System evaluation help
Jan 22, 2017 at 08:20
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8 Replies
Member Since Jan 18, 2017
3 posts
Jan 22, 2017 at 08:20
(edited Jan 21, 2017 at 13:15)
Hi all,
I am new to the site, just come across a few good systems in the site, and I would like to do autotrade with it. I am planning to subscribe to a basket of such systems to help diversified my portfolio. I understand I can down all the historical trades for each system, and I am planning to combine a few them and run back test for a group result. The main purpose of these back test are for money management purposes, how much weighting of each of the system I subscribe I plan to use.
This is new to me, and I think there are people in this site who has already done so. So my question is, what kind of software do you guys use to back test these past trades, also is there any free / paid historical data I can use to backtest these systems.
Can anyone give me a direction of what I should be doing please?
Thanks
Clayton
I am new to the site, just come across a few good systems in the site, and I would like to do autotrade with it. I am planning to subscribe to a basket of such systems to help diversified my portfolio. I understand I can down all the historical trades for each system, and I am planning to combine a few them and run back test for a group result. The main purpose of these back test are for money management purposes, how much weighting of each of the system I subscribe I plan to use.
This is new to me, and I think there are people in this site who has already done so. So my question is, what kind of software do you guys use to back test these past trades, also is there any free / paid historical data I can use to backtest these systems.
Can anyone give me a direction of what I should be doing please?
Thanks
Clayton
claytonleung2008@
Jan 22, 2017 at 19:54
I use Meta Trader 4, and it is a very popular software. You can usually always get historical data from your broker, and if you have a broker that has accounts enabled for your chosen software, you are golden.
As far as using other systems, I have no idea. I believe programming your own system and understanding it is far superior to trusting another system. No system is perfect, and it will need to be changed and altered over time.
Furthermore, I am not sure the systems here can be backtested, and are a subscription service versus being a robot.
As far as using other systems, I have no idea. I believe programming your own system and understanding it is far superior to trusting another system. No system is perfect, and it will need to be changed and altered over time.
Furthermore, I am not sure the systems here can be backtested, and are a subscription service versus being a robot.
Everything in the market is like a fart, if you have to force it, it is probably shit
Member Since May 04, 2012
1608 posts
Jan 23, 2017 at 07:24
AutoTrade strategies cannot be backtested because either the EAs behind them are proprietary (i.e. top secret) or the accounts are traded manually, in which case backtesting is not possible in general.
You can only backtest EAs which you own or lease, and the most easily available method to do that is by TickStory which also allows downloading historical data (up to M1 resolution) through its interface going back to approx. 10 years.
You can only backtest EAs which you own or lease, and the most easily available method to do that is by TickStory which also allows downloading historical data (up to M1 resolution) through its interface going back to approx. 10 years.
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Member Since Jan 18, 2017
3 posts
Jan 23, 2017 at 15:31
thanks for the reply.
i like to clearify my points, i am not backtesting against the 'algorithm' or code of the strategy. i am backtesting against the 'historical trades' of the strategy for money management purposes. i am treating each strategy as a blackbox. but i like to test their correlation against other strategies.
i like to clearify my points, i am not backtesting against the 'algorithm' or code of the strategy. i am backtesting against the 'historical trades' of the strategy for money management purposes. i am treating each strategy as a blackbox. but i like to test their correlation against other strategies.
claytonleung2008@
Jan 23, 2017 at 16:02
If I understand you correctly, you are going to be doing a lot of manual work. Obviously, you would have to go through each trade and check against your own MM desires. There would be no real way to to test the correlation without doing the manual work yourself.
Really, I don't think you would find much, and if any correlation is found, how would this help your edge?
Really, I don't think you would find much, and if any correlation is found, how would this help your edge?
Everything in the market is like a fart, if you have to force it, it is probably shit
Member Since Feb 22, 2011
4862 posts
Jan 23, 2017 at 16:08
claytonleung2008 posted:
Hi all,
I am new to the site, just come across a few good systems in the site, and I would like to do autotrade with it. I am planning to subscribe to a basket of such systems to help diversified my portfolio. I understand I can down all the historical trades for each system, and I am planning to combine a few them and run back test for a group result. The main purpose of these back test are for money management purposes, how much weighting of each of the system I subscribe I plan to use.
This is new to me, and I think there are people in this site who has already done so. So my question is, what kind of software do you guys use to back test these past trades, also is there any free / paid historical data I can use to backtest these systems.
Can anyone give me a direction of what I should be doing please?
Thanks
Clayton
@claytonleung2008
to backtest autotrade systems you need to use autotrade (top menu on mfb) functionality - simulator
Member Since Jan 18, 2017
3 posts
Jan 24, 2017 at 07:29
dkilmer posted:
If I understand you correctly, you are going to be doing a lot of manual work. Obviously, you would have to go through each trade and check against your own MM desires. There would be no real way to to test the correlation without doing the manual work yourself.
Really, I don't think you would find much, and if any correlation is found, how would this help your edge?
From my work as a financial planner, i know the concept of asset allocation, here, i just treat each of the system as a another 'asset', i need to run some correlation test and see if i can treat each of the system as a separate class of 'asset'. eg. one thing i will do is mix counter trend strategies and trend strategies together to help me smooth my equity curve.
if there is no such program readily available, i will need to dig into my stats book and code it myself.
claytonleung2008@
forex_trader_381462
Member Since Dec 04, 2016
2 posts
Feb 07, 2017 at 09:55
Good idea to run metrics as a group (Portfolio Modeling)--that's how pro managers do it. I have heard of RightEdge being used for portfolio modeling so try that. I'm not sure if you can import CSV files into the software like you can with NInjatrader but it's worth looking into. Speaking of Ninjatrader, I love the software but I was not able to do Portfolio Modeling with it--not with my version anyway.
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