-by-side data for months and find that with the same bot, same settings, same data feed for the same index, etc. that back tested Ninja 8 results DO NOT EQUAL forward walked trade results. It has nothing do to with muticore crap or c# language; Ninja back testing is not reliable on 8 and 7 was a galactic joke. We have been routinely frustrated with Ninja 8 back testing corruption.

 

[RedDuke]

Beg to differ: I am in a trade skype room with some 200 members that all trade the same BOT but with different settings and for different indices. We have compared side-by-side data for months and find that with the same bot, same settings, same data feed for the same index, etc. that back tested Ninja 8 results DO NOT EQUAL forward walked trade results. It has nothing do to with muticore crap or c# language; Ninja back testing is not reliable on 8 and 7 was a galactic joke. We have been routinely frustrated with Ninja 8 back testing corruption.

no idea what you talking about. Are you using their backtest wizard???? You could be using is wrong.

I coded my own completely and it is spot on. I have been using Ninja for over 14 years, and used other systems as well. Ninja is the best value for the money without a doubt. It does have limitations and not for everyone of course. For example, only around 6 months ago they finally added options.

 

[RedDuke]

Beg to differ: I am in a trade skype room with some 200 members that all trade the same BOT ....

this sentence alone will make anyone who trades for a while smile.

 

[fractalize]

there is no logic in what you do... you crunch number and all that sharpe ratio profit factor stuff has no logic in it.... why the fck does this method work but the other doesn't, you have no clue, the numbers look good you put it in live trading and HOPE for the best. On this side there is no hoping. everything is logical and has been proven logical.

But you're forgetting one huge advantage. It's called leverage. Try buy and holding QQQ overnight with 20:1 leverage. You'd have been wiped out, while i'm still crunching my numbers and taking my swings. Any idiot can buy and hold. Why are you on this forum? Go to boggleheads and circle jerk around with them.

 

[dozu888]

Exactly what we did. We turn everything on Sunday, let it run for the whole week and exit any open position by end of Friday. Always flat on the weekended. That is why we have no skipped/emotional trades - we do not touch it. Automated of course does not mean unattended. I developed many tools to help to monitor the system. Btw, here is a revelation to those listening, backtest will never match live, but it does not need to.

This is exactly my point to Dozuu, he is 100 percent sure that because he understands "the boys" and has a crystal ball, those new highs are around the corner due to stimulus, and he might be right this time again, but they also could be 10-20 years away. he convinced himself, where I always say that I and most others know shit. Actually it would be great if he is right for our society for sure.

this actually makes perfect sense.... you don't know shit and I mean no disrespect... if you number crunch then you have to take a 'know no shit' approach and let the crunch lead you... and that's fine...

I am saying the quant game is zero sum, basically you are all trying to out race each other to find the next pattern that makes a few bucks until everyone catches on and then you become the prey instead of the predator.

unless you have some real edge like HFT you are 100 fcking feet closer to the exchange than the next guy, you have no edge... just temporary patterns that all the other guys will find out eventually, that is IF you get there before them other guys.

what I am saying, is if someday you actually paid attention to think thru what I been saying.... my game is not zero sum... this game is clearly not bulls bears.... the same fcking group of guys been doing this in broad day light high way robbery in the past weeks, months and years... and I am trying to get on their side....

and again the only thing that I don't have is a seat in their secret meeting when to start a shake up campaign that's why I cannot foresee when the correction comes, but once it does occur you see my reads in the past weeks have been spot on!