Thread: Trading Strategy Research

Hey,

I am trying to gauge interest in investment modeling/backtesting/optimization in order to possibly create a product that can solve them for my own use and possibly others.

I would like to ask anyone that is interested a few questions about what you perceive as the biggest challenge you face in carrying out backtesting/stress testing/optimization of your trading ideas. I know that that there is a multitude of software that does this but as far as I can see most of the software on the market is either deficient or expensive (or both). Most of the software also does not focus solely on the area of trading strategy research.

[1]Do you test your trading ideas/strategies?

yes

[2]What makes you want to punch your computer screen while researching and testing your ideas?

nothing

[3]Would you be prepared to pay for research software that did not cost a fortune and would not require you to learn anything new?

depends on the functionality and simplicity.

[4]Do you expect the software to be available as a download to use on your PC or as software as a service via your PC, tablet/mobile phone?

Online - I set the criteria you run the test and you show me the result. The simpler - the better.

[5]What are the biggest pains with trading strategy development/testing/stress testing/optimization etc?

Run couple of million tests to find the good setting for criteria in a strategy.

Base functionality might be strategy development, testing, optimization and performance metric reporting. I guess a trading strategy would be setup by configuring various strategy simulation parameters (eg trade management, stoploss/limit order formulas etc), selecting appropriate studies & indicators, entry/exit rules, portfolio selection, walk-forward test period etc No coding would be required but if further flexibility is required (ie creating your own indicators) then a visual programming editor (ie using drag/drop modules) could be used again without the need for traders to code up a particular strategy/indicator (not all strategies could perhaps be tested this way but most simple to reasonably complex strategies could be tested).

If you want to offshore the hassle of executing and managing data/testing/optimization and strategy reporting then you could setup the strategy on your PC/tablet or mobile device and send it to the cloud to run on a virtual R&D engine. On completion you would be emailed a detailed report including diagnostics (to confirm that the strategy is producing trading signals that behave as intended). The analysis would use either the recommended data vendor database or you could supply your own. As the focus would be on R&D and a quick iniitial delivery then I would not want to divert efforts into the area of trade execution etc (ie supplying a full blown trading platform). However an export facility to allow the import of trading strategies into popular trading platforms might be looked at a later date. The focus would therefore be to quickly and easily generate/test new trading ideas as well as providing a quick and easy way to develop/test/optimize a trading strategy.

I use Price Action Lab and this software combines strategy discovery with backtesting on single security and portfolios, robustness evaluations and various other tests. It generates code for Multicharts 4 too. It does not require any coding form my part and this solved a few of the problems you mentioned.