How Do YOU Simulate?

Discussions about the testing and simulation of mechanical trading systems using historical data and other methods. Trading Blox Customers should post Trading Blox specific questions in the Customer Support forum.
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How do YOU Simulate?

VeriTrader
15
26%
TradeStation
7
12%
TradingRecipies
6
11%
WealthLab
6
11%
QuantStudio
0
No votes
TradersStudio
2
4%
Behold
1
2%
TradeMagic
0
No votes
Custom Excel/VBA/VB
6
11%
Custom C/C++/C#/Java
14
25%
 
Total votes: 57

shakyamuni
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How Do YOU Simulate?

Post by shakyamuni » Sun Dec 26, 2004 11:04 am

I'm interested in seeing the breakdown of simulation platforms used by the members of this forum.

What platform do you use?

I will list some platforms I can think of, which I think includes most of the majors; but please chime in with your platform if its not included on the list.

It would also be great to hear about strengths, weaknesses, experiences, on your platform. What do you like about it? Dislike? How much have you worked with it? Have you designed and implemented a profitable trading system with it? ... general experiences.

ro
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Wealthlab vs. Tradestation vs. Veritrader/Lego

Post by ro » Mon Dec 27, 2004 10:58 am

This topic is of great interest to me because one of the first assignments c.f. gave me when I started here at TTS was to compare Lego to Tradestation and Wealthlab. I compared the products by speed, overall funcionality, and ease of use as a total rookie to the concept of mechanical trading systems.

I found Wealthlab to be a pretty good product in terms of functionality. It had the ability to import any data stream of your choice, run tests using your own code or code posted by other users on their interactive forum (ranked by a "Wealthlab Score"), and provided the option to establish a live connection with a broker. It also allowed for portfolio level simulation. The problems I found with Wealthlab were its speed compared to other products, and its overall ease of use. The platform to me was a bit cluttered in my opinion with some features that were almost identical in function as others. Also, Wealthlab did not have the ability to step almost every parameter as Veritrader does, which would effectively mean that if you were trying to test multiple scenarios, you would have to run a new test for each different combination.

Tradestation also has its benefits. I found it to be packaged extremely well and overall a very 'slick' looking product. It had useful features like a live ticker, easily available links to news about pretty much any traded instrument, and the ability to open an account with Tradestation to execute and fully automate your trading if you choose. The major shortcoming that I noticed when working with Tradestation was that when running a simulation, you can only test one instrument at a time. The lack of porftolio level simulation is a major shortcoming in my opinion. Overall speed of the product was impressive, but again I was only testing one instrument at a time.

Veritrader, I think, is the most powerful backtesting simulator of the three. It allows the user to step multiple parameters at a time, testing a portfolio against several mechanical trading systems. The platform was easy to get used to and runs tests very quickly. Of course I am a bit partial to Veritrader, so I would be very interested to hear some objective opinions on this subject from someone, perhaps more seasoned than myself in using mechanical trading systems, who has tested some of the other products mentioned here.

cyphrograph
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Post by cyphrograph » Mon Dec 27, 2004 12:33 pm

It would be interesting to compare speed and reliability of the most popular backtesting engines. WLD, VT, TS, etc. users could you run a simple test on your machines?

Let's optimize EMA cross system
EMA fast length 300 to 490, step 10
EMA slow length 1500 to 1980, step 20
on 1-minute EURUSD bars start 1st Jan 2004 end 15th Dec 2004 with 50 pips stop-loss.

How much time does your software needs to finish calculations?

DrHendricks
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Speed

Post by DrHendricks » Mon Dec 27, 2004 2:37 pm

Ro wrote:
I would be very interested to hear some objective opinions on this subject from someone, perhaps more seasoned than myself in using mechanical trading systems, who has tested some of the other products mentioned here.
If you really want to see the lights dim, try coding in some calculation intensive indicators such as C. Kase's Peak Oscillator into wealth lab.

This is why I eagerly await 2.0 Veritrader.

David

redbullpeter
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Location: London, UK

Dual platform

Post by redbullpeter » Tue Dec 28, 2004 9:48 am

I've been using Wealth-Lab for the last few years and love it as it is a very quick and easy way to test ideas/concepts.

However I've started to develop my own C++ platform based on ta-lib for more rigourous and extensive testing as well as more sophisticated ideas such as genetic algorithms and neural nets.

I have no experience of TradeStation and not really interested due to it's poor support for multiple systems and money management.

Veritrader, I can't really comment either but what I've seen from early version demos and the people behind the development effort is looking promising.

Peter

Ragnar D.
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Posts: 11
Joined: Thu Oct 14, 2004 1:58 am

TradeStation

Post by Ragnar D. » Tue Dec 28, 2004 12:54 pm

Ive been using TradeStation for years now and i think its wonderful. I particularly like the lights flashing when Im trading. :twisted:

With Tradestation its also nice that i am able to override my signals when my experience dictates it.

I am also dabbling with Wealthlab as it has a TON of indicators. This works out well when i combine about 80-100 indicators to generate a signal. Although it is a bit slow though during the simulations. but probably because i use too many indicators. But hey, im looking for 99% probability trades so optimizing with as much indicators as possible is the way to go.

As far as others like TradeMagic, Trading Recipes etc..there is not much support for it which is why i think its a dying breed. Just check out their forums, there is no chatter. ANd just check out the results on this Poll. the numbers speak for themselves.

Veritrader is gaining a lot of ground and i like the fact that more and more users are picking it up so i might switch soon . :D

Hopefully Veritrader comes out with the ability to add a lot of indicators. This is the most important thing to generating profits.

ro
Contributing Member
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Posts: 6
Joined: Wed Oct 06, 2004 9:48 am
Location: St. Thomas, VI

What Features do you like?

Post by ro » Thu Dec 30, 2004 11:45 am

David,

I was just using the software for the evaluation period only, and thus didn't really get a chance to dabble extensively with WealthScript. I spent most of my time comparing features and differences between the products.

A pretty useful resource on the Wealthlab forum I found was the area where users could post their own wealthscripts for evaluation and use by other customers. Though it did get a bit redundant after the first ten systems i looked at (ie Turtle1,turtle2,johndoe turtle, the real turtle, etc. etc. ad nauseum) :roll:

To the Wealthlab aficionados, do you really use other user's posted code or is this just a cool thing to have?

To all, what features does Wealthlab or Tradestation or other competitive products have that you like or enjoy?

DrHendricks
Roundtable Fellow
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Joined: Tue May 13, 2003 12:21 am

Post by DrHendricks » Thu Dec 30, 2004 1:01 pm

To the Wealthlab aficionados, do you really use other user's posted code or is this just a cool thing to have?
Although I wouldn't say I'm an aficionado, I used it mostly as a teaching tool to learn how to implement my own ideas in Wealthscript.

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