StockFetcher Forums · General Discussion · Trading for a living - Backtesting Systems<< >>Post Follow-up
alichambers
48 posts
msg #44787
Ignore alichambers
6/9/2006 7:19:57 AM

Hi,

I recently made the decision that I wanted to trade for a living. EOD, as I'm not into intraday screen watching. I'm looking at mechanical systems - such as those discussed on this forum - to dictate entry & exit points. I also aware of money management and stop losses.

However... to the point of the post...

With so many systems out there, I'd like to pick a few I like and backtest them. I'd like to test entry points, eg:-

- DMI Cross, and price above MA of x (test ranges)
or
- MACD, etc...

Then test various exit points:

- Trailing stop (low of previous day if long, etc...)
- Price cross through MA

I'd like the backtesting to show:

1. What my ROI would be
2. What my max drawdown would be
3. What my risk/reward ratio is (ie. 1 loss for every 2 gains of 2x)

How do I do this? Is there any software - that is *decently priced and suitably fast* that could run tests on the market and ascertain this sort of information?
The SF backtesting doesn't seem to be detailed enough.

And would it be realistic to make 10% per month trading EOD? With my trading capital available, this would be all I'd need to make to make a living.

Thanks for your help,
Alex




Koronbock
201 posts
msg #44796
Ignore Koronbock
6/9/2006 9:55:40 AM

The best (and cheapest for what it can do) is AMIBROKER.

Amibroker.com

It is a lot mor realistic and versatile than the SF backtester.
See for yourself. They have a free trial period.




nikoschopen
2,824 posts
msg #44803
Ignore nikoschopen
6/9/2006 1:48:09 PM

I would think the most widely used backtester world over is TradeStation. I know that all the big-name honchos live and swagger by their test results certified by TS. Metastock has its own die-hard followers with their quirky shrine to show for. And, of course, there is AmiBroker, a reasonably-priced alternative to its big brethren. If ure just starting out, I would go with AB and then perhaps upgrade later to TS or MS. All three require you to learn their brand of language.


heyen
124 posts
msg #44884
Ignore heyen
6/11/2006 4:50:38 PM

Test Drive AB Pro and you wont need TS!


craigk
24 posts
msg #44912
Ignore craigk
6/13/2006 6:26:16 AM

I am just learning and would like to learn to be a trader too.

www.fidelity.com has wealth-lab pro for active traders. Don’t know if good.

Maybe. Stock price over $5, Vol. over 200K. If the trades are less than on month, average 5% + per trade,
ROI = AHAP (as high as possible),
Draw down = ALAP (as low as possible)
For risk/reward ratio try Profit Ratio = avg.winning trade/avg. loosing trade X % Winners/ % Losers. Profit Ratio greater than 1.5 , 3.0 great.
Some systems have more loosening trades but big winners.

Top 10: Software May 06
1. TradeStation 8.1
2. MetaStock
3. Professional Traders Starter Kit
4. Building An Automated Excel Stock Trading System
5. TeleChart 2005
6. Advanced GET
7. AIQ TradingExpert Pro
8. NeuroShell DayTrader Professional
9. OmniTrader
10. MetaStock Professional

Note: I spoke with several “Advanced GET” people at a conference and they said it was hard and prefer “Profit Source” for Elliot wave stuff.



craigk
24 posts
msg #44913
Ignore craigk
6/13/2006 6:45:31 AM

I would also like to trade. Or at least, have that as a back-up career. You can Email me at ck1way-trade at yahoo.com I left out the @( at = @) so a spider does not pick up the email.

A 10%/ month system? Wow. Do you have a system that does 10%/ month (130%/yr)? Or are you buying a system like that or have you created a system?

If so, maybe I could help pay some of the cost for a copy and I will not sell system. But a warning, a lot of people are trying to sell systems that do not work. I know only the best stock tipping newsletters averages about 15% per year over the long haul. Sometime they have good runs like changewave had a good run last year. I think over 50%. Coolcat did over 500% in late 90’s-2001 then went to 0% for a year.

I just started looking for systems and I bought two so far, one was modified (repackaged) canslim II program. (IBD) I think canslim will give you about 15-40%/yr if do it correctly. Another was a $50 ebook, “beating the trend” with a money back guarantee. I spent 4 nights programming the system two weeks ago from a TC2000 screen to stockfetcher screen (stockfetcher is so much easier to program most of the time). I then backtested the system in stockfetcher. It averaged a minus and a break even on backtesting. And that was without slippage and trading costs. Waiting for my money back. I then look at the Internet ad and it listed 6 stocks in a three week period with 7.5-14%+ returns, only one meet all the criteria!?! Lies, Lies, Lies. And what I like to call lottery stories. “I made over 20,000 in two months! It is so nice to use the extra money to feed starving orphans” Jane & Dick. Oh please!

If you are buying a system, you will want to use the plateform it is program for. If you are buying a signal or stock tipping service, you can use any program.
If you are designing your own, good luck, and if it is good. You can sell it to me.

Email me at ck1way-trade at yahoo.com Craig



nikoschopen
2,824 posts
msg #44915
Ignore nikoschopen
6/13/2006 11:52:42 AM

craigk,

While those 10 software you mention are clearly popular and well-entrenched among active traders, not all of them are considered "backtester" by definition. Most of them are just prepackaged charting system with their own "proprietary" indicators.

Wealth-lab Pro, on the other hand, does allow you to build and backtest ure own system and is pretty damn good.

I would also caution that "it's not HOW to backtest, it's WHAT you backtest". There's no limit to tweaking ure filter to squeeze out what little life there is in order to improve the test result, but if you don't have a good system to start with it ain't gonna matter much anyway.


nikoschopen
2,824 posts
msg #44929
Ignore nikoschopen
6/13/2006 6:40:23 PM

(Source: Technical Analysis of STOCKS & COMMODITIES, July 2006)
________________________
Top 10 Software

1. TradeStation 8.1
2. MetaStock
3. Professional Traders Starter Kit
4. Building An Automated Excel Stock Trading System
5. TeleChart 2005
6. Advanced GET
7. AIQ TradingExpert Pro
8. NeuroShell DayTrader Professional
9. OmniTrader
10. MetaStock Professional

________________________
Top 10 Trading Systems

1. Applied Reality Trading (ART)
2. TurtleTrader.com
3. Building an Automated Excel Spread Trading System
4. Day Trading the S&P 500
5. eASCTrend
6. Options "40 In 4"
7. Trendchannel
8. PRISM MACD Trading Plan & Manual
9. Aberration
10. AnalyzerXL -- Excel Trading System



StockFetcher Forums · General Discussion · Trading for a living - Backtesting Systems<< >>Post Follow-up

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