Best software for backtesting - HELP!

[Sir Osisofliver]

Hi All,

Wondering for those of you who backtest regularly, what the best software you've used is?

See I've got a little bit of an issue at the moment that none of the software I have been looking at (and I haven't looked at an exhaustive list I simply don't have the time) will allow me to define my own investment criteria. They all seem to provide a list of criteria that you can filter with and run backtesting over a period of time, but none of them seem to let me define my own criteria.

Now before you ask, of course I'm not going to give away what this specific criteria or the mathmatical formulae is. I want to find out how well it works and get maximum benefit out of it before some scalper cottons on and degrades my return. It's just frustrating as hell not being able to put it into practice. At present I can partially test by using data downloaded into Excel, But the moment I try and backtest over a longer period Excel craps out.

I can get part of the way there, but still end up with a large list I have to manually go through trade by trade and eliminate from the backtesting.

So guys and girls, check your software and tell me if anyone can define their own criteria

Cheers

Sir O

 

[stu192]

Hi,

I only have metastock and found it limiting in trying to backtest (allows some flexibility through the coding...but not great). So I decided to give up on software packages.

I ended up not using any software and just wrote programs myself (in pearl) to backtest. Using metastock I just exported the data as ascii files and then used these as input to the program. Can then define any criteria that you like in the code.

Obviously this method is not for everyone!

Stu

 

[lukeaye]

tell me the formula, and ill tell you where you can write it

 

[Timmy]

More suggestions:

Amibroker

Metastock+TradeSim (I know Metastock already referred to, but the addition of TradeSim enhances its backtesting usefulness)

 

[Sir Osisofliver]

tell me the formula, and ill tell you where you can write it

Sure Luke the formulae is

(Y1*E1)*(A1-H1)=(R3*I5)/G2|H3-T15= $$$$


Sir O

 

[lukeaye]

Sure Luke the formulae is

(Y1*E1)*(A1-H1)=(R3*I5)/G2|H3-T15= $$$$


Sir O

hahaha thanks. yeah id say amibroker is your best bet. If you know the language then good luck to you! im still learning it.

 

[inenigma]

Sure Luke the formulae is

(Y1*E1)*(A1-H1)=(R3*I5)/G2|H3-T15= $$$$


Sir O

You could always try the standard failsafe...

(Y1*E1)*(A1-H1)=(R3*I5)/G2|H3-T15= $$$$

 

[Temjin]

Hi All,

Wondering for those of you who backtest regularly, what the best software you've used is?

See I've got a little bit of an issue at the moment that none of the software I have been looking at (and I haven't looked at an exhaustive list I simply don't have the time) will allow me to define my own investment criteria. They all seem to provide a list of criteria that you can filter with and run backtesting over a period of time, but none of them seem to let me define my own criteria.

Now before you ask, of course I'm not going to give away what this specific criteria or the mathmatical formulae is. I want to find out how well it works and get maximum benefit out of it before some scalper cottons on and degrades my return. It's just frustrating as hell not being able to put it into practice. At present I can partially test by using data downloaded into Excel, But the moment I try and backtest over a longer period Excel craps out.

I can get part of the way there, but still end up with a large list I have to manually go through trade by trade and eliminate from the backtesting.

So guys and girls, check your software and tell me if anyone can define their own criteria

Cheers

Sir O

Seriously, it depends on what kind of market you are trading, which broker you are likely to use and "stay" with, what data source you use, and what other features you require. (e.g. automation, monte carlo simulation, etc) Ohh, and not to mention which programming language you are proficient in.

Amibroker, as Timmy suggested, does the job pretty well at a relatively low cost.

There are tons of other softwares that does the same thing. It is a matter of finding one that is compatible with you and especially with your data source.

Check out http://www.elitetrader.com/so/ and see a list of softwares that people use there.

 

[Sir Osisofliver]

Seriously, it depends on what kind of market you are trading, which broker you are likely to use and "stay" with, what data source you use, and what other features you require. (e.g. automation, monte carlo simulation, etc) Ohh, and not to mention which programming language you are proficient in.

Amibroker, as Timmy suggested, does the job pretty well at a relatively low cost.

There are tons of other softwares that does the same thing. It is a matter of finding one that is compatible with you and especially with your data source.

Check out http://www.elitetrader.com/so/ and see a list of softwares that people use there.

Temjin - I work in the industry remember. I AM a broker so the broker I'm likely to use is ME .

Data source is IRESS feed or a Paritech Feed.

Other features? Actually I just need a really good back and forward testing ability and the programs I currently have don't let me do what I want. Everything else there is already a program/process staff member who does it.

Proficient in Programming language? Um how about when I was learning language on computers, the screens were about 6 inches and had two color palette. Sir O needs to learn the language from scratch.

I'll check out Elite Trader - thanks

Sir O

 

[Temjin]

Temjin - I work in the industry remember. I AM a broker so the broker I'm likely to use is ME .

Data source is IRESS feed or a Paritech Feed.

Other features? Actually I just need a really good back and forward testing ability and the programs I currently have don't let me do what I want. Everything else there is already a program/process staff member who does it.

Proficient in Programming language? Um how about when I was learning language on computers, the screens were about 6 inches and had two color palette. Sir O needs to learn the language from scratch.

I'll check out Elite Trader - thanks

Sir O

Sorry, I didn't realise that.

I'm not quite familiar with both of your data source.

Actually, I was a bit confused with your requirement. I forgot to realise you have no need for real time data for your "back testing" software as you are trading on a separate platform (which you say all handled by your program/staff members). This is unlike my where both the trading interface and back testing/forward testing function are included in one single software.

If so, then there are a number of softwares that could meet your requirement. Amibroker, TradeSim, Trading Blox and Wealth-Lab Developer comes into mind. All allows optimisation, back testing, forward testing and monte carlo simulation, etc.

 

[energetic]

I think you can try ninjatrader.