Title: Re: [amibroker] AmiBroker Performance
Ryan,
I cannot add anything to your report, except that I greatly enjoyed reading it. Thank you for sharing your results!
Of course I was happy to learn that AmiBroker did well. Congratulations on this one Tomasz ;-)
best regards,
herman
Thursday, September 24, 2009, 9:55:37 AM, you wrote:
> Hello All,
> I have just completed a few days of testing several modeling/backtesting
> programs. I thought, perhaps, the other members of the list might find the
> results useful; as I am new here, hopefully this can serve as my first productive contribution.
> I do a lot of testing & modeling on (a) daily bars (looking to execute
> intraday trades) and (b) tick data (for short-term trades). In the case of the
> first, I need to create signals on a daily series but execute orders against a
> 1M intraday series. So, in order to test an idea over five years of data, I
> have to do it over 5Y of 1M data. This gets into performance issues when you
> start wanting to run a test on several issues and want to run multiple
> revisions of the test. As for testing on tick data, I am sure you are familiar
> (at least conceptually) with the performance issues there.
> I took a look at NinjaTrader, TradeStation, OpenQuant & AmiBroker. I created
> an ASCII file of 5Y of EURUSD, USDJPY, GBPUSD, AUDUSD & USDCAD 1M data. In
> each program, I ran a simple EMA crossover test (10/50). It was an obnoxious
> test, resulting in +300,000 trades, but it was easy to implement and was a
> good stress test. What I wanted to do was see if I could get: a) reliable
> (e.g. reproducible) results from a single-security test and b) a test of the
> five FX pairs as a portfolio (again, in a reliable/reproducible manner).
> 1. Ninja: I use Ninja daily to scalp with and execute some short-term system
> code. I had dim hopes for the backtesting since I am familiar with the program
> - Ninja really is an execution platform first and an analytical platform
> second. The results were more or less what I expected: I could get it to test
> one issue with reproducible results at an okay speed (about 3:00M) but it
> would start to go into fits when I ran it against all five at once. The
> results of the five issue test would vary from instance to instance - it would
> usually show the results for the first 3 issues correctly, but on the last 2
> it would suffer some kind of memory issue and give me numbers that were
> totally off. In one pass, it even managed to corrupt itself and I had to reload all the data.
> 2. TradeStation: I have a lot of time invested in TradeStation and I was
> already familar with it's problems - mainly, that over a large test set, TS
> will return different test results. I have talked with TS support and posted
> on the message board about this, but I never got anyone interested in what I
> found to be a critical issue. The results of this test were as expected: I
> could not get two results to match. Any time I would refresh data from the TS
> data servers and run the test again, I would get a different result. Sometimes
> it was as much as test 1 being -$190K and test 2 being +$74K. I do not
> understand how anyone can use this tool for successful modeling if they are
> testing over a large dataset; just making up a number would have been as
> useful. I even exported and imported the data to ensure that it wasn't an
> issue with the TS data servers. Same inconsistency. I couldn't test all five
> pairs together since TS does not do portfolio backtesting. As
> for time of a single test, it is hard to tell with TS as to what, exactly,
> it is waiting for/trying to do at any given moment, but I would say it would
> usually take about 2/4M per test (although, I have no idea what it was doing
> in that 2/4M since the results it returned seemed random at times).
> 3. OpenQuant: This platform looked interesting. I set it up, imported the
> data and ran a test. After 20M I noticed that the first EURUSD 1M test was at
> 10%. I closed it down and uninstalled it. The performance was just not going to work for me.
> 4. AmiBroker: You can likely guess the results as I am here as a new member.
> AB was able to test EURUSD in about 30 seconds and was able to do the
> portfolio of all 5 pairs in about 2M. No matter how many times I ran the test,
> the numbers it would return were the same. This fact is pretty crucial to my
> work. I understand that data will have errors in it, but I at least need my
> modeling software to consistently return results (which AB did). I even
> created new databases and populated them with the same data - all test results returned were the same.
> As you all know, AB was, by far, the cheapest option out of all of the above.
> I hope some members find these results useful/interesting and I think that
> these results really are a credit to Tomasz.
> I would be
> interested to hear from anyone who has tested AB against any other
> off-the-shelf tools that I did not look at.
> - Tim
>
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**** IMPORTANT PLEASE READ ****
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
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