[torero]

There are two methods you can do this: mechanically or manually. Mechanically means you write a small program with criteria (indicators, price action, etc) where if met, the signals will generate an entry and/or exit. Tradestation, Esignal, and several others offer this. Manually, when a system want to test out cannot be done via mechanical method (overly complex system or indicators that cannot be based on math etc), then you manually have to walk through historical data and mark entries/exits and calculate the results yourself.