Update on backtesting platform please

Questions and discussion of Trading Blox and other platforms for non Trading Blox customers. Trading Blox customers should use the Trading Blox Support forum.
mike168
Roundtable Knight
Roundtable Knight
Posts: 142
Joined: Mon Jan 23, 2006 10:24 pm
Location: Australia

Update on backtesting platform please

Post by mike168 » Wed Feb 01, 2006 7:15 am

I have abandoned developing my own long term trading systems a few years ago. I am now using 3 black box systems and would like to start testing my own ideas again. I have been using Tradestation, VB and Excel for backtesting. I am looking at Veritrader, Trading Blox and Tradersstudio.
I have search for posts in this forum about the merits of these platforms but some of the posts are quite outdated. I would like someone with this knowledge to comment on the following please:
1. Veritrader - it seems the speed is fastest of all three
2. Trading Blox is more recent but has some stability problem - according to someone in this forum.
3. Tradersstudio is the cheapest, has the ability to import Tradestation code. My black box systems has a version for this. I have used products from Ruggiero before. Seems perfect match, but what is the trade-off?
I intend to use one of these platforms for testing trading systems on a basket of commodities. Which one would you suggest? Am I correct to assume all of them have basic money management (fixed percentage) built in?
Thanks.

Tim Arnold
Site Admin
Site Admin
Posts: 8540
Joined: Tue Apr 06, 2004 1:41 pm
Location: Boston, MA
Contact:

Post by Tim Arnold » Wed Feb 01, 2006 8:37 am

Hi mike168,

I can't speak for Tradersstudio, but I can give you an update on your first two questions.
1) VeriTrader is no longer available. The new version is now called Trading Blox Professional. This product has all the features of VeriTrader plus many more new enhancements.
2) When Trading Blox was first introduced back in July it took some time to shake out all the issues. But we have now 10 point releases under our belt, and version 2.0.11 is just around the corner. There are no stability or major issues outstanding at this time.

Here is another recent post you may be interested in as well:
viewtopic.php?t=2803

Hope that helps,

Tim

Turtle40
Roundtable Knight
Roundtable Knight
Posts: 201
Joined: Wed Oct 19, 2005 1:53 pm
Location: Guernsey, Channel Islands

Post by Turtle40 » Wed Feb 01, 2006 10:41 am

Mike168,

Can't speak for other platforms, but I have had TBB Pro for about 3 months now. It is completely stable, (2.10), and in all respects is a joy to use. I have no negative comments about the program at all, and the support from Tim and co. is brilliant.

I would highly recommend it!

-Turtle40

zz double
Roundtable Fellow
Roundtable Fellow
Posts: 53
Joined: Mon Jul 25, 2005 9:06 am

Post by zz double » Wed Feb 01, 2006 11:44 am

Mike,

Ditto the above, you'll find TBB stable and very easy to use. You can back test an amazing amount of different system combinations.

ZZ

mike168
Roundtable Knight
Roundtable Knight
Posts: 142
Joined: Mon Jan 23, 2006 10:24 pm
Location: Australia

Post by mike168 » Thu Feb 02, 2006 7:14 am

Thanks guys for your valuable comments. I have had a look at the user guides and have these initial feelings:
1. I have been using Tradestation Easy Language, VB and EXcel for testing at portfolio level. Using these generic tools are time consuming (for the coding part) but could barely do the job. (Example: I have already built in VB to cater for periodic roll-over commission slippage costs, testing on different system-instrument combinations etc)
2. With TBB, testing at a portfolio level is much easier provided I use the built in systems and blox. If I have to code / translate my existing Easy Language library into TBB, it is a steep learning curve and probably a lot of debugging time.
3. Arguably very robust systems like Turtle and Aberration were struggling in the last few years from large drawdowns, is this testing at portfolio level really could turn out miracles? Both of these 2 systems have already done some kind of portfolio testing.....
I would appreciate someone with similar background to share their experience. Thanks.

AFJ Garner
Roundtable Knight
Roundtable Knight
Posts: 2040
Joined: Fri Apr 25, 2003 3:33 pm
Location: London
Contact:

TBB

Post by AFJ Garner » Thu Feb 02, 2006 7:48 am

TBB is stunning, no other word for it. Best money I have spent on my trading odyssey.

mike168
Roundtable Knight
Roundtable Knight
Posts: 142
Joined: Mon Jan 23, 2006 10:24 pm
Location: Australia

Post by mike168 » Thu Feb 02, 2006 8:48 am

Thanks AFJ. Judging from the response of users like you, I think I am convinced that it's worth the investment (time and money). I am still waiting for my black box developer to see if his systems support this platform - and price. In the meantime, for those who have reserve on my decision and those who think otherwise, please voice it out. It's now or never! :D

Tim Arnold
Site Admin
Site Admin
Posts: 8540
Joined: Tue Apr 06, 2004 1:41 pm
Location: Boston, MA
Contact:

Post by Tim Arnold » Thu Feb 02, 2006 8:59 am

And if we can help in any way to get your black box system onto Trading Blox, please let us know. More than happy to assist.

zz double
Roundtable Fellow
Roundtable Fellow
Posts: 53
Joined: Mon Jul 25, 2005 9:06 am

Post by zz double » Thu Feb 02, 2006 10:36 am

TBB will enable you to test multiple parameter settings over multiple timeframes for any of the built in systems, or ones that you program yourself. You'll then be able to see what has worked consistently well and see if it fits in with your idea of a good system.


ZZ

mike168
Roundtable Knight
Roundtable Knight
Posts: 142
Joined: Mon Jan 23, 2006 10:24 pm
Location: Australia

Post by mike168 » Thu Feb 02, 2006 4:58 pm

Unfortunately my black box developer just told me he does not support TBB at this time, so it's back to square one - Tradersstudio against TBB.

Tim Arnold
Site Admin
Site Admin
Posts: 8540
Joined: Tue Apr 06, 2004 1:41 pm
Location: Boston, MA
Contact:

Post by Tim Arnold » Thu Feb 02, 2006 5:18 pm

Maybe it's not either/or -- one may serve a different purpose than the other... Just a thought.

mike168
Roundtable Knight
Roundtable Knight
Posts: 142
Joined: Mon Jan 23, 2006 10:24 pm
Location: Australia

Post by mike168 » Thu Feb 02, 2006 6:23 pm

It's not exactly the money for the 2 different platforms. It's the time that I have to spent to come up with something. At present I am using the 3 black box systems for long term trading. If I use TBB, I think I may come up with something to trade at least one year later - doing research, backtesting, research again, etc. On the other hand, if the 3 black box supports TBB, I could do more money management/ intrument experiments and come up with something in the immediate future. If only Microsoft is in the trading business as well, then we could get one "universal trading language for traders".... As a trader, I would like to concentrate on testing my trading ideas instead of my programming skills.

RedRock
Roundtable Knight
Roundtable Knight
Posts: 941
Joined: Fri Jan 30, 2004 3:54 pm
Location: Chicago

Re: TBB

Post by RedRock » Thu Feb 02, 2006 9:32 pm

AFJ Garner wrote:TBB is stunning, no other word for it. Best money I have spent on my trading odyssey.
Yes.
Last edited by RedRock on Fri Feb 03, 2006 4:07 am, edited 1 time in total.

mike168
Roundtable Knight
Roundtable Knight
Posts: 142
Joined: Mon Jan 23, 2006 10:24 pm
Location: Australia

Post by mike168 » Thu Feb 02, 2006 11:33 pm

Slightly off topic: For those of you die-hard TB supporters, are you trading off the box TB systems? If trading your own systems, how many years of system development experience needed before turning profitable?

RedRock
Roundtable Knight
Roundtable Knight
Posts: 941
Joined: Fri Jan 30, 2004 3:54 pm
Location: Chicago

Post by RedRock » Fri Feb 03, 2006 1:01 am

oops :wink:
Last edited by RedRock on Fri Feb 03, 2006 4:16 am, edited 2 times in total.

mike168
Roundtable Knight
Roundtable Knight
Posts: 142
Joined: Mon Jan 23, 2006 10:24 pm
Location: Australia

Post by mike168 » Fri Feb 03, 2006 1:36 am

For those of you wondering why I would like to stick to my black box systems for now, I would like to post the following hypothetic results:
These are not results from the developer but rather my own test result under the following conditions:
1. Start equity 384,000
2. Period 1 Jan 1981 to 2 Feb 2006
3. Commission + Slippage:$100 initial + $100 every 60 calendar days in market
4. Risk 0.5% each on 3 black box systems & 15 commodities
Yes, yes - I know some of you would say these are too good to be true or I would soon own the world with these result. My point is, I have code my own systems before I bought these black boxes and I am still convinced that I would not be able to come up with something like this any time soon - even on a hypothetic level.
Attachments
result1.jpg
result1.jpg (128.27 KiB) Viewed 14128 times
result2.jpg
result2.jpg (323.95 KiB) Viewed 14128 times

Turtle40
Roundtable Knight
Roundtable Knight
Posts: 201
Joined: Wed Oct 19, 2005 1:53 pm
Location: Guernsey, Channel Islands

Post by Turtle40 » Fri Feb 03, 2006 5:16 am

Hi Mike,

I have never owned backtesting software before, and have learnt more in the last 3 months, than probably in the last 5 years of "dabling" with various systems. I have now "designed" a system, backtested from 1992 to present, trading 20 markets.
Risk is 1%/trade. Gives a return of about 62% CAGR, with a max DD of about 18%.
I am now going to put my money where my mouth is. The system starts trading live next week.
Without TBB, I would still be trying other people's black boxes, and probably not progressing. I now have the confidence to trade my system, as I know what effect the various parameters have on the overall results.
-This is all done with TBB Pro. No programming whatsoever. Just modifying the inbuilt blox.

-Turtle40

mike168
Roundtable Knight
Roundtable Knight
Posts: 142
Joined: Mon Jan 23, 2006 10:24 pm
Location: Australia

Post by mike168 » Fri Feb 03, 2006 6:39 am

Turtle40, I always admire those who could design good systems, especially those who put their money where their mouth is. Good luck with your trading and I wish you every success.

Tim
My black box developer said he would look into this and see whether he could work something out. I have sent you a PM. Thanks.

zz double
Roundtable Fellow
Roundtable Fellow
Posts: 53
Joined: Mon Jul 25, 2005 9:06 am

Post by zz double » Fri Feb 03, 2006 7:34 am

Mike,

I think the black box systems you want to incorporate are probably just versions of the ones that are in TBB anyway, except that they are fixed. In my view, after looking at various BB systems in the past, I now have the ability to create my own systems and tweak, test, love or hate them as I see fit.

ZZ

mike168
Roundtable Knight
Roundtable Knight
Posts: 142
Joined: Mon Jan 23, 2006 10:24 pm
Location: Australia

Post by mike168 » Fri Feb 03, 2006 7:58 am

ZZ double
We don't have any argument here. I am convinced that TBB is powerful and worth the money. It's just that if my existing systems could not be ported into TBB, there is no immediate need for me to rush in. Before I give up coding my long term trading systems (I still code my intraday systems), I tried various ideas. Of course at that time I could only try on a per system per instrument basis. TBB could save a lot of development time. The point is, being not a true programmer, I am already strggling to remember all the syntax for Easy Language, VB and Excel. There is little room and time for me to add an additional programming language, particularly if it might be superseded by another more power program / program language in the near future. This makes the use of the program very expensive. Having said that, I still intend to buy it because of the very positive response from you users.

Post Reply