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To compare WealthScript and EL in a nut shell I would say, for simple
strategies (ChartScripts) TS is easier, even thou we offer drag and drop for
most part of it. For more complex strategies WealthScript is more powerful.
Just to give you an idea on the kind of strategies you can test with WL:
System 1: Combined Ranking Symbol Rotation Using ROA and P/E
The basis of this system is from "The Little Book That Beats the Market" and
is a system written for our new Fundamental forum on our website. It
combines 2 lists of ranks – taking the highest ROA and lowest P/E to form an
overall rank. The 5 top stocks (can be varied) are purchased after
re-ranking every 2 months. On the S&P 500, this system churned out 13% APR
over the last 5 years – and that’s ignoring dividends.
This ChartScript will be published in the Active trader magazine soon.
System 2: Dogs of the Dow (+CommissionScript)
References: http://www.investopedia.com/terms/d/dogsofthedow.asp;
http://www.dogsofthedow.com
In a nutshell – rotate into the 10 highest-yielding Dow 30 stocks at the end
of each year. The interesting thing about this system is that it relies on
collecting dividends to be profitable. Now, we don’t have an easy way to
deposit or withdraw cash to influence the equity curve in Wealth-Lab, but it
can be done using a CommissionScript that “adds” the dividends as negative
commissions, i.e., profit. That’s how we did it here, and it works quite
well.
Expect an article in AT magazine or in the Fidelity Active Trader newsletter
soon. ;)
System 3: Relative Strength Industry Groups
We are working on this one right now (and I’m getting pretty excited about
it). This one normalizes a stock’s price relative strength against a
benchmark (.SPX), ranks and then analyzes all the stocks with a percentile
80 and above. (This is actually the “L” from CANSLIM – Leader or Laggard.)
On each bar (week or month suggested), it tallies the stocks with the same
GICS Industry Group, and then buys 14 stocks: 3 from each of the 2 groups
with the most tallies, and 2 stocks from each of the next 4 groups.
I hope you get an idea but of course it requires more then just "c > c[1]"
coding. ;)
Regards,
Volker Knapp
(www.wealth-lab.com)
-----Ursprüngliche Nachricht-----
Von: RB [mailto:rhodes@xxxxxxxxxxxxxx]
Gesendet: Wednesday, January 25, 2006 4:53 AM
An: 'Omega-List'
Betreff: Re: OT:Backtesting utilities
It would be great if wealth-lab had a way to use TradeStation codes as is.
Is that possibly for development in the future?
I know each software package needs their own way of doing things as far as
programming ect., but I can't understand why most of them would not also
offer a way to use TradeStation codes.
Maybe I am too practical.
----- Original Message -----
From: "VK" <volker@xxxxxxxxxxxxxx>
To: "'PM'" <pablomejia@xxxxxxxxx>; "'Omega-List'" <omega-list@xxxxxxxxxx>
Sent: Tuesday, January 24, 2006 5:05 PM
Subject: AW: OT:Backtesting utilities
> Both are based on Pascal and it is not too difficult to transfer the
> scripts.
>
> Regards,
>
> Volker Knapp
> (www.wealth-lab.com)
>
>
> -----Ursprüngliche Nachricht-----
> Von: PM [mailto:pablomejia@xxxxxxxxx]
> Gesendet: Tuesday, January 24, 2006 9:00 PM
> An: Omega-List
> Betreff: Re: OT:Backtesting utilities
>
> Great suggestion but:
> Can I transfer my EL code into WL? Is there a utlilty for this? Any
> other options besides WL?
>
> Pablo
>
> David Jennings wrote:
>
>>B4 anyone else say's it, have a look at Wealth Lab.
>>----- Original Message -----
>>From: "PM" <pablomejia@xxxxxxxxx>
>>To: "Omega-List" <omega-list@xxxxxxxxxx>
>>Sent: Tuesday, January 24, 2006 7:36 PM
>>Subject: OT:Backtesting utilities
>>
>>
>>
>>
>>>Any good 3rd party utilities for backtesting multiple strategies against
>>>a symbol? I feel like I'm panning for gold right now with TS and it is
>>>exhausting. I just need something to help me weed out the weak
>>>strategies. Any suggestions, thoughts, rants..etc?
>>>Pablo
>>>
>>>
>>>
>>
>>
>>
>
>
>
>
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