Choosing a backtesting & automated trading platform - Platforms and Indicators | futures io social day trading
futures io futures trading


Choosing a backtesting & automated trading platform
Updated: Views / Replies:2,322 / 8
Created: by imPairsonator Attachments:0

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 
Thread Tools Search this Thread
 

Choosing a backtesting & automated trading platform

  #1 (permalink)
Elite Member
Thessaloniki, Greece
 
Futures Experience: Beginner
Platform: QTS
Broker/Data: IB
Favorite Futures: Equities, NQ
 
Posts: 165 since May 2012
Thanks: 104 given, 385 received

Choosing a backtesting & automated trading platform

Hello everybody, first post by a long-time lurker...

I'm looking to invest in a piece of backtesting & automated trading software, but I'm having trouble finding something that will fit my (admittedly rather steep) criteria... I want to implement strategies ranging from rotational systems, to statistical arbitrage, to standard TA-based systems. And backtest all of them in conjunction with eachother with risk/money/portfolio management overlays on top.

In short, here's what I'm looking for:
  • First of all, multi-instrument multi-strategy portfolio-level strategy backtesting and trading.
  • Dynamic enabling/disabling of strategies and allocation of capital to specific strategies or even strategy/symbol combinations based on: relative (to other strategies) and absolute recent strategy and strategy/symbol combo performance and risk metrics, market conditions, strategy return correlations, etc.
  • Keep track of theoretical returns to disabled strategies. For example if a previously disabled strategy returns to profitability I want to be able to turn it on again automatically.
  • Dynamic strategy prioritization, i.e. I have a dozen strategies running on a single instrument and two of them give conflicting signals. Depending on market conditions or strategy performance I may want to prioritize either one (or possibly even combine them).
  • Backtesting with walk-forward optimization.
  • Analytics for every level: portfolio-wide, strategy-specific, instrument-specific, strategy/instrument combo-specific, even custom groupings.
  • Powerful programing capabilities; easylanguage won't cut it.

Some of the institutional-level platforms seem to fit the bill (flextrade, tethys execta, quantfactory) but I am nowhere near being able to afford them.

On the cheaper side after a lot of googling and forum-reading I have found several solutions, none of them really good enough:
  • Tradingblox is, I think, the closest I can get but it lacks the automated trading bit (which is a gigantic minus) and it's unclear how powerful its money management/portfolio management is.
  • Tradersstudio pro looks interesting and seems to cover a lot of the features I'm looking for, but their website looks a decade old and their forums are dead which is never a good sign; also no automated trading. A less polished (and far cheaper) tradingblox basically.
  • WLD comes somewhat close but the position sizer is rather limited and it lacks a bunch of features I need.
  • Amibroker also seems to hit some of the points but not all, and the language appears to be somewhat...esoteric.

So what do you use and what would you recommend? Can I wrangle any of the retail platforms into doing something close to what I want or should I just write my own?

If I were to write my own I'd want to only generate signals from it and then use another platform for charting and orders. What would you recommend in this case?

Reply With Quote
 
  #2 (permalink)
Quick Summary
Quick Summary Post

Quick Summary is created and edited by users like you... Add FAQ's, Links and other Relevant Information by clicking the edit button in the lower right hand corner of this message.

 
  #3 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,238 since Jun 2009
Thanks: 29,350 given, 83,218 received


I would use Matlab in conjunction with an execution platform, but do all the analysis and testing in Matlab. This is really the only way to have such control over everything.

Otherwise you should consider using multiple platforms to get what you need.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
 
  #4 (permalink)
Elite Member
Paris, France
 
Futures Experience: Advanced
Platform: Amibroker
Favorite Futures: Futures, Stocks
 
Posts: 96 since Jun 2011
Thanks: 118 given, 102 received

You can do all that in Matlab, R or Amibroker.

These 3 platforms connect easily to IB but it requires some strong coding skills to automate the systems.

Reply With Quote
 
  #5 (permalink)
Elite Member
Thessaloniki, Greece
 
Futures Experience: Beginner
Platform: QTS
Broker/Data: IB
Favorite Futures: Equities, NQ
 
Posts: 165 since May 2012
Thanks: 104 given, 385 received

Thanks for the advice.

While I love matlab, I really don't think it's the appropriate tool for all of this. Among its many problems are speed (whenever you need a loop), the pain of managing financial time series data and keeping it synchronized across instruments, lack of stability...the list goes on.

I'm probably going to go with a matlab-MC (the upcoming .net version is promising) combo. There is no real reason to change portfolio-level parameters (except in exceptional cases I suppose) intraday for my strats, so I can simply export data and perform my analyses after markets close, then change parameters back in MC as necessary. With MC .net I imagine it will be trivial to call up the matlab engine if it's needed anyway.

Backtest-wise i can just export both the equity curves and the trades to excel, and then they're a copy-paste away from matlab...after that things should be (relatively) easy. This leaves me without all the build-in analysis tools of a purpose-made backtesting tool, but naturally most of that stuff can be replicated with ease in matlab.

Reply With Quote
 
  #6 (permalink)
Elite Member
NC, USA
 
Futures Experience: None
Platform: None Yet
Favorite Futures: Guitar
 
MrYou's Avatar
 
Posts: 403 since Jun 2011
Thanks: 618 given, 193 received

Maybe AlgoTrader can be a start for you?

Reply With Quote
 
  #7 (permalink)
Elite Member
HK, Hong Kong
 
Futures Experience: Advanced
Platform: Multicharts
Favorite Futures: ES, CL, FX, Bonds
 
Posts: 4 since Jun 2012
Thanks: 1 given, 1 received

So, did you go with MATLAB+MC combination finally? How has been the experience so far? I am interested to hear what you have to speak on this topic. Also, what is the cost for owning the softwares you mentioned viz. flextrade, tethys execta, quantfactory? Thanks.


imPairsonator View Post
Thanks for the advice.

While I love matlab, I really don't think it's the appropriate tool for all of this. Among its many problems are speed (whenever you need a loop), the pain of managing financial time series data and keeping it synchronized across instruments, lack of stability...the list goes on.

I'm probably going to go with a matlab-MC (the upcoming .net version is promising) combo. There is no real reason to change portfolio-level parameters (except in exceptional cases I suppose) intraday for my strats, so I can simply export data and perform my analyses after markets close, then change parameters back in MC as necessary. With MC .net I imagine it will be trivial to call up the matlab engine if it's needed anyway.

Backtest-wise i can just export both the equity curves and the trades to excel, and then they're a copy-paste away from matlab...after that things should be (relatively) easy. This leaves me without all the build-in analysis tools of a purpose-made backtesting tool, but naturally most of that stuff can be replicated with ease in matlab.


Reply With Quote
 
  #8 (permalink)
Elite Member
Thessaloniki, Greece
 
Futures Experience: Beginner
Platform: QTS
Broker/Data: IB
Favorite Futures: Equities, NQ
 
Posts: 165 since May 2012
Thanks: 104 given, 385 received


Rajiv View Post
So, did you go with MATLAB+MC combination finally? How has been the experience so far? I am interested to hear what you have to speak on this topic. Also, what is the cost for owning the softwares you mentioned viz. flextrade, tethys execta, quantfactory? Thanks.

I never even bothered getting a quote for those, they're targeted towards institutional investors...far out of my league.

The MATLAB + MC combination is a bit of a pain in the ass, but adequate (for now). I'm switching to MC .NET soon which should make things a bit easier.

I haven't really gotten to the live implementation stage, so I'm sure I haven't encountered all the obstacles yet. I'm still really just setting things up, writing utilities needed to turn MATLAB into a useful testing and portfolio management platform, from data handling to various backtesting tools, to risk management, to results reporting, etc... It's going to take a while.

Reply With Quote
The following 2 users say Thank You to imPairsonator for this post:
 
  #9 (permalink)
Elite Member
near Paris, France
 
Futures Experience: Beginner
Platform: -
Favorite Futures: -
 
Nicolas11's Avatar
 
Posts: 1,070 since Aug 2011
Thanks: 2,232 given, 1,729 received

Hi,

You probably know, but Ernst P. Chan, author of Quantitative Trading, use MATLAB + broker's API.
His blog: Quantitative Trading

Nicolas

Reply With Quote
The following user says Thank You to Nicolas11 for this post:

Reply



futures io > > > Choosing a backtesting & automated trading platform

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Linda Bradford Raschke: Reading The Tape

Elite only

Adam Grimes: TBA

Elite only

NinjaTrader: TBA

January

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
platform for automated "orderflow" trading? haudimal Platforms and Indicators 6 May 14th, 2012 10:38 PM
Best platform for Backtesting own CSV files FAUGH45568 Platforms and Indicators 26 July 21st, 2011 07:20 AM
Platform for Backtesting and Analytics sgtrader NinjaTrader 9 February 24th, 2011 03:01 PM
Collaborators wanted for automated trading R&D project GoldStandard The Elite Circle 3 January 13th, 2011 02:18 PM
Excelsior - automated trading platform shodson Platforms and Indicators 6 August 24th, 2010 04:59 PM


All times are GMT -4. The time now is 09:06 PM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-12-11 in 0.13 seconds with 19 queries on phoenix via your IP 54.83.122.227