TradeStation Backtesting Engine At Work

The Backtesting Engine is the core software doing the backtest. 

It takes as inputs the historical price data and trading strategies.

The backtesting engine applies the trading strategies to the historical price data to get a series of hypothetical trades and records the results.

The outputs of the backtesting engine are typically performance statistics.    I have added instrumentation to gather additional information about each trade for later analysis.

Many backtesting engines are available commerically.    Well-known platforms include TradeStation, Worden Blocks BackScanner, WeathLab, Amibroker.    Many brokers such as TD Ameritrade offer backtesting engines for their customers.

In spite of the wide availability of software, many traders don’t backtest because of the huge amount of work it takes.    Reading a Backtesting Report is much easier. 

Last updated 11/11/08.

Tags: Amibroker, backtesting, data, instrumentation, TD Ameritrade, TradeStation, trading, WealthLab, Worden Blocks Backscanner

By Instrumentation I mean adding my own special instructions into the code for the trading strategies to produce useful information for analysis. 

The commericially available backtesting engines provide limited data and what they do provide is not in a convenient format to process for thousands of runs.

Tags: backtesting, data, instrumentation, trading