Backtesting

Do any of you know what’s a good tool to implement backtesting of data for a particular trading strategy? I want to learn more about this stuff and would like some resources to start off. I was thinking I can use MATLAB and program something into it. Any info is appreciated. Thanks,

use metastock, it’s more straightforward there, but obviously less powerful than creating your own code.

It certainly depends on what you want to do. The most difficult part about backtesting in Matlab is that you have to write all the codes for all the functions on your own. So have fun writing your own code for ADX. That being said, using a package like Matlab is much more customizable with much better options. In a program like Tradestation, it is a real bitch to set up pairs trades and backtest them. Very simple in Matlab. I only have experience with TS, but people generally say good things about Metastock. It really depends on what your needs are and how much you can pay for them. There are some really good programs out there with a lot of functionality. Or you could just go to your local university and get on the Compustat database and do everything in SAS. Only cost is the library card.

What kinds of strategies are you backtesting?

There are so many tools out there. TradeStation, WealthLab, QuantStudio, Matlab, R … Depending on your budget, the kind of strategies you want to test and what data you need, you can choose the appropriate tool. For example, TradeStation is relatively cheap and comes with free historical intraday data if you sign up for real-time datafeed. However, it doesn’t work well for pairs trading (just as jmh530) said. Hard to give suggestions without knowing what you are looking for.

I’ve heard PeriPlus is really great.

JoeyDVivre Wrote: ------------------------------------------------------- > I’ve heard PeriPlus is really great. Could you post a link?

It’s my prop software that I keep getting sued about because someone else thinks it’s his.

JoeyDVivre Wrote: ------------------------------------------------------- > What kinds of strategies are you backtesting? I just started an investment club (well, in the motion to start one actually), and have couple of friends and family members pooling together a little bit of $. we’re starting off with something very basic, purely price- and volume-driven models, just to get our feet wet learning the process. Our goal is to slowly add to our model based on a priori research (internally) combining technical, fundamental, and market-sentiment (behavioral finance) factors. We plan to trade only ETFs.

Thanks for all the names/resources guys; I’ll definitely look into it after work tonight. I’ve been playing around Interactive Broker’s API application. Seems like it is something I need to automate my trades; to make them as systematic as possible.

adalfu - let us know what you come up with. I’ve also been thinking about how to do sensible backtesting. Matlab is very flexible, but I find it’s a lot of work to implement. Would really like to find something relatively inexpensive that would be easier to use. I’m capable of using more complex stuff like Matlab, but would rather spend more time on the ideas themselves than working out every nuts and bolts of implementing them (I do concede that this has some value in the form of understanding some of the nuances of a strategy).

Yeah bchadwick, I’m in that dilemma as well. I’ve done some simple regression modeling way back in school w/ matlab; I have some exposure to the program, but I’m sure I’ll have to re-learn everything again. So I’m debating whether or not just to stick w/ the simple stuff (and get most of what I need done), or spend a bulk of my time tweaking the process of my implementation (rather than to actually run the implementation). I’ll let you know. And I’ll continue to ask around.