Quant analytics: Program for user-friendly strategy creation and robust futures/stock back testing database Ninja Trader? Wealth Lab?
I have been working on developing several formulas for futures trading using a program called ProdigioRTS however the back testing usability just isn’t sufficient for me to use (limited to 6 month periods and no futures.) I am looking for a new program that will allow me to create and back test strategies that I create over a period of years.
What really lured me into Prodigio however was the ease of strategy creation which utilizes a large drag and drop canvas where I can visually structure these formulas without any raw programming language knowledge.
I am looking for a program which boasts a similar level of user-friendly strategy design but with a robust database that allows me to back test over greater periods of time. Support for futures is also greatly desired.
Price will also be a factor, Prodigio is free with my current broker so I’d like to keep it along similar lines however I’d be willing to invest in buying a program if need be.
Thank you for all your suggestions, I’m eager to see your recommendations.
I am not certain if you have any programming capability but if you do NinjaTrader will meet your criteria and it is free to use until you are trading live.
Tradingblox is excellent, particularly for portfolios of different futures. There is some programming for the most complex version, but it isn’t overly complicated. It is expensive, though – about $2,000-$3,000.
Forex Strategy Builder is the best free backtester that I’ve found. You can’t test portfolios, though, and have to modify the settings to take futures data. However, it is FREE, and there is ZERO programming. forexsb.com
I agree… Ninjatrader is wonderfull to program (in my opinion) . Just because it doesn’t use a specific scripting language , but use C# .NET.
I would agree and say NinjaTrader is arguably the best retail platform for such a purpose. There are alternatives which are used by institutions such as Quanthouse, Apama, RTS Tango etc. but they are very expensive, usually several thousand pounds per year for licencing.
Thank you all for the suggestions! I have landed on NinjaTrader and it feels capable of doing the job. The learning curve looks to be a bit high on this one, however. I’m having a little trouble getting historical data set up on the system, if anybody cares to show me how I would appreciate that greatly!
Phil, you can go to Tools -> Historical Data Manager and download data from the NinjaTrader servers if you are testing a symbol they have. NT has all the index futures and most of the currency futures plus crude oil (CL) and gold (GC) for certain.
If you run a back test when you are not connected to your broker that will also cause NT to download data from its servers.
If you want to run Market Replay (useful for strategies that operate on a tick level or use order book data) you need to go to File -> Utilities -> Download Replay Data for the symbol you want. That is a bit of a pain because you have to download data one symbol and day at a time.
Wealth-Lab – drag and drop, as much history as you feel like loading, futures, equities, whatever. You need more or want to learn coding? Just click the button, convert this strategy to code.
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