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backtesting/trading platform for Price Action?


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backtesting/trading platform for Price Action?

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  #1 (permalink)
Thessaloniki
 
 
Posts: 29 since Jun 2010
Thanks: 4 given, 8 received

Hi

I am looking for a backtesting platform where I can program rules taken from Price Action. Something like:
If a SupportLine is Broken with great force, consider it as Resistance.
If price approaches with declining speed a support, then buy LONG (expect a bounce).

Is there anything like this out there? I would expect that slowly some vendors will develop tools like those, as more people trade with price action.

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  #3 (permalink)
charlotte nc
 
Experience: Master
Platform: ninjatrader
Broker: NinjaTrader
Trading: Emini (ES, YM, NQ, ect.)
 
Posts: 398 since Jan 2015
Thanks: 76 given, 1,081 received


If you can define the rules, then you can code it and test it with NinjaTrader.
You may also have a shot with other retail platforms that have simiulations / coding. Tradestation, Sierra, etc.

I would recommend downloading Ninja Trader, downloading some free market replay data, and hacking around with their strategy builder. It is a code-less tool for beginners. Once you get a little better you can take the training wheels off and get into the full power of C#.

I coded something in Ninjatrader with price action trading (PATS) specifically about 4 or 5 years ago for a friend, but the issue we ran into was that he couldn't define any hard rules. Everything was a rule of thumb based on loosely defined a chart pattern, and when it came time to program the hard parameters there was very little to go on.

So the answer to your query is that you can easily program this and test it. But translating a discretionary style of trading to hard coding parameters may be trickier than you suspect. Most discretionary traders struggle with hard rules, but here is what you will need.


1. You will have to quantify the exact thresholds of every entry point. (When this line crosses that line, do this.) Are there exceptions to this rule, are there multiple permutations of this type of entry, etc. Support and resistance have to be defined as exact price points, and this logic needs to be based on something you can quantify outside of a chart. For example take your data put it into an excel spreadsheet and work with just the price / volume history alone. Can you build rules with this? Because in code, there is no chart only the type of data you can access in something like excel. Start here to find your logic.
2. You will have to pick time frames and live with it. Your tick setting for your bar size for example, and if you use any moving averages what are they? You will have to know this. Here is the hard part.... depending on how volatile the market is, you may be too zoomed in or too zoomed out, so you will likely have to have some considerations for this.
3. Exits: When do you exit? Is it when this line crosses that line, a profit target of x ticks, a stop loss of y ticks, etc. Is this always just relative, or can you define this?
4. What are your order types: Always market orders, always limit orders, stop orders, etc... Are there special cases where you use some and not others. Do you trail at all? If so what are the rules.
5. Scaling logic: Is this all based on a single order, or do you use 1 runner, with 1 small position. How many orders is your max / min, etc.

You will need to know every single bit of this type of stuff before you can ever code it. In my case, my friend couldn't really explain his strategy in any level of detail so we abandoned trying it.

Hope this helps get you started thinking about what it takes.


Good Luck!

Ian

In the analytical world there is no such thing as art, there is only the science you know and the science you don't know. Characterizing the science you don't know as "art" is a fools game.
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  #4 (permalink)
Thessaloniki
 
 
Posts: 29 since Jun 2010
Thanks: 4 given, 8 received

Hi

Assume that I can precisely define the rules. I am already using Amibroker to build and backtest a strategy.

What I am asking is a platform with a programming language that provides the tools, the library, the commands to program Price Action rules easier than Amibroker.

I do not know C# but I can learn it. But since it is a general-purpose language, I doubt it will be more helpful than AFL (from Amibroker).

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  #5 (permalink)
charlotte nc
 
Experience: Master
Platform: ninjatrader
Broker: NinjaTrader
Trading: Emini (ES, YM, NQ, ect.)
 
Posts: 398 since Jan 2015
Thanks: 76 given, 1,081 received

Hi bgeorge,

If you are looking for tools that could accommodate price action trading, then I think NinjaTrader would be the best place to start. A lot of Price Action strategies are largely based on candle sticks, and NinjaTrader has built in candlestick recognition patterns. So anytime there is a hangman do x for example.

And even though it is C# and this is a generic PL, the Ninjatrader class library is huge. They have tons of their own indicators + there is huge developer community with 3rd part indicators and classes you could use.

And out of all the retail systems, Ninjatrader is one of the only ones you can download for free, get data for for free, and have basic no investment risk.

Ian


bgeorge View Post
Hi

Assume that I can precisely define the rules. I am already using Amibroker to build and backtest a strategy.

What I am asking is a platform with a programming language that provides the tools, the library, the commands to program Price Action rules easier than Amibroker.

I do not know C# but I can learn it. But since it is a general-purpose language, I doubt it will be more helpful than AFL (from Amibroker).


In the analytical world there is no such thing as art, there is only the science you know and the science you don't know. Characterizing the science you don't know as "art" is a fools game.
Visit my futures io Trade Journal Reply With Quote
 
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  #6 (permalink)
Thessaloniki
 
 
Posts: 29 since Jun 2010
Thanks: 4 given, 8 received

You got me interested and started researching it.

But I stumbled in too much bad criticism, like this:

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  #7 (permalink)
charlotte nc
 
Experience: Master
Platform: ninjatrader
Broker: NinjaTrader
Trading: Emini (ES, YM, NQ, ect.)
 
Posts: 398 since Jan 2015
Thanks: 76 given, 1,081 received

bgeorge,

You will definitely find criticism out there. Some of it is well founded, and other criticisms can be traced back to user errors. But one thing to keep in mind is that NT is up to their 12th release of version 8. So people complaining about technical issues back in 2014 - 2017 are really complaining about bugs from the beta release up to the 11th release. The vast majority of these have been addressed.

For the me, the tenth release was stable enough to trade live with. I have had no issues with it. Version 12 is the newest one and they have a ton of added functionality, but I as I don't use any of it, I haven't upgraded.

I would say, considering there is no risk but your time... Just download it and hack around a little bit. Other platforms may give you 10 -20 day trials but they ultimately will bill you monthly whether you are testing or trading live. NT is free to use for testing, SIM, research, and you only have to pay if you are going to trade live. Food for thought.

Best of luck either way!

Ian


bgeorge View Post
You got me interested and started researching it.

But I stumbled in too much bad criticism, like this:


In the analytical world there is no such thing as art, there is only the science you know and the science you don't know. Characterizing the science you don't know as "art" is a fools game.
Visit my futures io Trade Journal Reply With Quote


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