Tag Archives: back testing

Best back testing framework for algo trading in Python

Best back testing framework for algo trading in Python

 

This is more useful for portfolio optimization

https://github.com/pmorissette/bt

https://github.com/mementum/backtrader

https://www.backtrader.com/docu/quickstart/quickstart.html#using-the-platform

https://github.com/quantopian/zipline

The Efficient Frontier: Markowitz portfolio optimization in Python

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Build your own back testing software?

Build your own back testing software?

Another dandy from Quantstart.com and also noted by Sholom B

Thanks to him

https://www.quantstart.com/articles/Should-You-Build-Your-Own-Backtester

As for me, I am very mixed on this but do realize Matlab is another good environment for this as well

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Open source C++ back testing library coming soon

Open source C++ back testing library coming soon

Coming soon: Ivan P has donated his older back testing open source project to us. This is done in C++ but will be posted on our GitHub and and SourceForge repositories soon so stay tuned.

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Here is Ivan’s video contributions earlier this year

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Questions to automated back testing

Questions to automated back testing for trading

As I fumble through this code analysis of this Matlab Webinar Commodities Trading package, I am learning quite a bit. These links provide details in what I am talking about:

https://quantlabs.net/blog/2015/04/commodity-trading-with-matlab-including-backtesting/

https://quantlabs.net/blog/2015/04/automated-backtesting-for-optimal-parameter-for-max-profit/

I would HIGHLY recommend you go through the source code and watch the webinar to stay in synch with what I will be focusing on.

I will be listing a series of questions to those who join my online event. I do feel these kind of project can be a game changer on how on how you look at your strategy development with indicator/algos. Join my online event this Tues May 19.

Thanks

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Lets talk validity of automated backtesting

Tuesday, May 19, 2015, 7:00 PM

17 Members Went

Check out this Meetup →

Lets talk validity of automated backtesting

Tuesday, May 19, 2015, 7:00 PM

GotoMeeting Webinar online
GotoMeeting Webinar online Toronto, ON

13 Researching Traders Went

Let’s talk about backtesting. I plan to have my own automated backtesting enginee implement soon as I work with a Matlab project I know of. I also talk to many 7-8 digit fund players who feel we should not even backtest or at most, put minimum amount of effort into it. I would like to talk to participants on:1. How to do it? How much time is inves…

Check out this Meetup →

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Quant trading newbies access my portal for info on starting out , data capture , back testing etc.

Quant trading newbies access my  portal for info on starting out ,  data capture , back testing etc.

This came in from a  Member:

…starting out , eg. data capture , back
> testing etc.
>
> If you need more info please let me know.
> Thanks in advance

Also, to answer your question I am piecing a live pair trading demo of what shall answer your questions. I hope to post it later in the week with videos. Take advantage of the courses on my ‘Custom Trading Platform’ and Gettting Started section to understand the components I am using for this.
Let me know if this helps

 

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Or Join my FREE newsletter to learn how I when I have this new pair trading demo ready

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IQFeed is your most affordable way to build back testing historical data or need real time market tick data

IQFeed is your most affordable way to build back testing historical data or need real time market tick data
More Q&A from another site visitor:
Hello Brian,
 
sorry for the delay, many thanks for your response, it helps clarify things, i managed to get some more information, perhaps it can be useful to you if you start working with options:
 
1) black scholes is intended for European options only with dividends 
2) Binomial trees are used to price American options usually
3) analytic engines can be used to price options with dividends
 
After careful consideration i realised you were right about the market side which would be too much work to simulate, is there any free (or cheap) market data i can receive in real time which i can use to simulate buying / selling? 
 
many thanks
That is an easy one. Use IQFeed which is my source. That is most affordable for real time data.

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Yes IQFeed can track market real time tick data with QCollector. Geat for back testing !

Yes IQFeed can track market real time tick data with QCollector. Geat for back testing !

Just see the image here. It can be done by setting a new symbol using New->Tick Data.

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How to stream your historical market tick data for back testing your trading strategy? KDB or Microsoft SQL Server?

How to stream your historical market tick data for back testing your trading strategy? KDB or Microsoft SQL Server?

From a Youtube user:

Hey, i have a question. If i have lots of historical tick data, and want to replay the data as it happened, i.e. like a tick player, a peice of software that actually replays the ticks as they happened, how do i do this? Other than ninjatrader?

My answer:

Try kdb if you can afford it. Or this:

http://www.microsoft.com/en-us/sqlserver/solutions-technologies/business-intelligence/streaming-data.aspx

This is considered prettty well by the quants

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Q&A on automated historical back testing, cheap tick data help, use of models, and technical vs quant analysis

Q&A on automated historical back testing, cheap tick data help, use of models, and technical vs quant analysis

More questions from Meetup members:

Hey Bryan

 

Would you be kind to point to where I can understand what these models are about,

what they can do and what possible pitfalls with such modeling (especially in these politicized markets)?

 

–> I have a general how to a be a quant as these models are part of this picture

I am unsure of your question on: with such modeling. All I can say 80% of all trades in NYSE are done using algo which are driven by these models

 

Context for asking: My main goal is to become a good discretionary trader and only second to be a quant (for the above reason).

–> technical and funamental trading is becoming old school. I think algos will get the better fills on smaller retail/discretionary traders

But would love to know what quant models can do specifically – if I had a better idea I’d refocus my efforts maybe

–> this is an ongoing process as I am starting with ARIMA followed by GARCH model types

 

Also, I heard you mention about availability of historical tick data.

Where can I find 2-3 years worth of currencies and futures please??

–>http://www.youtube.com/watch?v=Ry7igGVN1uQ&feature=plcp

I have some serious backtesting to do and need to do market replay in NinjaTrader and can find no

affordable data so far back.

–> You can use other automated ways of doing this through other open source trading platforms

 

Please advise

 

Join the membership now for all this or understand the benefits here.

 

 

 

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A complete Q&A from a potential quant member about Detlix, back testing, ticks, strategies, and trading platform

A complete Q&A from a potential quant member about Detlix, back testing, ticks, strategies, and trading platform

A potential member and visitor asked the following:

(Answers followed by my ->)

Writing this email to check some assumptions and ask some questions.

 

Am a rather new trader with math and 15 years of complex software

development.

Looking to become a profitable trader both discretionary and automated.

 

Very interested to use models you talk about on the site.

Looking to put some money to work.

Not afraid of hard work but must be profitable and not do it to satisfy

my software development and self education thirst.

 

–> Sure we want all that but no one can ever guarantee profitability

 

Would you say one can be profitable with the strategies and models your

group uses?

Are there such existing strategies that bring profits now?

 

–> I am about to start this analysis but this will take weeks (or months) but again, no one can ever guarantee profits. As profits prove themselves, it will add value to my membership which will then result higher monthly rates

 

Would you say they are production ready and able to trade real money?

If not then what does it take to take them there?

 

–> everything is production ready but again you will need to optimize the strategy code to your liking and trading goals. What I show is a foundation for now. My private member only webinars will show how to do this

 

Can you please tell me more about your business goals so I can better

gauge how I’d fit and help?

 

–> Like everybody profits but I am going slow and steady to understand each step of the way in great detail

 

More questions below if you care to answer them.

 

Thanks

Nick

 

1. Have you used NinjaTrader? I have some indicators useful for my

discretionary trading and would like to

reverse engineer & port them to a platform with better back testing

support.

Can you do this (reverse engineering) or others in your group?

–> I don’t use other platforms after long time learning, I would recommend working with your chosen broker’s API instead as that will save time in the long run

 

Not very sophisticated: fib lines, ATR based trend indicators, etc.

 

2. Do you use advanced strategy development tools like alphacet and

deltix?

 

–> I have been offered these but I am not interested in anything blackbox

I am looking at Deltix and it is pretty awesome.

Would you care to consider it for the group? (we’d share the costs)

–> I am not sure if this can be done in terms of having 70+ members sharing one license

 

Costs a lot per month due to expensive tick based data feeds but feels

very powerful.

 

3. What kind of strategies and models do you use?

 

– trend following

– counter trend

– breakout

– order-flow based

– tick data based

– volume based

– sentiment based (like ravenpack)

 

–> most will be quant based but the focus will be in order of priority of the results of this

http://quantlabs.net/surveys/2012/06/29/what-financial-forecasting-model-type-do-you-focus-on-within-r-or-other-statistical-tool/

 

If not then you interested in the above?

 

4. What data feed you use?

Tick or not?

 

–> both put prefer tick for live analysis but back testing needs bar

 

5. What backtesting tools, data feed and practices do you use?

–> I will be using parts of an open source HFT platform which has this in an automated way

 

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