Just my experiences so far..

Questions and discussion of Trading Blox and other platforms for non Trading Blox customers. Trading Blox customers should use the Trading Blox Support forum.
Post Reply
Sam
Senior Member
Senior Member
Posts: 41
Joined: Wed May 14, 2003 5:40 pm
Location: London, United Kingdom

Just my experiences so far..

Post by Sam » Wed Jan 05, 2005 10:30 am

Up to November of last year, I have been developing systems and back testing by hand using historical charts. Not the easiest of tasks, although certainly pretty laborious! The charts I referred to were both end-of-day and intraday (in order to check if positions were stopped out and had to be reentered the same day).

In November, I wanted to see if I could develop any worthwhile day trading strategies. Since I knew this would involve far more data than eod data, and I didn't really want to screw up my eyes looking at intraday charts, I thought I would enlist the power of computers (welcome to the 21st century!) I wasn't too keen on learning how to program, so I thought I might be able to use Excel for testing since I am pretty familiar with it. I did manage to 'code' a system up just by using functions and logic rather than VB script. However, this took absolutely ages to do and also I found it was very restricting. I can change parameters and see what the results would be but to create another system would probably mean another couple of weeks to 'code' in to Excel.

So I have now (a little begrudgingly-I don't really want to learn how to program, but may have to) started to look at commercial back testing platforms. I have now downloaded the trial version of Amibroker and have managed, within a day, to code my existing systems into it! The trial version cannot deal with intraday data, but I am assured by the developer that the Professional version will be able to do this and so I am seriously considering purchasing that.

I am also considering Veritrader 2.0 since apparently I will be able to code my own intraday systems in. One thing I noticed about the current version and previous versions of Veritrader is that it doesn't allow intraday data. I thought this odd since one of the main features of Veritrader is to test the Turtle system. If I recall correctly, exits using the alternate 'whipsaw' method are engaged at 1/2N away from the entry. Since N, in terms of market movement, refers to (approximately) the movement in a day, wouldn't it follow that on the day that a breakout occurred, a position may be entered and then exited (at 1/2N) and then reentered and exited a number of times? If only end of day data was being used, this would be impossible to detect and test . I would be grateful for comments on this (apologies in advance if addressed elsewhere).

Forum Mgmnt
Roundtable Knight
Roundtable Knight
Posts: 1842
Joined: Tue Apr 15, 2003 11:02 am
Contact:

Post by Forum Mgmnt » Wed Jan 05, 2005 10:45 am

Search for the word whipsaw and you'll find several discussions on this.

- Forum Mgmnt

Post Reply