Back testing

[Edinburgh Bear]

Hi guys,
I'm looking to find out if there are any free ways to back test 'trading systems'
I guess I'm looking for something that would allow me to set perameters and just see if my idea's would have been profitable over the last couple of years

Cheers

 

[ardhill]

The only free ways that I know of is to get the charts from a free provider and go through them by eye.

Otherwise you need to pay for some software such as wealth lab, tradestation, eSignal etc

 

[DollarTrader]

@EdinburghBear

You could have a look at www.prorealtime.com. I use it's backtest and screening facilities with EOD data for free.

 

[riddle]

I think you can do that at http://www.wealth-lab.com/
Steve

 

[mr_cassandra]

Microsoft excel

As a former programmer, I've done all my backtesting in a spreadsheet using buy-sell short formulas of my own design.

 

[Rhody Trader]

I agree on the Excel thing. While I've done quite a bit of system testing using Metastock, when I really want to be able to drill down in to the results, to control things very closely, and be able to directly manipulate the system quickly and directly I use Excel. Being able to code in VBA, the macro language, helps, but isn't a requirement.

 

[blackcab]

I agree on the Excel thing. While I've done quite a bit of system testing using Metastock, when I really want to be able to drill down in to the results, to control things very closely, and be able to directly manipulate the system quickly and directly I use Excel. Being able to code in VBA, the macro language, helps, but isn't a requirement.

A more powerful statistics tool than Excel, like Mathematica, Matlab, SPSS or R might be worth exploring. For my own development I only using my own code that takes raw data as input. It's more work, but gives me complete freedom and control and lets me simulate a 'trader' however I like. You don't have to be an expert programmer or egg-head to do it.

 

[zentrader22]

Backtesting

hi,

I'm also thinking that Excel or another spreadsheet product is a good solution for a first backtesting phase. Excel has also the possibility to integrate statistical functions and to use the VBA Language for deeper analysis.

But more important is to know that the conventional backtesting process which is well known and supported by the commercial software products like Tradestation, Metastock, Amibroker etc. isn't sufficient.

I e.g. add system simulation and data simulation process steps (based on Monte Carlo Simulation methods) to this development process and call that an "optimized system development and test process" like described here:
http://www.zentrader.de/mcs_article_traders2007.pdf

Perhaps also interesting for you!

bye,
zentrader