TraderMojo
16 posts
msg #90990
- Ignore TraderMojo |
4/9/2010 7:49:08 PM
I'm sure the big boys have software that can do this, but does anyone know of available software that can iteratively run backtests on one or more filters to give the filter parameters for optimal profit?
For example, the software would run backtests on a filter where the RSI(X) crossed above Y, varying X and Y to find their optimal values.
Stockfetcher, that would make a nice 3.0 feature.
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MarketMonk
6 posts
msg #91035
- Ignore MarketMonk |
4/11/2010 3:05:46 AM
You may want to look at Amibroker. It's pretty amazing and runs circles around SF .
But has it's downsides as well. It costs a little chunk of change and requires a data subscription service for either realtime data or EOD data. The other downside is it will require a pretty good learning curve to get up to speed.
But it should let you do all sorts of backtesting with optimization (creating 3D plots, etc).
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Kevin_in_GA
4,599 posts
msg #91039
- Ignore Kevin_in_GA |
4/11/2010 5:38:16 AM
Investor/RT from www.linnsoft.com. Very reasonable pricing (my EOD subscription is $50/month), and it can do exactly what you are asking. Can also get real-time and intraday optimization as well. LOTS of indicators and features.
What it does not do is to select stocks, it only optimizes against a set of stocks for whatever indicator settings provide the best profit.
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sbuck143
88 posts
msg #91092
- Ignore sbuck143
modified |
4/12/2010 2:51:59 PM
I use Metastock as my charting / backtesting service primarily. I paid a one-time fee for it up front, and paid a one time fee for a 3rd party EOD data downloader, so the software has already paid for itself on the back of a few good trades.
Be careful about too much optimization. A very wise trader once told me that if you create a system that only works under an exact set of precisely optimized parameters, it is doomed to fail when you trade it in real life...
Stockfetcher scratches my itch because I can access it at work and its programming language is easier to deal with.
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wdewerff
7 posts
msg #91105
- Ignore wdewerff |
4/12/2010 10:17:56 PM
Ninjatrader, it's a free download for non-trading purposes and free eod data. The backtester will do optimizations, but as the previous poster said, don't over optimize and backtest over different periods and timeframes.
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TraderMojo
16 posts
msg #91109
- Ignore TraderMojo |
4/12/2010 11:10:46 PM
Way of the Turtle has some good discussion on good versus bad optimization. Good optimization is discovering how changes to a parameter impact the performance of your system, allowing you to select the optimal value for trading. Bad optimization, or overfitting, is taking it too far -- adding rules that affect only a small number of important trades, which ends up skewing your results.
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