Backtesting manual strategies

[PrudentInvestor]

I have a background in quantitative trading, but have recently been fairly successful also applying semi-discretionary techniques related to market profiling (try to google market profile CBOT if interested). However, I would like to be sure that the results I get are not just incidences of luck by running a rigorous backtest on the system.

My question is this: Is there any software tools to aid me or do I need to program the backtesting engine from scratch? I would really need decent statistical features if possible.

 

[dougy]

I have a background in quantitative trading, but have recently been fairly successful also applying semi-discretionary techniques related to market profiling (try to google market profile CBOT if interested). However, I would like to be sure that the results I get are not just incidences of luck by running a rigorous backtest on the system.

My question is this: Is there any software tools to aid me or do I need to program the backtesting engine from scratch? I would really need decent statistical features if possible.

TradeSim is excellent, however I'm not sure how much discretion can be incorporated into the backtesting criteria.

TradeSim operates as a plug-in to a programmable charting program, like Metastock or Bullscript. They have robust programming modules which work with TradeSim. But I don't know how a software program can incorporate true discretion, and if discretionary rules can be programmed, does that mean they are then no longer truly discretionary?
dougy

 

[tech/a]

I have a background in quantitative trading, but have recently been fairly successful also applying semi-discretionary techniques related to market profiling (try to google market profile CBOT if interested). However, I would like to be sure that the results I get are not just incidences of luck by running a rigorous backtest on the system.

My question is this: Is there any software tools to aid me or do I need to program the backtesting engine from scratch? I would really need decent statistical features if possible.

Steidlmayer (Market Profile) has a couple of Software packages available but a few k each.

But as far as coding M/P in any of the softwares mentioned Ive never seen it done.

The only way I know of it to forward test---very tedious unless you have software and past data specifically for M/P.

and if discretionary rules can be programmed, does that mean they are then no longer truly discretionary?

Yup.

 

[PrudentInvestor]

Thanks for the tips. Maybe I should elaborate on the "discretionary" nature of the backtesting system some more:

A while ago I was playing with a rather simple Matlab script which could generate a dynamic replication of the past OHLC bars and the accompanying market profile. Upon a tradable instance, I would pause the script and have the software record a trade. I would then resume the simulation. This was like fast-forwarding the past price action if you will. What I realized then was that there was plenty of work to do to make that backtesting system somehow all-inclusive. I wonder if someone has done it already...?