writing a trading system

[Rambis]

what is the software that you would recommend to a non-programmer to backtest trades based on technical indicators.

[aiki14]

Thompson One Analytics
http://www.thomson.com/pdf/financial/im/TF_fs_IM_Analytics
They have a trial subscription, I don't know if it's free,
https://www.thomsononeim.com/s-log_in.asp

[Luc1Grunt]

what is the software that you would recommend to a non-programmer to backtest trades based on technical indicators.

stockfetcher as an easy first source, pm me if you need some help.

[Luc1Grunt]

what is the software that you would recommend to a non-programmer to backtest trades based on technical indicators.

Comprehensive look. Well done in all regards.

http://www.elitetrader.com/vb/showthread.php?s=&threadid=108534

[dmoo]

Hey all,

(Long-time lurker, first-time poster. I'll make a proper introduction later in a better context.)

It appears that all of the packages I've seen have defects in backtesting option strategies - that is, they'll offer full pricing on the underlying, but have a limited subset of option pricing, if at all. I was expecting to find a package with intraday pricing for the full universe of exchange traded options.

Or am I missing something?

DM

[netwrangler]

Hey all,

(Long-time lurker, first-time poster. I'll make a proper introduction later in a better context.)

It appears that all of the packages I've seen have defects in backtesting option strategies - that is, they'll offer full pricing on the underlying, but have a limited subset of option pricing, if at all. I was expecting to find a package with intraday pricing for the full universe of exchange traded options.

Or am I missing something?

DMdmoo, I don't think you are missing a thing.

In my view, the fundamental problem with 'back-testing' strategies involving options is that you can't really test option strategies because the data isn't there to do that.

I'm sure there are data services out there that will provide the necessary data for a fee. Good luck in merging that data with your broker's back-testing models.

I questions brokerage sites that trumpet, "back test, back test, back test" and exclude options from that testing - at least from the rigorous level of testing that is available for equities.

I see this as an on-going problem.

[dmoo]

In my view, the fundamental problem with 'back-testing' strategies involving options is that you can't really test option strategies because the data isn't there to do that.
[snip]
I see this as an on-going problem.

Okay...so it turns out I haven't lost my keen sense of the obvious. Thanks for the validation.

I wish I had it in me to tackle this, insofar as it seems like a huge problem just begging for a solution. Unfortunately, I divorced myself from herding cats a couple years back and just can't see giving up my soaps and bonbons long enough to whip a financial data platform dev team into shape.

BTW, in case I neglect to mention this elsewhere: thanks to you, Luc1 and Aiki for your selfless contributions to this forum. I think 97% of the 4238 posts I've read here can be attributed to one of the three of you. (I might be off by a %point or two.)

DM

[Rambis]

nobody seems to be able to do it all... some of these systems seem to limit you to a couple methods of position sizing, trailing stops, the number of stocks, no ability to do spreads, no money management...

[wallstreetsedge]

plus option data is saved based on trades which were executed.. because various options can go traded without having any volume for days, weeks, even months.. you may not even see a change in the price

thats also one of the reasons why i started my thread containing one of my accounts with $20k and my order executions - look at my signature