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Software for Backtesting and Order Generation

I get quite a few questions about trading resources. Since I don’t have an encyclopedic knowledge of what’s out there, my ability to comment on specific packages is limited. I can only speak to the ones with which I am familiar. By posting the questions here, I’m hoping others with experience of these resources can provide some assistance. To that end, here is a recent inquiry.

What software would you recommend for backtesting and order generating system and what particular options should I look for. Ever heard of Trading Blox?

The software I have used for many years in terms of system testing and development is MetaStock. As you might imagine, I do recommend it. By way of disclaimer, I should mention that I am currently in the employ of Thomson Reuters, and that Equis (the company that produces MetaStock) is an affiliated company. I started using the software long ago, however.

The main competitor to MetaStock is TradeStation. The two packages have been the top rated packages among the technical trader community for many years.

There are, of course, dozens of other alternatives out there. I am not overly familiar with most of them, but that doesn’t really mean anything in terms of their quality. You should explore them to find the one(s) with the features you most require.

What those features are depends on the types of testing you anticipate doing. Some of the things that will probably come in to play in the decision-making process are:

  • Real-time vs. End-Of-Day data (the latter being cheaper)
  • Ability to develop customer indicators/functions
  • Types of charting available
  • Breadth of common indicators available
  • Complexity of the package’s coding language (if any)
  • Integration of the software with a trading platform
  • Ability of the platform to generate signals and/or alerts

Oh, and let’s not forget Microsoft Excel. I’ve used spreadsheets many, many times in my system design and testing efforts. If you’re a proficient user with VBA skills, Excel can be quite handy and more specifically flexible for what you’re trying to accomplish.

As for Trading Blox, I know of the application, but have not used it. Former Turtle Curtis Faith is/was involved with it, and mentions it many times in his book Way of the Turtle.

Do you have a favorite system development software package? Leave a comment below and let everyone know about it.

4 replies on “Software for Backtesting and Order Generation”

Forex Tester Pro is an excellent forex package for backtesting your strategies candle by candle without the need to be a computer programmer. It has data going back several years and so you can choose your timeframe and currency pair and then have the candles come at you as slowly or as quickly as you wish and you “trade”.It collects your performance stats too. John, you could probably set up as an affiliate of this company and get a good discount for your subscibers; I got one through my forex mentor Rob Booker.Check it out at http://www.forextester.com., I can honestly recommend it. Hope this is helpful!

Probably a discerning trader would have to look at NinjaTrader and Ensign for both charting capabilities and backtesting.. and both have free forex data…

I have used Trade Navigator from Genesis for charting and backtesting for about 3 years and more recently for order generation. Its fairly easy to learn and a strong feature is its “English like” language to program strategies rather than the complex programming required in some of the other packages. http://genesisft.com/