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Platform for Backtesting and Analytics


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Platform for Backtesting and Analytics

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  #1 (permalink)
Ruskin, FL
 
 
Posts: 6 since Feb 2011
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Hi All,

I'm looking for a new platform to do backtesting, analytics, and auto trading. I realize that there are several related posts, but I don't think there's been sufficient recent discussion and information on existing platforms. The current list of packages that are frequently discussed include:
Multicharts
Sierracharts
Neoticker
Ninja

( Amibroker and Investor RT have been excluded on purpose.)

If anyone else can suggest alternatives, please do so. In terms of desired characteristics (from my perspective), the ideal platform:
  • Fast (64-bit, multi-threaded, etc) ,Stable, Flexible.
  • Provide access to data and interfaces to/from external systems.
  • Support for all instruments - equities, futures, options, FX, etc.
  • Strong support for portfolio strategies including risk management and money management features.
  • Support for multi-time frame, multi-instrument type within the same strategy or portfolio.
  • Strategy/Portfolio Optimization including ability to introduce custom optimization methods.
  • Strong Support for execution of strategies via auto-trading mechanism.
  • Real Time scanning for custom indicators/strategies.

From what I've read or experienced myself, I've come up with the following pros/cons:

Multicharts

Pros - seems stable, fast (not 64-bit, but was told coming soon, enhanced on a regular basis, strong support for custom strategies, indicators, real time scanner

Cons - no access to database, not strong support for auto-trading of portfolios, interfacing may be possible, but not easy.

Ninja Trader (based on comments)

Pros - highly customizable via C#, good charting and DOM features
Cons - unstable, unstable, unstable and not great support for portfolio strategies and optimization

Sierra Chart (based on comments)

pro - stable, fast, highly customizable
cons - not strong support for backtesting, portfolio strategies, and optimization

I would greatly appreciate any other comments or input on these platforms or others that meet the above requirements.

Thanks,

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  #3 (permalink)
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I looked at NeoTicker before I settled on MultiCharts and am very pleased with that decision. A big part in that decision was me reviewing the two companies discussion forums and comparing them... I suggest you do the same.

MultiCharts does not "need" 64-bit really. Well, I've tested several years of tick data and never ran into an out of memory exception. If you try to do many, many years then sure, 64-bit would be nice.

NinjaTrader added 64-bit mainly for the backtesting reason. But really when they went from 6.5 to 7.0, they made so many changes that you still probably don't "need" it even for large tick based backtests.

I can't comment on Sierra Chart as I've never tried or even looked for 1 sec at its backtesting capabilities. But I have looked at NT vs MC and made a video on my very early findings. One day I will revisit this with an update, when I have some "free time" LOL!! Here is the video:



I like MultiCharts personally. Not just from the viewpoint of the platform functionality, but from a technical/engineering standpoint with how they handle bugs and introduce new features. But you will find strengths and weaknesses of all the platforms, which is why I suggest you may need to accept the reality that you need more than 1 platform to accomplish all of your goals.

In all cases, you can get free trials and see for yourself.

Mike

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  #4 (permalink)
Ruskin, FL
 
 
Posts: 6 since Feb 2011
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I watched the video the other day. I was already leaning towards Multicharts (at least over Ninja. I like the feel of Multicharts as well. I just wish there was better access to the data other than exporting to ASCII. I'm trying to avoid building multiple databases of the same data.

I'm curious as to why people don't choose/like Neoticker. It seems to offer a lot of features and flexibility. I don't like the visual design as much as Multicharts, but it does offer many features that others don't seem to support.

I've seen a few other platforms that seem to be more institutional - deltixlab, apama, and a few others. There's also OpenQuant /Visualquant, but it doesn't seem Smartquant puts much effort into these products. They always seem like betas.

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  #5 (permalink)
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DeltixLab seems a really interesting platform, is a bit that i would like to try it, but it also looks like quite expensive, and also needs a proper (also expensive) datafeeder to use and enjoy all the functionalities.

Take your Pips, go out and Live.
Luke.
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  #6 (permalink)
NYC
 
 
Posts: 187 since Dec 2010

Best advice I think is to not waste your demo periods. Don't install neoticker, open it one time then let it sit until the demo is out.
Put it in your head you are going to try them all, really try them. Then when you install one really test it out and forget the others for the time being.
This isn't a question that can be answered on a message board, you really do have to try them all until you settle on one because it is so highly personalized and individual.

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  #7 (permalink)
Ruskin, FL
 
 
Posts: 6 since Feb 2011
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In theory, I agree. However, all of these platforms have significant learning curves and I won't really know until I convert one of my systems. For MC, I'll need to learn easy/power language. For Neoticker, initially the formula language and it sounds like it's better to code more complex systems in a standard programming language.

In the meantime, it's good to hear other peoples experiences. I'm trying to narrow the short list to 2. Also, some things such as product support, stability, rate of enhancements, etc aren't as obvious.

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  #8 (permalink)
Ruskin, FL
 
 
Posts: 6 since Feb 2011
Thanks: 3 given, 0 received


LukeGeniol View Post
DeltixLab seems a really interesting platform, is a bit that i would like to try it, but it also looks like quite expensive, and also needs a proper (also expensive) datafeeder to use and enjoy all the functionalities.

I checked with the company. It is very expensive...

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  #9 (permalink)
NYC
 
 
Posts: 187 since Dec 2010

I think if you search older stuff on the web things are not so much different now. Ninja has put the squeeze on with giving so much away for free that no one has come in to what was already a crowded market place. Anything new will probably be like deltix and priced above retail trading.
You could also consider one of the retail programs plus VBA/excel or R.

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  #10 (permalink)
Ruskin, FL
 
 
Posts: 6 since Feb 2011
Thanks: 3 given, 0 received



dutchbookmaker View Post
I think if you search older stuff on the web things are not so much different now. Ninja has put the squeeze on with giving so much away for free that no one has come in to what was already a crowded market place. Anything new will probably be like deltix and priced above retail trading.
You could also consider one of the retail programs plus VBA/excel or R.

It seems as that's the best option for now. I just need to figure out which application will suite my needs the best. I'm leaning towards Neoticker/Multicharts plus R

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