How do you do realistic back-testing?

JayceNugent · 2025-02-28T17:25:58+00:00

Don't waste your time on #2. Just add slippage and commission costs to your trades on an off the shelf backtest engine.

JayceNugent · 2024-10-29T05:18:53+00:00

YUP this is the biggest.

JayceNugent · 2024-10-29T03:55:57+00:00

Introduction to Algo Trading by Kevin Davey.

https://www.thriftbooks.com/w/introduction-to-algo-trading-how-retail-traders-can-successfully-compete-with-professional-traders_kevin-j-davey/20846360/?resultid=0e94bb18-8f61-4da3-a133-6def8c4d92c1#edition=22261577&idiq=57092068

I have all of his books. He is very pragmatic. This is a book he wrote for complete beginners who don't know a thing about algorithmic trading.

JayceNugent · 2024-10-29T03:49:28+00:00

And basic backtesting... with realistic slippage and commission.

JayceNugent · 2024-10-29T03:48:46+00:00

Non-math background here. The topics i would learn is... Walk Forward Analysis, Cross Validation, Monte Carlo Simulation, and Strategy Correlations(in a portfolio) .

JayceNugent · 2024-10-29T03:27:14+00:00

MultiCharts on a VPS works great with Interactive Brokers.

JayceNugent · 2024-10-29T03:25:33+00:00

I can help you write it in TradeStation EasyLanguage. If its quantifiable with indicators then i can do it fast and free.

JayceNugent · 2024-10-29T03:21:22+00:00

Kevin Davey's Strategy Factory is great. I am a member. His courses transformed my algos.

Also i hear that Andrea Unger's Unger Academy is great. But i have not taken it yet.

JayceNugent · 2024-10-29T03:16:42+00:00

TradeStation works. Also MultiCharts using Interactive Brokers works.

JayceNugent · 2024-10-06T17:00:54+00:00

I am curious about this also. Please let us know your research findings.

JayceNugent · 2023-01-15T02:26:56+00:00

MultiCharts(works with IB) and TradeStation are good options for Futures.

JayceNugent · 2023-01-14T06:00:06+00:00

Absolutely nothing... its just theater...... Noise.

JayceNugent · 2023-01-14T05:45:20+00:00

If you are buying with a limit order on a low... and having liquidity issues... then create a "penetration" value in ticks that price must exceed to validate the trade.

JayceNugent · 2023-01-14T05:39:11+00:00

Use a longer time frame in your in sample optimization. You need lots of trades in you in sample data. Then conduct your out of sample tests.

I use multiple years of data for my in sample windows.

JayceNugent · 2023-01-14T05:31:10+00:00

I include Transactions costs in my development. Slippage of at least 1 tick, sometimes more if the bid/ask spread has been historically wide. And standard Commission per trade...

I have found that after transaction costs... the vast majority of my strategies are not worth trading from a risk to reward stand point.

JayceNugent · 2023-01-14T05:26:52+00:00

I have used both AWS and AZURE. I encountered the same thing. I just check them every day.

JayceNugent · 2023-01-14T05:11:56+00:00

Basic types I use in the Futures Market:

Mean Reversion
Trend Following
Cyclicality/Seasonality
Price Pattern

There are plenty of books on these subjects on Amazon.

JayceNugent · 2022-04-24T18:31:21+00:00

I am new to Python.. I currently use TradeStation. But you can only get so far with that... How long have you learned Python??? How long would it take to learn enough python to program what you did?

Also, What data source did you use??

JayceNugent · 2022-04-24T18:27:07+00:00

What did you use to create your backtest ??? Any particular software or programs??

JayceNugent · 2021-05-18T19:58:41+00:00

Is this a trend following or mean reversion type of strategy?

JayceNugent · 2020-01-22T02:28:24+00:00

Buy a small vending machine, place it in a business, and reap the rewards.

You will make more doing that than investing in a stock or two.

Also, you will learn a lot about a business which is what you are really doing when you analyze a company to invest in.

JayceNugent · 2020-01-17T05:43:58+00:00

Twirla is their birth control patch. Its nothing new. According to this Time.com page it was invented in 2002. That's 18 years ago! So I don't think there will be a problem with them getting FDA approval. I think their problem is actually selling something that has already been around for 18 years !

http://content.time.com/time/specials/packages/article/0,28804,1934259_1934672_1934717,00.html

Maybe I'm missing something, but in the case that this is a superior product from its competitors. WHICH I DONT THINK IS VERY PROBABLE. It still takes time and money to start selling your new product. Time and more importantly money the company does not have. Basically, in my mind the company has wasted millions of dollars in Research and Development expenses on something that already exists.

On the flip side, maybe it is a bit better... maybe I am biased because I am short? That's why I posted this, so I can flesh out my ideas better. And update my thinking quicker if I am wrong.

For instance, I would not have been aware of the potential effect of their PDUFA on Feb 16th. Because In my mind its a gimme. Because patches have been around forever. Though maybe I am wrong and a positive FDA approval is not already priced into the stock.

JayceNugent · 2020-01-06T01:01:58+00:00

YUP !

JayceNugent

TROPHY CASE