Tag Archives: back testing

Automated free back testing software available to members only

Are you one of those traders that consider back testing software for your strategies models an important factor in your successful way of trading? I sure hope so!

Because thorough back testing is an important factor for successful algorithmic or systematic trading.
Otherwise you’ll have no way of reliably protecting (and growing) your capital when you implement live trading.

So it’s vitally important you have an understanding of how to do this properly.

Fortunately, I’ve found a great way to carry out back testing techniques using a open-source trading platform which costs literally nothing. Not one penny!

You can also do all the testing in an automated way with little human intervention. This enables you to back test a wide variety of strategies and models quickly.

Over the coming weeks and months I’ll be implementing these techniques into my chosen strategies. In the long run this will enable me to confidently trade with little human intervention … put everything on autopilot … and profit automatically.

Find out how to do your own automated backtesting as a Premium member (the software itself is free):

–> Go here to sign up for immediate access! <—

There’s a list of the entire membership benefits as well.


http://quantlabs.net/membership.htm

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Improve your trading strategies with R code for prediction, pair trading, cointegration, back testing, etc

My Algorithm, Modelling, and Strategy Development courses just keep getting bigger and better. In the next few weeks, I’ll be posting R source code to teach you exactly how to:

1. Trade using a GARCH volatility forecast

2. Model for VAR, simulation/estimation, statistical tests, benchmarks, cointegration with the Engle & Granger Two-Step Procedure, and autoregressive moving average models

3. Conduct proper time series analysis with simple component analysis, linear filtering, decomposition, regression analysis, exponential smoothing and prediction, autocorrelation, and parameter estimation and prediction with ARIMA models

4. Carry out pair trading with plotting spreads, Dickey–Fuller and Phillips-Perron tests, estimated parameters for back testing, valid trade signals, and properly back tested performances.

If you’re interested in any of the above (and there’s more coming), then …

Get in the action now! Start learning how to accurately predict market moving events like volatility and pricing trends.

–>http://quantlabs.net/dlg/sell.php?prodData=m%2C3
<–

Get even more benefits including our HFT and Algo Development courses, software tool kits, and more!

–> http://quantlabs.net/quant-member-benefits/ <–

Good trading,

Bryan

P.S. Remember: R is totally free as it’s open source. You don’t need expensive proprietary software packages to work with it. Volatility forecasting, pairs trading, cointegration, estimating, simulation, and much more. It’s all coming ASAP!

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NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Seeking quant development solutions for replay & back-testing on large sets of captured full depth market data

Seeking quant development solutions for replay & back-testing on large sets of captured full depth market data

Seeking solutions for replay & back-testing on large sets of captured full depth market dataMy firm is looking to upgrade our proprietary trading strats/systems from using top-of-book only data to instead using full depth of book market data in the hopes it will help us make more informed trading and order sizing/routing decisions and are interested in hearing other people’s experiences making such a transition, and in particular what solutions are out there for replaying full depth data in our research and backtesting environment. We have been capturing the depth data from all “lit” N.American Equity Exchanges for over a year and now have over 5TB of it captured in binary format. Ideally we would like to be able to utilized our existing captured data and replay it on demand in an efficient way without having to put much time/resources towards developing our own system to do so. What sorts of solutions are others using to do this? Interested in both hardware and software aspects, with a priority towards the depth data replay/backtesting capabilites, however if the system(s) can also be used in low latency realtime production environment, and/or have reporting or CEP capabilities that can aid in R&D, that certainly doesn’t hurt.
==-Have you looked at OneTick? My company produces SSD based hardware to act as either the application engine for these types of applications, or we can also configure as iSCSI storage for another server and provide over 3GB/s bandwidth and up to 600,000 IOPS from a single 2u box at under 500Watts. 10TB of SSD storage per system. Let me know if you would like more data or check out our url @ —
For speed and CEP, You might have a look on these ones : -StreamBase -TimesTen -kdb+ -Sybase ASE -Gemstone, Vhayu (mentioned too but We never tried these two last) You might need a bit of TIME to assess ,choose and setup the whole thing

 

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NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Could this be a really good starter example of a back testing strategy in Matlab?

Could this be a really good starter example of a back testing strategy in Matlab?

I am looking for in Matlab.

http://www.mathworks.com/matlabcentral/fileexchange/29762-backtesting-code-for-algorithmic-trading-strategy

http://tradingwithmatlab.blogspot.com/2009/07/simple-way-to-backtest-option-straddles.html

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NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Quant development: Where to find data for intra-day trading strategy back testing ?

Quant development: Where to find data for intra-day trading strategy back testing ?

Does anyone know where to find historical intra-day data to back test our strategies ?

Being an intra-day trader/developer, I dump data every day from my broker’s web site, and I think that 1 month of data from multiple quote should be enough, but I’d like “accelerate” this data acquisition.

 

Bloomberg, Reuters, eSignal, Olsen data to name just a few. Do a google search on “tick data vendors”. Also, the exchanges offer comprehensive data products, for instance:

http://www.nyxdata.com/Data-Products

Of course, none of this is free.

 

 

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NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Bloomberg makes quant analytics legit and mainstream with back testing capabilities using quant models and Microsoft Excel

Bloomberg makes quant analytics legit and mainstream with back testing capabilities using quant models and Microsoft Excel

So I was reading the latest Bloomberg Markets magazine in their Strategies section. One new tool they developed was the Excel worksheet you can use various quant analysis models to tinker with various equities and back test This is quite interesting but it does make quant modelling very mainstream. Just thought I would bring that to your attention.

Sorry I don’t read Bloomberg Business Week. It is Bloomberg Markets you want.

 

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NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Quant analytics: Which historical data should I be buying here? This is for back testing

Quant analytics: Which historical data should I be buying here? This is for back testing
Out of all these options here:
Which set would you get and why? I will buy something soon as my database may be close to getting loaded.

HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!