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Backtesting


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Backtesting

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  #1 (permalink)
Melbourne
 
 
Posts: 16 since Sep 2019
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How does one get started with backtesting?

Can you please provide your personal experience of starting from zero to becoming a comfortable, matured backtester?

Any books do you recommend?

Any existing links in this forum to learn from?

TIA!!

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  #3 (permalink)
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I started with MA crossover, at that point I thought I was a genius and no body had thought that particular MA cross over could give such a yield. It had astounding results. Then after failing in paper trading I went back and started testing indicators, one by one, started off with most common ones, like RSI, that made me richest man on paper in my country in 2 years of trading. Then I understood many things that many don't make it apparent.

I started with realist position sizing, stoplosses, trailing stop losses, entry, re-entry, downsizing, adding and even multiple parameters to enter. And guess what? That started to have some positive impact, not necessarily on my ability to develop strategy but giving me wider perspective about markets and tools we use to trade it. And I had realization that world is quite big.

Auto back testing should be also supported by bar replay and if possible couple of months into sim, I can't recommend any books as I've not read any on this topic but I did end up learning bunch of programing languages. Pine for trading-view, Formula language for Ami broker and little bit of python. Learning programming is not necessity for this though, I understand that there are many good tools available in western markets for the said purpose.

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  #4 (permalink)
Market Wizard
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You want to build and test algorithmic trading systems and strategies. Plenty of good trading books out there on the subject. Fitschen, Pardo, Tomasini all helped me in their own way.

Let Amazon be your friend. Try searching on Amazon for algorithmic trading books.

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Legendary Market Chamois
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sadago View Post
How does one get started with backtesting?

Can you please provide your personal experience of starting from zero to becoming a comfortable, matured backtester?

Any books do you recommend?

Any existing links in this forum to learn from?

TIA!!


kevinkdog View Post
You want to build and test algorithmic trading systems and strategies. Plenty of good trading books out there on the subject. Fitschen, Pardo, Tomasini all helped me in their own way.

Let Amazon be your friend. Try searching on Amazon for algorithmic trading books.


@kevinkdog has a wonderful trait called modesty ...... his book, which I have, is very good...find it here..... (he has others too)

Building Winning Algorithmic Trading Systems, + Website: A Trader's Journey From Data Mining to Monte Carlo Simulation to Live Trading (Wiley Trading)

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  #6 (permalink)
Market Wizard
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Blash View Post
@kevinkdog has a wonderful trait called modesty ...... his book, which I have, is very good...find it here..... (he has others too)

Building Winning Algorithmic Trading Systems, + Website: A Trader's Journey From Data Mining to Monte Carlo Simulation to Live Trading (Wiley Trading)

Ron


Me modest? Maybe...

I am just adhering to the forum rules.

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  #7 (permalink)
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Blash View Post
@kevinkdog has a wonderful trait called modesty ...... his book, which I have, is very good...find it here..... (he has others too)

Building Winning Algorithmic Trading Systems, + Website: A Trader's Journey From Data Mining to Monte Carlo Simulation to Live Trading (Wiley Trading)

Ron

Ron,
Thanks for your words on Ken. Even with Amazon search there is no way I would have linked Kevin J Davey with @kevinkdog !!

@kevinkdog your story and what you do currently is inspiring. I am reading your book now.

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  #8 (permalink)
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@Kevin and Blash

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  #9 (permalink)
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@Kevin and Blash,

I'm not an algo trader and am pretty happy with my performance as a discretionary swing trader.
Having said that I'm always looking to improve and increase my knowledge-would this book be any good for me or is it quite heavy on the algo stuff? More than happy to read about market structure until the cows come home but if it's a coders paradise then probably not for me

Happy trading!

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  #10 (permalink)
Market Wizard
Cleveland Ohio/United States
 
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Keab View Post
I'm not an algo trader and am pretty happy with my performance as a discretionary swing trader.
Having said that I'm always looking to improve and increase my knowledge-would this book be any good for me or is it quite heavy on the algo stuff? More than happy to read about market structure until the cows come home but if it's a coders paradise then probably not for me

Happy trading!

Forum rules prevent me from promoting my own work, so I can't really talk about it.

As with any trading book, I recommend you read the reviews at Amazon, and read any available excerpts. That should give you a good idea if a book is right for you.

Kevin

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