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Best Strategy Backtesting Software

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Many errors can occur when you back test your strategy. Postdictive error is one of them. It is vital to make sure that when you backtest a system that only information that is available in the past at that point in time is used in backtesting. With manual backtesting you can accomplish this quite easily, but with automated backtesting the postdictive error can sneak into your trading system.

 

There are more problems which trader can face during backtesting but it is hard for me to describe all of them in just a single post I will do it if needed.

No one strategy is best, no one is worst either. Its trader skill and experience, which make the worst into best and the best into worst.

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I wonder why you say avoid NeoTicker? It has a steep learning curve (some would say very steep) but it can do an awful lot of stuff Tradestation can't. The tick precise technology is particularly useful. Each to there own I guess. (Having said that I've not used it for years).

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Backtesting can be misleading:

 

For backtesting:

Avoid MT4.

Avoid Ninja.

Avoid Neoticker

Avoid Amibroker

Avoid MC .

TS - Is fine, if you know what you are doing.

 

Care to expand why to avoid everything but TS?

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TS from my experience seems to be terrible at backtesting. Only forward testing seems to provide a true picture of a system's performance, however, it's very time consuming and then when changes are needed, you have to forward test again. It's like constantly trying to hit a moving target travelling at the speed of light.

 

DaveDM

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TS from my experience seems to be terrible at backtesting. Only forward testing seems to provide a true picture of a system's performance, however, it's very time consuming and then when changes are needed, you have to forward test again. It's like constantly trying to hit a moving target travelling at the speed of light.

 

DaveDM

 

I am using TS 2000i and thought its backtesting is decent, but have not used any of the newer versions of TS. Why do you say it is terrible? Is it calculate results incorrectly, lacking features, or what? Can you provide a bit more detail what you find terrible about it?

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TS from my experience seems to be terrible at backtesting. Only forward testing seems to provide a true picture of a system's performance, however, it's very time consuming and then when changes are needed, you have to forward test again. It's like constantly trying to hit a moving target travelling at the speed of light.

DaveDM

 

 

Do you know another software that has more experience and more capabilities in backtesting than TradeStation?

 

 

LOL

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The problem here is not which software package. The issue is peoples' expectations from automation.

 

Markets continually change modes between vertical and horizontal activity. Without building something into a trading system that copes with this phenomenon, expectations will not be met as the forward testing data will most certainly be different to the backtested data on which the system was tuned.

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ts = very slow. does not take advantage of multicore.

also if it crashes say good bye to your results. no resuming.

 

i had this experience recently. i tested my start for 28 hours or so over 2 months on @ES with great results (28k for the two months). then it crashed. now i cannot get back to those results.

 

attached is the snapshot i was able to take. I was taking snapshots whenever i could but when it crashed i was at work so don t what happend after the above snapshot.

 

i tried multicharts which is able to take advantage of multicore but has a memory leak issues and also crashes eventually. they are both good for short term backtesting and/or limited inputs.

.

multicharts is highly recommended if 1. you have multicore cpu, a lot of memory, short time frame and a lot of parameters.

otherwise ts is good

 

this is just my experience and opinion good luck..

PS2.thumb.jpg.03d5bd56a7d3c78d5f27223dd4305bfb.jpg

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MultiCharts is very power in backtesting and optimization; it utilizes all the CPU cores available to the operating system.

 

Here's a screen shot of the TaskManager during one of my backtests.

 

10157d1239675263-backtesting-strategy-multicore.jpg

 

 

 

p.s. I have been using MultiCharts since 2006... never encountered memory leaks.

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Sorry for the delay in responding...

 

My problem with TradeStation are severalfold, and I admit it could be limitations on my part too, but here they are, as I see them...

 

- TS crashes and hangs a lot.

 

- Lots of data disconnects.

 

- Minor changes in system settings ie. switches, flags etc. that you setup for the way it tests or is supposed to calculate will completely throw off the results entirely and you never know if you have your system settings set properly. I'm refering to look inside back bar testing and intrabar order generation. It's quirky.

 

- It's great at coding up ideas relatively quickly and easily and getting an idea visually if things look good or not, don't get me wrong. I just think that after being in the market so long and as much experience as they have, they could make a more stable platform with better explaination of how the flags/settings affect results and how to configure for more accurate results.

 

- They could also explain simple concepts like "if your profit/loss per trade is under x number of dollars there's a good chance that the strategy won't work out".

 

- Depending on how well their data is coming through as well, I've had changes in backtesting results, this was really weird and caused major problems for me when coding.

 

Would I stop using TS? No, every product has their drawbacks. No system is perfect. It is expensive but has many good qualities, but definitely LOTS of room for improvement still after all these years.

 

Hope that makes sense.

 

BTW I think TS is great for coding indicators and such.

 

DaveDM

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Ninja Trader is good and free;)

 

 

Ninja Trader offers great support and a nice interface, however, I find that it uses a lot of resources....... the new version is supposed to reduce the use of resources.

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Does anyone know when the new NinjaTrader is due out?

 

A few months ago we talked to the management of both Ninja & Zen Fire about migrating all of our work from Trade Station to Ninja and after expending much time, effort and expense we decided no way for a lot of reasons starting with issues we had with the data and on to the immaturity of Ninja.

 

The only thing we found really attractive about Ninja was the price and we believe that it will take at least several more years before Ninja is ready for prime time users.

 

We have been using products from Bill Cruz and his brother since long before there was a Trade Station and longer than any other Trade Station customer. Of course there are issues with Trade Station and always will be but we still find it the best around and so do others:

 

tsawards.jpg

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Take a look at the videos of Investor/RT's backtesting capabilities on this page: Investor/RT - Video Library

 

From what I can see of Investor/RT is that it has long way to go and that I don't see the slightest hint of any feature that hasn't been in Trade Station for years plus I see many features in Trade Station that are not yet available in RT - Genetic Optimization routines and RT auto execution to name a couple - there are more.

 

Maybe in a few years it might catch up to where Trade Station is today but by then Trade Station wont still be where it is today.

 

Certainly, as a very long time user with over 4k indicators, functions, strategies and dll's that we have written for use in and around Easy Language we are very involved with the platform - But not so involved that we would hesitate to migrate if we thought the migration would add any significant value. Just a few months ago we took an in depth look at Ninja and found more problems than solutions for very little added value.

 

The only 2 issues we have with Trade Station are 1) the lack of granularity with their time stamp and 2) infrequent latency in the data. We have found ways around the time stamp issue and the latency issue is so small and so infrequent that it dosn't bother us.

Edited by UrmaBlume

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Genetic Optimization is available in Investor/RT (in the form of "express optimization") and auto-execution is available as well. The execution aspect is not a strength currently, but something that Linn Software is presently devoting a great deal of time to. Look for auto-execution to become a strength in the very near future (within a month or two).

 

In response to the OP, I guess it depends on what your needs are in regards to which is best. If you need execution, today, then I/RT probably is not the best for you. I think you'll find that it's much quicker/easier to code your system in Investor/RT using RTL than with "easy" language. For a taste of how easy RTL is, you can read through a tutorial I've been working on recently: RTL 101.

 

Just providing an alternative for the OP to look at.

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A few months ago we talked to the management of both Ninja & Zen Fire about migrating all of our work from Trade Station to Ninja and after expending much time, effort and expense we decided no way for a lot of reasons starting with issues we had with the data and on to the immaturity of Ninja.

 

The only thing we found really attractive about Ninja was the price and we believe that it will take at least several more years before Ninja is ready for prime time users.

 

We have been using products from Bill Cruz and his brother since long before there was a Trade Station and longer than any other Trade Station customer. Of course there are issues with Trade Station and always will be but we still find it the best around and so do others:

 

tsawards.jpg

 

The Cruz folks are also smart enough to know how to make money giving away bells and whistles for commissions to traders who can't make a dime with or without their product.

 

A much better business plan then risking capital like their customers.

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The Cruz folks are also smart enough to know how to make money giving away bells and whistles for commissions to traders who can't make a dime with or without their product.

 

A much better business plan then risking capital like their customers.

 

 

ZOSO,

 

Don't most of the customers at EVERY Brokerage lose money? Didn't they risk capital building Trade Station and their other ventures?

 

I don't understand your complaint/praise. Is it becasue they build good software, because some of their customers make money, because you can't make money using their software or just because you are feeling negative and not sure what about?

 

The Cruz brothers have built a substantial company with a very competitive platform that I, thousands of other customers, Barron's and "The Technical Analysis of Stocks and Commodities" find to be the best around. So what is it you are mad about?

 

tsawards.jpg

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