Tag Archives: backtesting

Meet well-known algo trading expert Ernest Chan! Backtesting video course

I got this posted on my Facebook group recently:

Meet well-known algorithmic trading expert Ernest Chan at  Quantor!
His Backtesting video course is on the Quantor online educational.

Backtesting: complete online course

I am not sure if this course is unique to his own books or online courses. As for this new algo trading learning platform, it becomes another among many. There prices are fairly low but like many, they teach various techniques to build algo trading platforms and strategies. It seems like a race to the bottom among them including what I do. I do think that educational services will need to step up with real live trading communities. Not only that, they will need to also certify the results which will become an expectation.

As a the highly success marketing mentors tell me, I learn from, many want to see results not tools how to do it. As said, many will need to see certifiable trading results. This will become the next standard which means people will need to buy at high premium prices. This is the direction I plan to go.

Here is what I was working on lately if you missed it:

Let maximise our crypto currency asset class trading positions with portfolio optimization

This 15 (approx) minute video showcases my portfolio optimizer which I have shown before. Do realize this can be applied to any asset class. You can always search on my Youtube channel for ‘portfolio’ as hinted in this video. The idea here is to showcase you could triple your expected return by using the appropriate strategy type with proper optimally weighted positions. This is all shown in the video. I would say this is one of the biggest reasons to automate your strategy and trading. No human can do this if you were to allocate a higher number of positions across multiple asset classes for the day. You could even run this script every few hours if I wanted to allocate positions every X hours. I would have to feel pretty lucky to do that.

Look back matters among other parameters to consider

Do understand your analysis look back also matters depending on your overall asset class performance. As of now, crypto currency has taken a major beating so it might be wise lower the loopback to let’s say 7 days vs 30 as shown in the earlier part of the video.

Note that this can be used on any asset class based on the historical performance of standard open, high, low, and close market data. I use Binance exchange which only allows long only but could also include portfolio strategy methodology of Markovian Long/Short, Markovian market neutral, and Markovian Market Neutral.

Let me know what you think of this.

As usual, this will be part of the Quant Analytics service to enhance your profits so see below if interested
Thanks Bryan

 

Quant Analytics

 

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complex options backtesting strategy automatically with future courses coming soon

complex options backtesting strategy automatically with future courses coming soon

 

Two queries from newsletter subscribers

Hi Bryan,

Do you have any course module for backtesting any complex option strategies automatedly ?

If you have, please advise.

What I really need is to backtest my complex option trading strategy (more than 4 legs at a time).

 I have backtested manually for the last 5 years, and it proves has a decent return every year. Now, i want to automate the backtest. Since it needs a lot of time to bt option strategy manually.

But since you offer me, futures and option course, do you have backtested the strategy for the last 5 to 10 years and has high performance every year and high sharpe ratio ?

If you have please advise.

Try backtrader.com for backtesting in Python
———–

I would like to join the quant course.

How do I go about doing it?

Video answers here

Get in touch with here in my social media to learn more about these current deals as of Feb 27/2018. This is on for a highly limited time.

http://quantlabs.net/results

 

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Demo of backtesting with Dukascopy Visual JForex for forex algo trading

Demo of backtesting with Dukascopy Visual JForex for forex algo trading

Very adaptable broker I have seen yet from an API POV

 

 

 

 

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Another Backtesting and live-trading framework: F4

Another Backtesting and live-trading framework: F4

This looks really good but I think I may just stick to the path I am on with Backtrader. This does fit a lot of my needs but this was sent over.

 

Hi Bryan,

I just wanted to chime in with another potential software solution for automated FX trading; the F4 framework developed by Asirikuy (https://asirikuy.com/newsite/). It’s paid open-source and costs 394 USD for the first year, and 194 USD for each year thereafter (although you would only have to pay for the first year if you just want access to the code).
In my opinion, it is without a doubt the most advanced FX trading framework available to retail traders. Here are some of the advantages:
  • The only framework that simulates swap charges in backtests using historical interest rates.
  • The only framework that refactors the market data for different time zones. This is a huge problem with other FX trading platforms, but nobody seems to realise it. Different brokers structure their market data in different ways according to different to time zones, which means that strategies developed for one broker may have much worse performance on another broker. The F4 framework takes care of this automatically and ensures that the results are reliable no matter what data source/broker you are using.
  • The majority of the core framework is written in C (with some modules in C++), which of course means it’s extremely fast. The framework is compiled into a dynamic library that is then loaded into various front-ends. For example, there is a Python front-end called the ‘NST’ which facilitates backtesting, and there is another Python front-end called ‘The Asirikuy Trader’ which, unsurprisingly, allows you to connect to various brokers for live trading. You can even call the library from Metatrader 4 (and possibly 5). I’m not sure why you’d want to (I think MT4 is terrible), but at least it’s an option.
  • On the topic of brokers, you can hook into either the Oanda v20 API or the Dukascopy JForex API. Both of these are already implemented.
  • It ships with an extensive machine learning library based on Shark (http://image.diku.dk/shark/), which allows you to trade a huge variety of ready-made ML strategies, or you can of course code your own into the framework. Asirikuy does a lot of research into supervised learning and reinforcement learning; the forum contains loads of useful information in that regard.
  • With the membership you get access to 1 minute data for 21 currency pairs going back to December 1986. This data is from a company that provides data to brokers. It is not usually available to retail traders, but Daniel (who runs the website) has negotiated a deal for the community since his friend works there. This data is updated every weekend and, in my opinion, justifies the 194 USD per year all by itself.
  • Multithreaded simulations using OpenMP.
  • Multithreaded live trading.
  • Multi-node optimizations using MPI.
  • Brute-force and genetic optimization of strategy parameters.
  • There are quite a few more advantages (like GPU data mining software, a variety of portfolio optimization and analysis techniques), but I don’t want to waste any more of your time 🙂
There are a few disadvantages:
  • It is a pain in the neck to install. It’s fine once it’s up and running, but it can take a while to get all of the dependencies installed. That being said, the customer support offered by Daniel is the best I have experienced anywhere. He will do anything and everything to help you out, and he usually responds in a matter of hours.
  • From your videos I know that you’re interested in using Python for your actual strategy logic. Strategies in F4 are usually coded in C/C++. However, there is a member that has apparently embedded Python within the framework, so I’m sure you could get it working if you wanted to. Of course, you have all of the source code as well, so you can implement any functionality that you want.
I’d just like to say that I’m not affiliated with Asirikuy in any way, other than being a member. I use a private framework for my equity/ETF strategies, but I use F4 for all of my FX trading. There are some Asirikuy members who are interested in asset classes besides FX, so it may be possible to use F4 for stock/ETF strategies as well in the future. If you want to find out a bit more about the kind of stuff they do at Asirikuy, the founder also runs a blog (http://mechanicalforex.com/). He’s a very knowledgeable guy (a chemistry PhD), and has an interesting insight into quant trading.
Hopefully the above is useful in some way 🙂
All the best,
James
And I forgot to mention that the framework includes functions to download fundamental data from Quandl, such as COT reports etc.
http://mechanicalforex.com/2014/02/the-f4-programming-framework-and-asirikuy-tester-a-simple-faq.html

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Blame backtesting for these trading problems

Blame backtesting for these trading problems

Don’t get overly dependent on this process for your trading ideas. But this does not help

As securities watchdogs crack down on complex investments that promise mom-and-pop investors access to strategies of trading pros, Wall Street is finding a way to sell the same products in places those regulators don’t reach.

To read the entire article, go to http://bloom.bg/1P8u6f7

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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!

Cool backtesting R packages for Python

Cool backtesting R packages for Python

If you have not seen my integration video of having Python call R, this could be possible to run

Cool SIT in R

http://www.r-bloggers.com/introduction-to-backtesting-library-in-the-systematic-investor-toolbox/

QuantMod  with RPY2 examples

http://stackoverflow.com/questions/16599717/python-rpy2-and-quantmod-examples

http://stackoverflow.com/questions/18275306/does-python-has-a-similar-library-like-quantmod-in-r-that-can-download-financial

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Open source trading backtesting Java framework

Open source trading backtesting Java framework

From Ivan P who made a great contribution today called tradelib

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https://github.com/ivannp/tradelib

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Auto backtesting video playback posted

Is auto backtesting video playback posted for members

1.5 hr video is now up for all my members

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