Author Topic: Backtesting  (Read 2346 times)

mrpercentage

  • Handlebar Stache
  • *****
  • Posts: 1236
  • Location: PHX, AZ
Backtesting
« on: November 28, 2015, 05:47:16 PM »
What do you use, and how do you use it? Is there a free backtesting tool out there that can process seasonal investing?

I am aware of https://www.portfoliovisualizer.com

aj76er

  • 5 O'Clock Shadow
  • *
  • Posts: 9
  • Location: Portland, OR
Re: Backtesting
« Reply #1 on: November 30, 2015, 02:06:22 PM »

DaveR

  • Stubble
  • **
  • Posts: 244
Re: Backtesting
« Reply #2 on: December 01, 2015, 02:05:55 PM »
I use R. It's free, infinitely flexible, and allows you to code up whatever hair-brained scheme you want.

mrpercentage

  • Handlebar Stache
  • *****
  • Posts: 1236
  • Location: PHX, AZ
Re: Backtesting
« Reply #3 on: December 01, 2015, 04:06:51 PM »
Is R hard to learn? The world is full of things that require innovation. I still think I can time the market, and want to back test my hypothesis.

DaveR

  • Stubble
  • **
  • Posts: 244
Re: Backtesting
« Reply #4 on: December 01, 2015, 04:33:30 PM »
Is R hard to learn? The world is full of things that require innovation. I still think I can time the market, and want to back test my hypothesis.

I didn't find R hard to learn, but I qualify as an Excel power user, data geek, with solid statistics and coding skills. That said, if you are serious about modeling and testing your trading scheme, R will probably find its way into your toolkit. There are lots of (free) resources online and even courses like this one: https://www.coursera.org/course/compfinance.

I will also add, backtesting is a very narrow (one history) view of the market. You should set up your hypothesis under alternative histories, i.e. monte carlo simulations that include black swans. When you survive the zombie apocalypse with 95% confidence, you have a winner.

mrpercentage

  • Handlebar Stache
  • *****
  • Posts: 1236
  • Location: PHX, AZ
Re: Backtesting
« Reply #5 on: December 01, 2015, 06:30:06 PM »
Nice. Thank you for sharing that link.

I was hoping for a recommended paid site that would let you use a system already built to handle it. Maybe one with a reasonable fee or monthly subscription. Im sure one of the brokers has one but really do not want to open an account with XXX minimum to access it.

AlanStache

  • Handlebar Stache
  • *****
  • Posts: 1783
  • Age: 38
  • Location: South East Virginia
Re: Backtesting
« Reply #6 on: December 01, 2015, 06:39:04 PM »
I work in Matlab, is not free but home use is not cost prohibitive if you look at the licenses as an expense for a hobby and a way to learn new stuff.  There are lots of premade toolboxes available.   I have not used R but have heard good things about it.  I have tried a few of the free alternatives to Matlab and found them lacking - just did not have the polish or ease of use I wanted.  With a programming language there will be a good learning curve depending on your background.

JZinCO

  • Pencil Stache
  • ****
  • Posts: 622
Re: Backtesting
« Reply #7 on: December 01, 2015, 06:49:56 PM »
I work in Matlab, is not free but home use is not cost prohibitive if you look at the licenses as an expense for a hobby and a way to learn new stuff.  There are lots of premade toolboxes available.   I have not used R but have heard good things about it.  I have tried a few of the free alternatives to Matlab and found them lacking - just did not have the polish or ease of use I wanted.  With a programming language there will be a good learning curve depending on your background.
Oof I wouldn't ever purchase a home license for matlab unless it was required for a personal business.

I've used R for some personal finances (ggplots, summary stats). Of the languages I have experience in, if one knows basic, R, matlab or python the learning curve is shallow.

edit: Just to be helpful to OP, I will +1 portfoliocharts. It's visually sexy
« Last Edit: December 01, 2015, 06:58:10 PM by JZinCO »