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Best Strategy Backtesting Software

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Video 4 ,"Scaling Out: Adding a Second Target", completed in series "Fading the VWAP Bands: Idea Thru Automation"

 

In this fourth video, we continue to refine and optimize the system by adding a second target at 5 points to lock in profit. This change increased our ratio of winning trades to losing trades substantially.

 

Investor/RT - Fading the VWAP Bands (15 mins)

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I am surprised no one has mentioned stratasearch. I have been looking at this software for a while and it appears to be the evolution of what many other software providers have aimed at.

I still use TS because I am addicted to easylanguage. I have tried tradersstudio and find it a bit buggy and difficult to implement.

For me, system trading is the only way to go. My strategies are simple, a few lines of code which generate a large sample of trades. I am trading probabilities. No matter what my gut or instinct, even after many years of trading, I take the trades my systems tell me.

So yes it's boring and mechanical. When I have enough cash available to have a "play account" I look forward to trading futures with discretion, but I see that as more than fun than anything else.

Using discretion to day trade brings me too many psychological hang ups to consider as a source of consistent income. Besides it's way too much work sitting around waiting for a trade.

Any opinions on Stratasearch, those who have tried it?

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  estate1997 said:
You might want to take a free spin for thirty days on Trading Solutions.

Trading Software, Neural Network, AI, Technical Analysis, Market Timing, Stocks, Futures, FOREX

estate1997

 

You might want to take a free spin for ever on PT multistation with its PTL builder IDE...

 

Pro Trader multistation platform is completely free unless you want to subscribe to their (PFSoft's) multi-vendor connection or autotrading functionality...

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Video 5 in Series "Fading the VWAP Bands" is now available: "Tightening Stops: Locking In Profilts: www.linnsoft.com/fade

 

In this fifth video, we look at moving our stop up to break even after hitting our initial 5 point target in order to lock in profits. The option of adding to our position instead of exiting when prices comes back to our entry price was discussed. We concluded by discussing some enhancements to the VWAP indicator that should benefit our system as well as how we plan on moving forward.

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some time ago I bought MC 5.0 to do the backtest work (because my tradestation was running day and night on backtesting). My finding was that the backtesting results between MC and TS are very very different and that I can not trust MC (because the result is simply wrong).

 

Does anybody have the same bad results with MC? Has MC increased since version 5? I think they have Beta6 right now.

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Video 6 in Series "Fading the VWAP Bands" is now available: "Reality Check": www.linnsoft.com/fade

 

In this sixth video, we put the system we've developed through a reality check to see if it stands the test of time. We also put our system through a Realization process (walk forward optimization).

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  Mirko said:
some time ago I bought MC 5.0 to do the backtest work (because my tradestation was running day and night on backtesting). My finding was that the backtesting results between MC and TS are very very different and that I can not trust MC (because the result is simply wrong).

 

Does anybody have the same bad results with MC? Has MC increased since version 5? I think they have Beta6 right now.

 

how could you know the TS backtest is correct? LOL

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Tams, I know that you have a broad experience and MC is a good software but I go through all the trades to see what happens. MC makes things which are not possible in real life or look curious.

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  Mirko said:
Tams, I know that you have a broad experience and MC is a good software but I go through all the trades to see what happens. MC makes things which are not possible in real life or look curious.

 

Have you raises it with there support guys?

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  Mirko said:
Tams, I know that you have a broad experience and MC is a good software but I go through all the trades to see what happens. MC makes things which are not possible in real life or look curious.

 

GIGO

 

MC is only a software...

 

 

I love it when ppl blame their problem on the software.

 

carry on, you will go far.

 

 

 

p.s. my question remain, how did you know TS' backtest was correct?

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ok, I will give an example.

 

I tested app. 80 strategies on app. 100 assets in the MC backtester. The whole activity took me some weeks and I had some very good results (e.g. Sharpe Ratio 2,7 / Profit Factor 9,6 on a 60 min chart on @fv).

 

After this good result I wanted to trade the good ones but I when I went into the details of the Tradeslist and performance report I had to find out that it was a mistake which could not be traded. The mistake was that some trades were not in the logic of the strategy and the result (Sharpe and PF) were simply false calcullated.

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ok, I will give an example.

 

I tested app. 80 strategies on app. 100 assets in the MC backtester. The whole activity took me some weeks and I had some very good results (e.g. Sharpe Ratio 2,7 / Profit Factor 9,6 on a 60 min chart on @fv).

 

After this good result I wanted to trade the good ones but I when I went into the details of the Tradeslist and performance report I had to find out that it was a mistake which could not be traded. The mistake was that some trades were not in the logic of the strategy (for example one big profit trade which does not fit in the strategy) and the result (Sharpe and PF) were simply false calcullated or not understandable to me.

 

After that I stopped working with MC.

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  Mirko said:
ok, I will give an example.

 

I tested app. 80 strategies on app. 100 assets in the MC backtester. The whole activity took me some weeks and I had some very good results (e.g. Sharpe Ratio 2,7 / Profit Factor 9,6 on a 60 min chart on @fv).

 

After this good result I wanted to trade the good ones but I when I went into the details of the Tradeslist and performance report I had to find out that it was a mistake which could not be traded. The mistake was that some trades were not in the logic of the strategy (for example one big profit trade which does not fit in the strategy) and the result (Sharpe and PF) were simply false calcullated or not understandable to me.

 

After that I stopped working with MC.

 

 

p.s. my question remains, how did you know TS' backtest was correct?

 

 

LOL When someone is beating around the bush, evading the inevitable, you know where the truth is.

 

don't worry... you don't have to answer the question. I won't ask again.

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  Yakalfer said:
What is the performance ratio the most relevant??

Is this the Profit Factor or Sharpe ratio or something else??

What indicator used to rank performance of the strategies ...

 

The most important one is:

 

MAE/MFE

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Is it possible to find this ratio on MultiCharts strategy performance summary ??

Maximum Favorable Excursion (MFE) and the Maximum Adverse Excursion (MAE) are on the Trade Analysis section but I don't know how to read these two charts...

And I don't find the ratio MAE/MFE...

Thanks for your help.

100719_MAE.JPG.68cee3723344c2ea7e97d73a8c6ca343.JPG

100719_MFE.JPG.cf2251cc053248a1a2810de5e1048156.JPG

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My acquaintance said that he uses PT multistation's PTL strategy builder with its optimization, back testing and debugging tools (supports EasyLanguage, C#, VB.NET, etc).

 

Anyone know how it compares to other automated strategy builders, and in particular back-testing tool?

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  binthere said:
in my experience the grail is the best for optimizing, tradestation for forward testing

The Grail

regards, binthere

ps:the grail was recently acquired by tradestation and they will incorporate it in version 9

 

It is true that TS has acquired the Grail and it was discussed at a recent conference of TS developers that are beta testing TS 9.0.

 

The Grail will NOT be included in the first public release of 9.0 but will follow shortly after as, we hope, will come the increased granularity of the TS time stamping.

 

The public release of TS 9.0 is promised for 4th quarter this year. For far too long TS has aimed at the lowest technical common denominator, 9.0 will change all that. The promise of the new smart order objects and data provider/objects is great indeed.

 

UB

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