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Backtesting 3rd party indicator?
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Backtesting 3rd party indicator?

  #1 (permalink)
Elite Member
Kirkland, WA/United States
 
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LightWeight's Avatar
 
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Backtesting 3rd party indicator?

I have a third party indicator I lease, and I'm interested in backtesting it across various instruments and chart time frames (1 minute, 5 minute, etc.), as well as using various stops/targets for the entries when a signal is received to trade -- I'd like to determine which combination of those variables yield the most consistently profitable results, if any. Anyone know how I would go about doing this, or can anyone point me in a direction? I've never done backtesting before and wouldn't know where to begin, so far I've only been able to manually go back and look at charts to see where the signals were and then paper trade them to try and get an idea of performance, which needless to say is very time consuming. Also, because the indicator is third party I can't just give the criteria to a programmer and have them run it for me either, unfortunately.

Think big, think positive, never show any sign of weakness. Always go for the throat. Buy low, sell high. Fear? That's the other guy's problem. In this building, it's either kill or be killed. You make no friends in the pits and you take no prisoners. One minute you're up half a million in soybeans and the next, boom, your kids don't go to college and they've repossessed your Bentley. Are you with me?
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  #2 (permalink)
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You have to see if the 3rd party indicator exposes the correct data series via its API so backtesting code can be written to test it. Some indicator writers do this, some don't and just want you to use charts and not bother backtesting with their indicators, probably because it's crap.

You'll also need to learn how to write backtesting code in whatever trading platform the indicator uses, or hire someone that can.

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  #3 (permalink)
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shodson View Post
You have to see if the 3rd party indicator exposes the correct data series via its API so backtesting code can be written to test it. Some indicator writers do this, some don't and just want you to use charts and not bother backtesting with their indicators, probably because it's crap.

You'll also need to learn how to write backtesting code in whatever trading platform the indicator uses, or hire someone that can.

Thanks for the reply. The indicator uses Ninja, and I have no problem hiring someone to code it since I have no knowledge in that area. As for exposing the API, I'm not sure what that means...I'd have to assume they don't exactly want to give you the keys to the castle so to speak, since if you could easily reverse-engineer their indicator then there's no reason to keep paying them to lease it...then again, maybe they figure most people wouldn't go to the trouble in the first place. But ideally I'd like to be able to backtest the indicator with various scenarios and then automate if it I found one that worked well enough.

Think big, think positive, never show any sign of weakness. Always go for the throat. Buy low, sell high. Fear? That's the other guy's problem. In this building, it's either kill or be killed. You make no friends in the pits and you take no prisoners. One minute you're up half a million in soybeans and the next, boom, your kids don't go to college and they've repossessed your Bentley. Are you with me?
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  #4 (permalink)
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@LightWeight: To shorten the time for a valid answer you can drop the name of the indicator here because there is a high probability that someone else of the 50000 members has tried it before or know something about the accessibility of the indicator related value dataseries.

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  #5 (permalink)
 Vendor: www.probabletrades.com 
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LightWeight View Post
Thanks for the reply. The indicator uses Ninja, and I have no problem hiring someone to code it since I have no knowledge in that area. As for exposing the API, I'm not sure what that means...I'd have to assume they don't exactly want to give you the keys to the castle so to speak, since if you could easily reverse-engineer their indicator then there's no reason to keep paying them to lease it...then again, maybe they figure most people wouldn't go to the trouble in the first place. But ideally I'd like to be able to backtest the indicator with various scenarios and then automate if it I found one that worked well enough.

If you tell me which indicator it is, or give me a copy of it (PM or email), I can tell you if it's backtest-able or not. There's no way to know until someone that knows Ninjascript like me or many others on this forum take a look at it.

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