R vs NinjaTrader vs Others for strategy proof of concepts
i'm looking to develop some proof of concepts for trading systems. I was originally going to use NT but it looks like R might be easier to do the proof of concept work and maybe port to a platform after for execution.
Can you guys please recommend what the best platform for rapid strategy concept development is?
what are the limitations of R(and its popular packages)? eg can it do multi timeframe strategies?
2 things to note: i'm not planning on using R to run the strategy, just test theories. Also i'm very interested in machine learning.
I would start with what is more familiar to you - do you already know C#?. Have you programmed in R?
Don't be afraid to test various platforms but don't overthink the process. Saying this NT advantage is that it is already set up for you to do the work on strategy (connection, optimizer, etc). R/Python is on the other hand a better option for some algorithms like machine learning due to available libraries.
I have also had years of discretionary trading and some experience playing around with NT and CQG.
my flatmate is a professional oil trader and we want to work systemizing some of his firms strategies. some of the strategies use a combination of instruments, for example the spread of the front month WTI * the 12month calendar exchange traded spread contract of WTI to form a synthetic instrument and using a mean reversion strategy on that. (maybe hard to get your head around at first)
they use CQG as their platform which is terrible for developing strategies on, so i'm looking at backtesting strategies on something easy until i get it nailed down then convert it to a trading platform for execution.
Platforms for rapid strategy concept development are commercial platforms like NinjaTrader and MultiCharts (.NET). R is not quicker, especially when using it for execution. While I regularly use R for data analysis (unrelated to trading), the support with commercial platforms makes me prefer those for trading/testing ideas since it prevents having to re-invent the wheel and do timely debugging yourself.
The quickest way to test a strategy concept is probably be with MultiChart's PowerLanguage since it requires a minimal amount of code compared to the .NET platforms.
IQFeed offers spreads. @IQFeed James can help you with the specifics and setting up.
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