Alternative to TradeStation for back testing?

[JumpOff]

I'm a beginner.
I was about to sign up with the folks at http://www.tradestation.com so that I could backtest some ideas I have about trading the EUR/USB. Seems that for a $200 a month subscription I get their platform, historical data, datafeed, and the asme system will let me go live when I'm ready. As a newbie, I like the idea of a one-stop retail vendor, platform, feed, broker, etc.. - all in one spot. I realize that my preferences will change as I get more sophisticated.

But alas - two things seem wrong, wrong, wrong to me:
TradeStation does not allow automatic execution of Forex orders (or at least the brokers at tradestation.com won't). It seems to me that the whole point of learning about technical analysis and backtesting is to find a system that works, and a platform that is comfortable, so that you can load some cash into an account and "turn it on autopilot" when you are ready to go live. I'd like to spend my time refining my system, generally learning more about trading, and just plain old living life. I want to avoid staring at a screen, worried that if I go take a five minutes to stretch my legs, I'll miss the trigger I was waiting for... Automatic ordering seems to me to be at the heart of modern technical trading. I don't see how a human can analyze the variables and react competively if the majority of traders are using a programmable system.

Also, there is no guarantee that my orders will be filled. The paperwork they sent had pages of warnings about how I could be liable for unlimited losses in case of ...anything that goes wrong with my computer, to their software, to their computers, to the whole worldwide network, to some terrorist who farts in timbuktu. Well what's a retail broker for if they don't have guaranteed fills and stops and have some automatic way to pull the plug from their end if your margin gets too thin?

So I'm looking for advice from those of you who have been there, done that. Although I've done some programming, and will probably want to write code in the future, I prefer to use an analysis program like easylanguage at this point. I was hoping to find a one stop shop, where I could:
backtest an automated system of my own ideas,
then go live on that same platform with about $5,000 (US),
trade EUR/USD in 0.1 contract increments,
have guaranteed fills,
automatically close my open orders/disable my account if it falls below a preset $ level.

Perhaps I just haven't looked hard enough. Do people wade in without these features?
Perhaps the back testing and trading are two separate issues?

Thanks in advance,
JO

 

[Trader333]

Jo,

I don't see how a human can analyze the variables and react competively if the majority of traders are using a programmable system.

Personally I dont believe that this is the case, in fact JohnnyT is the only person I can think of who uses a completely automated system for trading.

Well what's a retail broker for if they don't have guaranteed fills and stops and have some automatic way to pull the plug from their end if your margin gets too thin?

No true broker can ever absolutely guarantee fills and stop orders as it requires someone else to take the other side of the trade. Whilst in FX trading this is probably not an issue because of the high liquidity, all a good broker can guarantee is that your order will be filled against someone taking the opposite side if they are there to take it at the time of your required order transaction.

If you are not looking for stop orders close to your entry then you may find some that will guarantee but if not then it is unlikely you will get what you want.

What sort of strategy are you looking to backtest ?


Paul

 

[damianoakley]

Hi JumpOff,

I trade the Forex Majors intraday, and up until recently used FXCM, but, like you, have turned to Tradestation.

I'm spending some time programming my system into it with the intention of setting it to automate my trades when Automated Forex comes online - this is supposed to be happening at the end of the year.

Trading from 9am to 5pm can be a real ball-ache when done manually, as it requires you to be close to the screen all day. I'm looking forward to reaching a point when I can hopefully automate my trading, not so that I can just switch on my computer and walk away - I wouldn't put that much trust in a computer - but just so I can nip away from my computer in the knowledge that I won't miss my opportunities.

So far I've found Tradestation good, although Easy Language aint always that Easy!

Would be interested to know your thoughts......

Cheers

Damian

 

[knorrie]

Have a look at Wealth-Lab at http://www.wealth-lab.com.

Their Web site is quite confusing at first sight, but essentially they offer 1) limited free online strategy backtesting using their WealthScript language and 2) a standalone program Wealth-Lab developer with no such restrictions and automatic order execution, which seems to be what you're after.

The WL Developer program costs $650. It seems that currently the only broker supported is Interactive Brokers, but it does support several data-feeds, including IB's.

You can register on their site for free and play around with loads of publicly available systems which they call ChartScripts, to get a feel for their language - and you can write your own. On the site though you can only run them online for one US stock at a time, the standalone program has no such restrictions (so it appears anyway, while I've used the Web site I don't own the program).

Regarding trading forex in smaller sizes, IB have recently added a new FX trading vehicle called IdealPro, which has a minimum $25000 position size which is 0.2 for EUR. Have a search on T2W for 'IdealPro', JonnyT and others have posted about this very recently.

KenN

 

[JumpOff]

I've read a little bit more since my original post. It seems the only folks who are willing to "guarantee fills" are the retail shops who take the other side of your trade themselves. (otherwise known as "bucket shops." ) So they aren't just the conduit, they may actually be trading against you, they know where everyone's stops are, they may be providing propriety data feeds, and they are not regulated the way the CME brokers are.

I expect to start small, so I won't qualify for an account at IB. The real forex may just be too big for me. I was attracted to it by the leverage, and the hype. Words like "guaranteed fills" and "unparalleled liquidity " gave me the illusion of large potential gains with a limited downside.

Since I want to limit my downside to my account balance, I'm thinking I need to look into purchasing put or call EUR options on the globex when I'm ready to go live. Although this seems like a hard place for a newbie to start. My understanding is that the options game is designed so that it favors the sellers of the options. More to study about, oh boy!

As far as strategy, its just some basic stuff. MACD crossovers, channel breakouts, and some timing issues (like staying out of the chop after a big move)

I'm going to look at tradestation some more. Perhaps they offer automation on CME futures and I know they have a whole package just about options.

JO

 

[growltiger]

Automated trading

Seems to me unlikely that you will find any platform supplier willing to accept the liabilities that worry you. They are part of life.

My feeling about automation of strategies is that they invariably perform differently from expectation, both in overall result and in the detailed dynamics of trading. The closer you get to specifying a system that trades in an intuitively acceptable way, the worse its back-tested results are likely to be. On the other hand, you can generate almost at will systems that perform unbelievably well in back-test but have no intuitive content, and no robustness in actual trading.

If you nevertheless want to automate, an alternative to Tradestation that you may find interesting is Fipertec (www.fipertec.com) which provides a platform for strategy development, backtesting and order execution. It has, at least, beeen designed to do what you want to attempt. I used it for some months in the version which logs into Interactive Brokers via IB's API, and found execution was generally acceptable (not to the millisecond, but OK). On occasion, I actually set the machine trading and went out to meetings. No actual disasters ensued, but it was quite rare to find that it had cut the same path through the market that one would have expected to follow in person, even pursuing the same strategy. But welcome to the world of trading systems.

It is possible, I believe, to rent this platform for 3 months and see if it is leading you where you want to go. If you are committed to Easy Language as your high level analytical language, you probably should stick to Tradestation, however.

 

[winkle]

Came across this site the other day, seems to be in its infancy at the moment but the idea seems sound.

www.fxengines.com

Quite good for free backtesting as well

 

[JumpOff]

Thanks Winkle,
I did look at that link and I already found one helpful piece of info about when the markets are most active. Tha'ts part of what I'm hoping to backtest.
JO

 

[JumpOff]

Thanks Knorrie, I'll take a look there too! JO

 

[JumpOff]

Damian,
Thanks for the info about Forex autoexecution coming to trade station. That was news to me. I wonder why the account rep didn't mention it.

I'm really a complete novice at all of this, and I'm hoping the little bit of programming I've done will help me along. I have a firm handle on if, then, while, until, and numeric functions.

I'm still blown away by the figures of 95+ percent of newbies trading their money away! I'm anxious to see if I can improve my odds with some back testing. So far I've been paper trading by simple MACD crossovers and I've been clobberred. So why do people go live before they consistently make money on paper?

The FxEngine site looks like a lot of fun for back testing and paper trading. And Cheap too! $30/month for unlimited play time. That's where I'm at now. - Just starting to creep up to pond, learn what's going on. It will be a long time before I put my toe in the water.

Thar be gaters in them thar waters, Ysssir!,
JO

 

[damianoakley]

All the best with stuff JO. I'm always interested to know how other people are getting on with trading Forex, cuz it's a market I personally like.

Feel free to email me any time.

Good Luck

Damian

 

[JumpOff]

Damian,
Do you have the ability to post a tradstation screen shot here? I'd like to see a 1 minute chart from 8-9 a.m. eastern (aug 17th) of the CME globex nearest futures contract for the EUR. I don't need to see any indicators, but if you can show volume/open interest data, that's what I'm interested in. If this is a hassle, don't bother - just let me know, and I'll ask the tradestation folks for it.

I'm interested to know if a trader can use the volume information on the futures to help with trading decisions on the spot forex - (which has no volume data available).
Thanks in advance. JO

 

[frugi]

Don't know if this will help but here's a 1 min chart of the future in question?

 

[JumpOff]

Thanks Frugi,
That is exactly what I was hoping to see. Now for the next dumb question: As you are looking at this chart in real time, does the volume bar for the current price bar start at zero when a new price bar starts and does it "grow" as time passes until it is time for the next bar?

JO

 

[frugi]

Yes JO it grows. Extra fertiliser is often added at 1.30

 

[MGBRoadster]

JO

I'm probably going off at a tangent here, but if you're looking at doing extensive backtesting before committing to live trading you might want to check out www.amibroker.com

There's an eod version for a one-off price of $129 but you can download free intraday data to feed into it for backtesting. Not the easiest manual in the world to follow ( the author doesn't seem to be a native english speaker) but lots of potential.

(there's also a Polish version, but I don't suppose you needed to know that )

 

[JumpOff]

Thanks for the link to the folks at amibroker.com. That looks like a good backtesting system for a one time fee that is the same as 1 month at tradestation.com

I'm beginning to see that tradestation is just one of many options. Most brokers have some kind of visual charting and trding platform that allows you to backtest. Some of them give it to you for free (without monthly fee even if you don't trade much) just for being a client.

One of the more interesting ones I've run across is "strategy runner." In addition to back and forward testing. You load you parameters onto their servers, so you don't have to work about a power failure, computer crash, or internet freeze up....
JO