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Best Application for Backtesting?


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Best Application for Backtesting?

  #11 (permalink)
 waverider 
Brisbane Australia
 
Experience: Advanced
Platform: Ninja; Amibroker; TWS
Broker: Kinetick, IB
Trading: Stocks, Futures
Posts: 46 since Dec 2009
Thanks Given: 28
Thanks Received: 6

Appreciated all,

I don't know how to show the question as 'answered' on the home page ! ?

Cheers,

Started this thread Reply With Quote

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  #12 (permalink)
 
Big Mike's Avatar
 Big Mike 
Manta, Ecuador
Site Administrator
Developer
Swing Trader
 
Experience: Advanced
Platform: Custom solution
Broker: IBKR
Trading: Stocks & Futures
Frequency: Every few days
Duration: Weeks
Posts: 50,442 since Jun 2009
Thanks Given: 33,215
Thanks Received: 101,603


waverider View Post
Appreciated all,

I don't know how to show the question as 'answered' on the home page ! ?

Cheers,

Just go back and review the answers in this thread. At the top of each post, there is a blue graphic "If this post has answered your question, click Answer". Then click Answer on the posts that helped to answer your question.

Mike

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  #13 (permalink)
 
Fat Tails's Avatar
 Fat Tails 
Berlin, Europe
Market Wizard
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
Posts: 9,888 since Mar 2010
Thanks Given: 4,242
Thanks Received: 27,102


Just a few suggestions, although I am not an expert in backtesting.

Basic

- AmiBroker (low priced, portfolio backtesting, walk-forward analysis) -> https://www.amibroker.com/features.html
- MultiCharts (ask @ Big Mike)
- Neuroshell Trader -> Advanced Neural Network Software for Financial Forecasting and Stock Prediction, - TradeStation
- Trader's Studio (no tick data) -> TradersStudio > Home
- TradingBlox -> Trading Blox
- Wealth-Lab Developper Wealth-Lab.NET - Home

I am deliberately not including Neoticker and OpenQuant, as they are a too slow. Also not mentioning NinjaTrader and MetaStock on purpose.

Advanced (not tested yet)

- Math-Lab -> Trading With MATLAB, Algorithmic Trading with MATLAB for Financial Applications - Recorded Webinar
- Excel -> Technical analysis software add-ins for Microsoft Excel. Stock quotes, free stock quotes, historical quotes.
- R -> CRAN - Package backtest

- CQG/Math-Lab (integrated) -> CQG API and MATLAB FAQ
- ClariFI -> Factor Backtesting
- Mechanica -> Mechanica Software, Inc. Feature Comparison
- Power ST -> PowerST - Product Overview


Further information on backtesting

Forums - Deciding on a [AUTOLINK]Backtesting[/AUTOLINK] and Trading Platform
[COLOR=#800080]http://home.comcast.net/~countertrender/AI_for_the_Individual_Trader.pdf[/COLOR] (I think it is a promotional for Neuroshell Trader)

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  #14 (permalink)
 
Fat Tails's Avatar
 Fat Tails 
Berlin, Europe
Market Wizard
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
Posts: 9,888 since Mar 2010
Thanks Given: 4,242
Thanks Received: 27,102

Backtesting results v7 vs v6.5 - [AUTOLINK]NinjaTrader[/AUTOLINK] Support Forum

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  #15 (permalink)
 
Big Mike's Avatar
 Big Mike 
Manta, Ecuador
Site Administrator
Developer
Swing Trader
 
Experience: Advanced
Platform: Custom solution
Broker: IBKR
Trading: Stocks & Futures
Frequency: Every few days
Duration: Weeks
Posts: 50,442 since Jun 2009
Thanks Given: 33,215
Thanks Received: 101,603



Good luck getting an actual solution I love it when they quoted the famous link "backtest results are not the same as live trading" and ignored the question. Then they said the results are different because NT 7 had 27 more trades. LOL, yes, no joke -- how about an answer as to WHY nt 7 has 27 more trades, I am pretty certain that is what the OP is asking about 20 times now.

NT is desperately in need of a tiered support model, level 1 for beginners and newbies, level 2 for people that are clearly not beginners and were clearly not satisfied with the level 1 response, and level 3 for experienced users who clearly are reporting a bug or issue that warrants an actual answer, in the form of "That is now bug id # xxxx, click here to follow it in our bug tracker" or "here is how you solve that, if you disagree let me know". How hard is that?

On a side note, can you imagine actually having a public bug tracker? That would be completely amazing. I'm going to email Dennis @ MultiCharts and tell him he should implement that, for any company who has a competent engineering staff and support resources, the publicity of such a bug tracker should be a very positive thing in terms of marketing, loyalty, and customer satisfaction.

Mike

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  #16 (permalink)
 
Fat Tails's Avatar
 Fat Tails 
Berlin, Europe
Market Wizard
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
Posts: 9,888 since Mar 2010
Thanks Given: 4,242
Thanks Received: 27,102


Big Mike View Post
Good luck getting an actual solution I love it when they quoted the famous link "backtest results are not the same as live trading" and ignored the question. Then they said the results are different because NT 7 had 27 more trades. LOL, yes, no joke -- how about an answer as to WHY nt 7 has 27 more trades, I am pretty certain that is what the OP is asking about 20 times now.

NT is desperately in need of a tiered support model, level 1 for beginners and newbies, level 2 for people that are clearly not beginners and were clearly not satisfied with the level 1 response, and level 3 for experienced users who clearly are reporting a bug or issue that warrants an actual answer, in the form of "That is now bug id # xxxx, click here to follow it in our bug tracker" or "here is how you solve that, if you disagree let me know". How hard is that?

On a side note, can you imagine actually having a public bug tracker? That would be completely amazing. I'm going to email Dennis @ MultiCharts and tell him he should implement that, for any company who has a competent engineering staff and support resources, the publicity of such a bug tracker should be a very positive thing in terms of marketing, loyalty, and customer satisfaction.

Mike

The sad thing that we all know is that NinjaTrader has hundreds of small bugs. I am currently having problems with the following

- MergeBackAdjusted produces false daily bars on rollover date (logic flawed)
- Bars.GetSessionDate() may return a week with several Mondays (logic flawed)
- Bars.GetSessionBar() suffers from the same problem.
- PriorDayOHLC not working
- Charts shows false volume spikes when transiting from historical to real-time data (NT 6.5 and 7.0)
- NinjaTrader cannot read daily data of Interactive Brokers (depending on time zone).
- DrawRegion() drawing speech bubbles
- DrawRectangle() and other draw methods drawing onto the right margin of the chart
- Logic of some indicators flawed (division by Zero problem)
- Data not uploading correctly during the week-end, data being loaded repeatedly
- Session date for a session that close at 24:00 is the next day, daily bars are one day off
- Value of NinjaTrader pivot indicators cannot be exposed in DailyBars mode, returns value 0
- Outcommenting with /* */ does not work in the Properties Region (why?)
- Quite often, when trading, NinjaTrader displays an entry price 0, which compresses your chart with the charttrader
- Multiseries chart generally unworkable, many bugs

Although this belongs to another thread, there is one conclusion. Use Ninjatrader as a tool for order execution and charting? Yes. Use it for backtesting or running automated strategies? Never.

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  #17 (permalink)
 
Big Mike's Avatar
 Big Mike 
Manta, Ecuador
Site Administrator
Developer
Swing Trader
 
Experience: Advanced
Platform: Custom solution
Broker: IBKR
Trading: Stocks & Futures
Frequency: Every few days
Duration: Weeks
Posts: 50,442 since Jun 2009
Thanks Given: 33,215
Thanks Received: 101,603

BTW, I already received a favorable response from Dennis @ MultiCharts. Time will tell if they implement it, but I have about 1000x more confidence that they will, than that NinjaTrader will.

I'm sorry for turning this into an anti-NT thread. Anyone that has followed me for a long time knows I loved Ninja for a very long time, and you tend to get very passionate about something that you use 10-12 hours a day and that has a direct effect on your profit and loss statements .

NT7 pretty much ended that love relationship and turned into a hate relationship, and one day I woke up and said "why am I fighting this?". I am here to trade, and that is increasingly difficult with NT. So off to MultiCharts I went, and I am 100% confident in my decision even 8 months later, in fact I am more confident each passing day that I made the right choice.



Now we return to our regularly scheduled thread topic

Mike

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  #18 (permalink)
 
bizman70's Avatar
 bizman70 
toronto, ontario
 
Experience: Intermediate
Platform: ninja trader
Broker: sterling, iqfeed
Trading: es, nq, 6e
Posts: 363 since May 2010
Thanks Given: 41
Thanks Received: 140

whats are some of the thoughts in the form for the spo setups for getting proper parameters for strategies

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  #19 (permalink)
 bryantt 
asheville ,north carolina, united states
 
Experience: Intermediate
Platform: toher
Trading: futures
Posts: 4 since Oct 2010
Thanks Given: 0
Thanks Received: 1

I have been backtesting with tradersstudio for a few months. The platform is heavily focused on backtesting a portfolio of instruments and associated money management features. I chose this platform since portfolio testing is currently a limitation in tradestation. The customer service has been excellent.

I would appreciate any other comments and/or experiences with backtesting platforms that can perform portfolio testing. thanks!

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  #20 (permalink)
 waverider 
Brisbane Australia
 
Experience: Advanced
Platform: Ninja; Amibroker; TWS
Broker: Kinetick, IB
Trading: Stocks, Futures
Posts: 46 since Dec 2009
Thanks Given: 28
Thanks Received: 6



Fat Tails View Post
Just a few suggestions, although I am not an expert in backtesting.

Basic

- AmiBroker (low priced, portfolio backtesting, walk-forward analysis) -> AmiBroker - Features
- MultiCharts (ask @ Big Mike)
- Neuroshell Trader -> Advanced Neural Network Software for Financial Forecasting and Stock Prediction, - TradeStation
- Trader's Studio (no tick data) -> TradersStudio > Home
- TradingBlox -> Trading Blox
- Wealth-Lab Developper Wealth-Lab.NET - Home

I am deliberately not including Neoticker and OpenQuant, as they are a too slow. Also not mentioning NinjaTrader and MetaStock on purpose.

Advanced (not tested yet)

- Math-Lab -> Trading With MATLAB, Algorithmic Trading with MATLAB for Financial Applications - Recorded Webinar
- Excel -> Technical analysis software add-ins for Microsoft Excel. Stock quotes, free stock quotes, historical quotes.
- R -> CRAN - Package backtest

- CQG/Math-Lab (integrated) -> CQG API and MATLAB FAQ
- ClariFI -> Factor Backtesting
- Mechanica -> Mechanica Software, Inc. Feature Comparison
- Power ST -> PowerST - Product Overview


Further information on backtesting

Forums - Deciding on a [AUTOLINK]Backtesting[/AUTOLINK] and Trading Platform
[COLOR=#800080]http://home.comcast.net/~countertrender/AI_for_the_Individual_Trader.pdf[/COLOR] (I think it is a promotional for Neuroshell Trader)

Reviving an Old Post



MultiCharts and MultiCharts.NET Big Mike any chance you could comment on how MC performs with regard to back testing (and I'm also interested in Stock Scanning EOD)?

There seem to be surprising few up to date posts on various forums regarding the comparison of various products on the market today.

After a week of research I'm still leaning toward software that will enable me to code in C# rather than a proprietary language - so MultiCharts.NET an RightEdge are on the list. But I'm still open to all the options. With MC I could start with easy language and upgrade to their .NET version later - seems best of all worlds.

But I'm yet to find up to date reviews of MC.NET and particularly how it compares with the others for EOD Portfolio Back-Testing; Scanning; Data Management; etc. . .

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Last Updated on August 14, 2016


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