Testing and automate Trading strategies

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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ycentrino
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Testing and automate Trading strategies

Post by ycentrino » Sat Nov 12, 2011 8:48 am

Hello,

I am currently testing Tradingblox, it´s probably the best backtesting software I have used so far, lot´s of options most I have never considered when playing with tradingsystems and last but not least it shows you the importance of a proper money mangement in real time.



I do have a question regarding backtesting:

Let´s say you guys developing a strategy for stocks and it works great there (e.g. Tripple mov avg.), do you think such strategy should also work when applied to futures?


I am not sure, but I think when have a strategy with an "edge" it should work "vice versa" as well, of course drawdowns.... will vary, but basically it should be used as a proof for the robustness of a strategy.

In general I don´t think stocks should be used for a systemic approach because of splits/re-splits, capital raising.....at the end the right choice most likely will be always futures or ETF´s.

Would be great if you guys can tell me more on that. Does this makes sense? Or I am completly wrong on that?




Next question I have is regarding automation of Tradingblox generated signals.

In case I am going to use CSI Data is there any way to automate:

the daily download of CSI data
generate daily orders within Tradingblox
in case of new orders automatically send an email

I am thinking to run Tradingblox on a Virtual Private Server 24/7 that should provide me notifications via email.


Can this be done somehow with Tradingblox?


Thanks for your reply!

Tim Arnold
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Post by Tim Arnold » Sat Nov 12, 2011 4:13 pm

the daily download of CSI data
generate daily orders within Tradingblox
in case of new orders automatically send an email
Yes, many customers do this. You can rent an online windows server from GoDaddy or other source, and setup CSI UA and Trading Blox to run on a scheduled basis. The orders can be emailed to you or your broker.

ycentrino
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Post by ycentrino » Sat Nov 12, 2011 8:54 pm

Hello Tim,

Thanks for your reply! Is there a description available how to perfrom such setup on UA and Tradingblox?

thanks a lot!

Moto moto
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Re: Testing and automate Trading strategies

Post by Moto moto » Sun Nov 13, 2011 5:59 am

ycentrino wrote: Let´s say you guys developing a strategy for stocks and it works great there (e.g. Tripple mov avg.), do you think such strategy should also work when applied to futures?
there is only one answer to that - test it.
ycentrino wrote: I am not sure, but I think when have a strategy with an "edge" it should work "vice versa" as well, of course drawdowns.... will vary, but basically it should be used as a proof for the robustness of a strategy.

In general I don´t think stocks should be used for a systemic approach because of splits/re-splits, capital raising.....at the end the right choice most likely will be always futures or ETF´s.

Would be great if you guys can tell me more on that. Does this makes sense? Or I am completly wrong on that?
Just as a food for thought reply, as this is an open ended and often never ending question....and only testing will start to give an idea that it might work in reality. The main issues you will most likely deal with is....
1.... in the data collection - as you mention splits, dividends etc - getting accurate data is difficult (getting data not that hard)
2...what is the universe of stocks you will cover - while futures markets might give you 100 instruments, stocks give you 1000s
3....you need to be able to drop instruments out of the portfolio and put new ones in as they are listed, delisted etc;
4....there are other issues regarding which stocks you can get leverage on, which you cannot, which stocks you can short - when they are called back or not prior to closing them out - eg; recent bans, short squeezes etc

you get the picture ---- however, thats not to say there is not value in testing ideas, and just settling - maybe you get lucky and pick the right stocks, maybe not.
There is a lot of discussion here regards stocks and ultimately it boils down to how much a fudge you can live with in testing v reality.

ycentrino
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Post by ycentrino » Sun Nov 13, 2011 11:51 am

Hello moto moto

First of all, thanks for your reply and pointing out the possible issues when dealing with stocks.

Because of all this potential issues when looking for a systemic approach I strongly believe that stocks should be just used to proof the robustness of a given future or etf strategy, it can give you a hint if your system is maybe overfitted or just work in a certain market phase when results will be completly different.

If somebody has the right amount of money available futures will be the right choice, for the rest most likely etf´s will be more suitable.

That´s just my thoughs I have observed so far......

bobsyd
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Post by bobsyd » Sun Nov 13, 2011 3:08 pm

ycentrino

Any reason you aren't considering spot forex?

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Post by fab1usa1 » Mon Nov 14, 2011 6:50 am

ycentrino,

I deployed my TB and CSI in the Cloud with Amazon Web Services. It costs about $35 per month but I could get it cheaper if I prepay.

I intend on writing up a detailed description and setup instructions to share on this forum. Unfortunately all of my energy has been diverted into a Startup.

ycentrino
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Post by ycentrino » Wed Nov 16, 2011 3:43 pm

@bobsysd: sorry my fault, of course forex should be included as well.
I didn´t include it because so far I never traded forex beside a few tests with Metatrader.

@fab1usa: That would be great if you could share your expierience/settings for a proper UA/tradingblox setup. I will do my own tests and would be happy if we could share our results on that.

Thanks guys!

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