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davewolfs

Software for Generating Reports Based on Various Indicators/Events

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Hey everyone,

 

Quick question for you pros. Is there any software out there that will allow me to back test how the market reacted after a specific event occurred over the course of a specific time period.

 

Say for example, the market hit a 20 day low and I wanted to know how many times the market bounced when hitting a 20 day low since 2000 and what the average return after the bounce was vs the average S&P gain over a two day period without previously hitting a 20 day low.

 

I'm sure some sort of tool/package exists to compute these types of statistics. Any recommendations would be appreciated.

 

Thank you,

 

Dave

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So would I have to configure or program the software to execute buys under certain conditions to simulate this? Any recommendations on software?

 

 

Unless the software can read your mind on what you want to do, the answer is yes.

Edited by Tams

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... Any recommendations on software?

 

 

 

Since you have no programming/backtesting experience, it is difficult to make suggestions to you.

 

Most of the software has a 30 day trial.

Just go download a few and try them for yourself.

 

Ninjatrader is F-R-E-E... until you starts trading. That's a good starting point.

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No back testing experience, but I can program in Java and C++. To be more specific, I guess I was hoping that some sort of suite would exist that could be easily configurable to match on specific rule sets.

 

As far of software goes, are there better alternatives to Ninjatrader, I don't mind paying if it is going to make my life easier.

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No back testing experience, but I can program in Java and C++. To be more specific, I guess I was hoping that some sort of suite would exist that could be easily configurable to match on specific rule sets.

 

As far of software goes, are there better alternatives to Ninjatrader, I don't mind paying if it is going to make my life easier.

 

Tradestation is probably the most popular choice. If you are experienced in programming, you probably would not have much difficulty picking up the other platforms' language. I would suggest to check out NinjaTrader as Tams suggested. It uses C# which should be an easy transition for you since you know C++ already. The current version is not very robust for backtesting, but the next version (7.0), to be released before the end of the year promises to resolve most of the issues. Check the release notes on their website.

 

Also check out Amibroker which is very flexable and also easy to do portfolio level backtesting and very inexpensive compared to other platforms.

 

Another platform that is very flexable is Neoticker, but not easy to program in. However, if you have a strong programming background, you might not have much difficulty.

 

All these platforms will give you what you are looking for. Best would be as Tams suggested, to download the trials and see which one speaks to you.

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Will do. Do you know if TradeStation offers any sort of API that would allow me to download historical data, say I wanted to build my own database based on my own criteria.

There is currently no market data API available in the TradeStation platform. You can however, download a lot of data and export as text or CSV.

What you are looking to do is fairly simple, using daily data, and a lot of studies have been done (see Steenbarger). You can open a Tradestation account with or w/o their brokerage acount. Alternatively, if you are just testing the waters, download a 30 day trial copy of Multicharts from TSSupport, which is a TS clone, and just use the free Yahoo EOD daily data.

 

As someone had pointed out in the other forum to your question, you can do all of these in MS Excel as well, which is what Steenbarger did with a lot of this studies.

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davewolfs,

 

If you go the TS / MC route, PM me and I can give you template code for outputting 'count' statistics for various ways your test condition turns out (sans actual system backtesting). From there you could kick the stats out to .csv , etc. if needed...

 

zdo

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There is currently no market data API available in the TradeStation platform. You can however, download a lot of data and export as text or CSV.

What you are looking to do is fairly simple, using daily data, and a lot of studies have been done (see Steenbarger). You can open a Tradestation account with or w/o their brokerage acount. Alternatively, if you are just testing the waters, download a 30 day trial copy of Multicharts from TSSupport, which is a TS clone, and just use the free Yahoo EOD daily data.

 

As someone had pointed out in the other forum to your question, you can do all of these in MS Excel as well, which is what Steenbarger did with a lot of this studies.

 

I didn't realize that the data is easily available from Yahoo for the daily values and it seems like this could easily be done in excel. Thanks for the help.

 

How is Multicharts compared to the actual Tradestation platform? Are almost all TS Studies/Indicators backward compatible?

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if you are skilled enough - you can do anything with excel. Excel can read data files in CSV format.

There are free programs (or under $100) to download free daily data from the internet too!

 

TS you can do a lot with, but there are better ones. I second sevensa's neoticker recommendation, and amibroker.

 

I am using tradersstudio which makes amibroker look like a kids toy.

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I didn't realize that the data is easily available from Yahoo for the daily values and it seems like this could easily be done in excel. Thanks for the help.

 

How is Multicharts compared to the actual Tradestation platform? Are almost all TS Studies/Indicators backward compatible?

 

Pretty darn compatible.

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