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Seeking guidance in intraday backtesting, data, and software selection...
I'm wondering if anyone is doing intraday backtesting of stocks with
Tradestation (or any other software for that matter). I already own TS4.
Here's my dilemma.
I'm trying to develop intraday strategies down to the tick level and want to back
test them. These are my 3 main problems:
1. As you know, TS4 has a 32,000 bar limit which prevents me from doing a
backtest for more than one day with some stocks. I want to backtest across a
longer time period.
2.I don't want to backtest everything under the sun. I'd like to build a custom
list based on daily data (ie 20 day avg volume > 100K and last closing price >
$20). I can do this, but can't get TS4 to use this list for backtesting intraday
data. I anticipate a custom list of 1500-2500 stocks and I would update this
list every week.
3. Data. I need a place where I can get historical intraday stock data on most
NYSE,AMEX,NASDAQ stocks for backtesting. I haven't had a datafeed for a
while and I've only been using the Omega refresh data, but I haven't
downloaded that for a while and based on this list it's not in a good state.
Let me preface this by saying I don't care about real-time intraday data.
Once I have a strategy, I put it into FirstAlert and execute it manually based on
that software's signals. FirstAlert is excellent at scanning the market for my
conditions and far exceeds Tradestation in this ability, so intraday real-time
data for Tradestation is not of a concern, only intraday historical.
OK. This seems to be the state of the world as I understand it from this list
and my own experience.
1. The only way I can do the multi-day intraday backtesting on a custom list
with TS4 is to use an external driving program. I put something together using
a combination of Vis Basic and a macro language. The downside is that it's
quite kludgy and requires a lot of babysitting.
2. Omega's TS4 refresh data may not be long for this world and I don't know if
I want to get tied into that.
3. Omega's TS5 refresh data HistoryBank is fraught with errors or missing
ticks and may not be long for this world either.
So, it seems that here are my choices:
1. Buy dynastore and get it fed by quote.com or DTN (I think eSignal is too
limited on the number of symbols you can get). Feed it into my current TS4
2. Buy TS2K upgrade and get it fed by DTN (or quote.com with dynastore).
But does this solve the multi-day intraday backtesting and intraday custom
lists problem?
3. Get TSPro upgrade which comes with data. But does this solve the multi-
day intraday backtesting and intraday custom lists problem? And is it as full
functional as TS4 and TS2K
If anyone has any guidance in this matter, it would be greatly appreciated.
Comments, suggestions, what you're doing now, etc.
I'm looking to ramp up in about 2 weeks, so I need to settle on a solution that
1. doesn't cost a fortune in the long run
2. Allows me to do the most backtesting with the least effort, ie not having to
go around my elbow to set up each test or write a macro program to drive TS.
(running backtests of different strategies on multiple computers would be very
nice).
3. Allows me to do the backtesting I've described.
4. Has a way for me to get historical intraday stock data (remember, lots of
stocks) without costing an arm and a leg (I know companies sell this, but it
seems to be at a cost of $18/symbol - multiply that by 200 symbols and
YOWCH!).
5. Has a way for me to get refresh data.
In terms of a feed or refresh data (I don't care which because I don't need it
real-time), tick quality and quantity is more important than speed.
Thanks,
Cash
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