System development software

[Magnyz]

Hi, I'm new to the forum and I'm sure my question has been addressed many times but I would appreciate some feedback/references.

I am a fairly seasoned investor but have never developed any quantitative trading strategies (although I am not a stranger to programming). Now, I plan to start to explore this area. Since I do not plan to write my own software from scratch I wonder if somebody could suggest some software with a built-in language (with high-level functions in this area) which allows backtesting and running the system with realtime-data.

Thanks.

 

[tech/a]

Hi, I'm new to the forum and I'm sure my question has been addressed many times but I would appreciate some feedback/references.

I am a fairly seasoned investor but have never developed any quantitative trading strategies (although I am not a stranger to programming). Now, I plan to start to explore this area. Since I do not plan to write my own software from scratch I wonder if somebody could suggest some software with a built-in language (with high-level functions in this area) which allows backtesting and running the system with realtime-data.

Thanks.

There are quite a few.
but I would use a combination of either.

(1) R/T Metastock---Tradesim
(2) R/T Bullcharts---Tradesim
(3) Dont know if you can do R/T Amibroker but EOD couples with Tradesim.
Tradesim is the most powerful systems testing software i have found---but there are others like Wealthlab.

Plenty to google there for you.
I use Metastock/Tradesim combo only EOD.

 

[Magnyz]

Thanks tech/a. I will do some research on your suggestions.

 

[Pager]

Try Tradestation, its not cheap though about US$3000

I got mine on ebay as they often come up for sale there, and ive had no problems the past 4 years with it.

Great Software.

Heres a link to the standalone version.

http://www.tradestation2000i.com/

There is also a web based subscription version thats more current.

Cheers

Pager

 

[Magnyz]

I know about tradestation (and systemswriter) a little but maybe you can clear out some confusion that I have. It seems to me that the software is discontinued. They sell one version but it is not developed anymore. If this is the case I would hesitate to buy the software. They also seem to have another version available but then you have open a tradingaccount with them which I am not interested in. What is going on with this?

 

[Pager]

Hi Magnyz

You are correct 2000i was the last standalone version of TS and not updated anymore, but IMO its still far superior than most other software.

The online version from what I have read is available without becoming a client of Tradestation securities (I think?), its just costs a bit more per month.

As I posted above, I got mine on ebay for a alot less than it costs new, and it was money very well spent, my advice is get hold of a seconhand copy and get to grips with easylanguage and if you want the latest version with all the upgrades and new features, bells and whistles then subscribe to the online version, although IMO its no better.

2000i and earlier versions are still used and preferred by many professional traders.

Good luck

Pager

 

[nizar]

Probably a little off topic here, but has tech or others tried older versions of Metastock (8,9) with Windows Vista?
Any dramas or all good?

 

[tech/a]

nizar.

Thats a good point.

I still use 7.2 with tradesim and had all sorts of trouble with XP. However XP has the ability through properties to run windows 2000 or 98. I ran on 2000 and all was/is well.

I'm just setting up Aget and Tradeguider on a suite and had the opportunity of running vista but have chosen XP so I can have the ability to run the older Windows versions.

Vista doesnt have this capability.

 

[nizar]

Picked up Metastock V9 EOD on ebay for au$350 yesterday.
Next step; TradeSim

 

[stevo]

Magnyz
Amibroker - www.amibroker.com is worth a look.

I am not into "real time" but they do have a real time version. I have used both Amibroker and Metastock and prefer Amibroker, although my Metastock version is quite old.

 

[Strw23]

Nizar - As far as I know only Metastock V10 will work on Vista, the older versions will not.

Metastock V9 EOD - It is good program but limited and expensive compared to some of the others. Requires Tradesim for proper backtesting.
Amibroker is excellent - Good backtesting reports, and half the price of Metastock. If money is short I would recomend this one.
Wealthlab - I think this is the best but hardest to learn. Does all its own backtesting but can also be teamed up with Tradesim for better reporting.
Tradesim - Must have if using metastock. Can also be teamed up with Wealthlab. If you decide to get tradesim I would buy the enterprise edition(does monte-carlo testing)

I have all the above mentioned software but use Metastock V9 EOD because it was the first program I got and spent all my time learning how to use it. I will learn the others one day. If I had my time again I would choose Wealthlab.

I hope this was of some use.

Scott

 

[MichaelD]

Nizar,

I've been meaning to ask you - what has prompted you to explore longer term strategies?

 

[nizar]

Nizar,

I've been meaning to ask you - what has prompted you to explore longer term strategies?

Michael - For a few reasons.

I've found out the hard way that end of day stops are better than intraday stops. ie. less drawdown and whipsawing.

For some reason or another, i never used to think you can make big money trading weekly or end of day, but after doing some reading, and having a look at Stevo's blog, that perception has changed.

Another reason is that Im not gonna be a Uni student with this much time on my hands forever. Once i start working fulltime a couple of hours a nite or perhaps just on the weekend is all the time i would have to dedicate to my system (and i think this is enough if you have the right system).

Also a lifestyle choice. Even by using an end of day stop the last month or so my stress levels have improved ie. not worrying about if im stopped out while im out of the house (God im such an amateur i know - LOL).

I understand now riding longer term trends is where the big money is made, NOT in trading it every step of the way.

I really like the idea of systems trading because it can run in the background while you do other things with your life. There is no need to analyse charts or fundamentals accept maybe briefly to pick which one to enter when you have more entry signals than capital allows. But you can take comfort in the fact that whichever one you pick, it matters little in the long term (if monte carlo shows 100% profitability with narrow spreads between profits and drawdowns).

I realise now its all about reaching the maximum profit with a level of drawdown you're willing to accept.

 

[nizar]

Nizar - As far as I know only Metastock V10 will work on Vista, the older versions will not.

Metastock V9 EOD - It is good program but limited and expensive compared to some of the others. Requires Tradesim for proper backtesting.
Amibroker is excellent - Good backtesting reports, and half the price of Metastock. If money is short I would recomend this one.
Wealthlab - I think this is the best but hardest to learn. Does all its own backtesting but can also be teamed up with Tradesim for better reporting.
Tradesim - Must have if using metastock. Can also be teamed up with Wealthlab. If you decide to get tradesim I would buy the enterprise edition(does monte-carlo testing)

I have all the above mentioned software but use Metastock V9 EOD because it was the first program I got and spent all my time learning how to use it. I will learn the others one day. If I had my time again I would choose Wealthlab.

I hope this was of some use.

Scott

Scott - Yeh I've already for the Metastock V9 EOD so will stick with this, I figured even if I got amibroker I would still need to get Tradesim (for me monte carlo analysis is a NEED for systems development, or else I could never have confidence in my system).

 

[MichaelD]

(God im such an amateur i know - LOL).

I realise now its all about reaching the maximum profit with a level of drawdown you're willing to accept.

Nizar - I'm impressed. You have travelled far in a short space of time during market conditions when most will not have travelled at all.

What do you feel is the most important aspect of trading?

 

[nizar]

Nizar - I'm impressed. You have travelled far in a short space of time during market conditions when most will not have travelled at all.

What do you feel is the most important aspect of trading?

Thanks Michael.
The most important aspect of trading for me is psychology in sticking to the plan.

The hardest part is after you've identified stocks that meet your entry criteria and you take a position. Then you just sit and wait (for a stop or exit). In the meantime you have stocks like HDN and NIA and your WMTs that really tempt you, but you cant just sell something and jump on. You have to just be patient - and stick to the plan. Coz once you deviate from your plan, you're no longer trading your system.

One way to somewhat avoid this is have some (small) portion of your capital that you can use to trade in a discretionary manner. Just for some fun and extra income.

 

[CanOz]

Thanks Michael.
The most important aspect of trading for me is psychology in sticking to the plan.

The hardest part is after you've identified stocks that meet your entry criteria and you take a position. Then you just sit and wait (for a stop or exit). In the meantime you have stocks like HDN and NIA and your WMTs that really tempt you, but you cant just sell something and jump on. You have to just be patient - and stick to the plan. Coz once you deviate from your plan, you're no longer trading your system.

One way to somewhat avoid this is have some (small) portion of your capital that you can use to trade in a discretionary manner. Just for some fun and extra income.

Interesting Nizar, i am keen to know how you go with your system development. I feel that the only way i can trade with the time i have available would be to spend my time developing a robust system with a good expectancy then apply good money management to it.

The book i am reading at the moment suggests that when you reach the point of being in control of your emotions, trading is no longer 'fun' as its just like work, or a business, hence 'mechanical' too in that you just take the signals and execute your plan. I wonder if the more experienced 'mechanistic traders still consider it fun?

Also, you've got metastock now so how do you find the programming side? I'm leaning towards Amibroker with what everyone has commented.

Etrade with Iress is ok for discertionary trading, but theres no backtesting and you can't write code for it. IG markets, fine to execute the trades and or trade descretionary but not a platform for system development obviously.

Also curious how long it took some to develop and test thier systems before they actually started taking signals from it.

PS. those that trade long term trend following systems, do you have another system developed to swing trade? When, if you have one, do you start using that system? Do you waiting until the performance of the trend following system weakens or do you use a system stop? Do you watch the general indices, in cases like the current one, to see if the trend will resume or begin a new phase?



Cheers,

 

[tech/a]

Nizar.

Id certainly be placing a short side in your systems developement.

You'll find it has its own characteristics quite different to trading the longside.

Dont fall for the trap of attempting to trade short long exit signals.

 

[MichaelD]

The hardest part is after you've identified stocks that meet your entry criteria and you take a position. Then you just sit and wait (for a stop or exit).

The book i am reading at the moment suggests that when you reach the point of being in control of your emotions, trading is no longer 'fun' as its just like work, or a business, hence 'mechanical' too in that you just take the signals and execute your plan. I wonder if the more experienced 'mechanistic traders still consider it fun?

There is much here about successful trading. As a more-or-less die-hard mechanistic trader, I get quite concerned when my actual trading stops being routine and starts becoming entertaining/starts invoking emotions in me - invariably this means a significant drawdown is imminent. Entertaining trading is gambling.

For me, I find the greatest pleasure of trading to be watching a well-developed trading plan prove itself on the market. Actually executing the plan is a relatively minor aspect of my engagement of the market.

Fortunately, this mindset results in profitable trading.

 

[nizar]

The book i am reading at the moment suggests that when you reach the point of being in control of your emotions, trading is no longer 'fun' as its just like work, or a business, hence 'mechanical' too in that you just take the signals and execute your plan. I wonder if the more experienced 'mechanistic traders still consider it fun?

No, though this question is asked of mechanical traders all the time, they answer that they arent in the market to have fun, they're in it to win.

Another example is that professional traders focus on the trading and not on the profits. If they trade well - according to their tested and proven system - then the profits will come. The best traders make the most money, just like how the best doctors make the most money, and the best lawyers make the most money. Though their primary focus is not on the money, but on doing their job well.

PS. those that trade long term trend following systems, do you have another system developed to swing trade? When, if you have one, do you start using that system? Do you waiting until the performance of the trend following system weakens or do you use a system stop? Do you watch the general indices, in cases like the current one, to see if the trend will resume or begin a new phase?

Not sure what you mean by waiting for the performance of the system to weaken. If you system has been well designed and thoroughly tested by monte carlo analysis, then there should be no suprises, everything is known in terms of what to expect (ie. average profit/drawdown, minimum profit/drawdown, maximum profit/drawdown). But if your system starts pulling out numbers that were NOT expected, then, as tech/a once said, you are trading BLIND, and can no longer have confidence in your system, because this indicates that market conditions now are different then those endured during backtesting, so in this case you would probably exit all positions, well, i would.

Im not going to look at what the market is doing at all, i dont think its relevant unless im trading indices, but of course i will test this hypothesis during system development.