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> now if
> there's a company (and i'm sure there are) that has all that abstracted for
> me then great sign me up. however, the additional overhead of interfacing
> with a server to collect data, managing the data in arrays and taking care
> of all the programming problems, not just your system logic problems, would
> double the burden of the task even if you had the other pieces already
> abstracted. townsend analytics might have something like this but what's
> needed is a C++ or VB library of functions that provide a framework like
ezl
> does for the would be VB or C++ system programmer to code in.
PowerST has this (currently only for EOD data). There is a programming
environment similar to Easy Language, but in C++. Not a clone of Easy
Language, but a similar type of environment.
> actually i differ with you on the opinion that you can't do post abalysis
of
> your trades with ts4. offhand, here's how i'd do it:
>
> 1. after each trade is generated, write the positionprofit, time, price,
and
> all the other position stats TS give you to a text file
> 2. a text file with a list of all trades taken and other info is generated
> 3. use a program like C or VB to read these results in and do the post
> analysis yourself.
PowerST can also work as an add-on to TS (EOD or intra-day). This above list
is essentially describing how PowerST works in add-on mode.
This item 3 in the list is a big programming project if you want to do
significant analysis. I know. I have done it. I programmed the portion of
PowerST which does this, and it took me over a year of full time C++
programming.
What is it so hard about it? It is very complex. It is a lot of data to
process. The particular type of post processing I am referring to is money
management where position sizes are based upon portfolio equity. In other
words, the amount you can trade is based upon your account equity, which is
the way it is in the real world.
To combine markets and systems into portfolios means all individual markets
and systems must be in RAM at the same time so they can be processed day by
day. If you want to process long time series and/or lots of market and
systems, it can exceed physical RAM. PowerST solves this by making multiple
passes processing progressive time periods.
Different markets have different holidays, so you have to match dates and
handle holding trades through holidays. That is a pain to deal with. PowerST
also handles portfolios containing different time periods, which is another
complexity.
You need to track combined portfolio equity day by day. You must also track
combined portfolio equity and drawdown based upon the position sizes
determined by the money management position sizing rules because these are
what are being used to make decisions about the sizes of future trades.
You need a framework for specifying the money management rules. Similar to
Easy Language, but for calculating position sizes rather than entry and exit
orders. This framework needs access to information about the individual
markets and systems. For example, current position and whether there is a
potential trade the next day. Mix this per market information with portfolio
equity. Add in portfolio drawdown or whatever else the money management
strategy requires. The rules of the money management strategy uses all this
information to determine positions sizes for the next day.
A user interface is needed to set options, specify where the export/import
files are located, specify which market systems to include in the test,
display results.
This project has been done over and over in the past, because in the past
there has been no adequate commercial product which supports this type of
analysis. Sometime in C++ or VB, sometimes in Excel. In the marketing of
PowerST I have been making contact with quite a few people who have attempted
this, either themselves or working with a programmer. A couple failed
attempts who ended up purchasing PowerST instead. Always the same story. It
is a big programming job.
> really anything can be done with ezl because it gives you the ability to
> interface to C and VB to an ezl app.
The question is the amount of programming involved. Yes it can be done, but
is a practical task?
Someone else asked:
> >I sort of gather that there is not a lot else available for serious system
> >writing/testing/trading.
>
> I understood (probably wrongly) that banks/investment houses backtested
> their investment/trading strategies for all asset classes - anyone got any
> idea which products they use, or whether these products are proprietry or
> commercially available ?
I'm not 100% on what you mean by backtesting asset classes, but suspect it is
similar to what I call portfolio money management. As someone else stated,
this has been done in the past only with proprietary custom written software.
I am quite convinced of this from the various people I have been talking to.
Bob Bolotin
Developer of "PowerST: The Power System Tester"
(currently in controlled introduction)
www.powertesting.com
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