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#1 Posted : Monday, June 4, 2007 5:22:49 PM(UTC)

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(cross-posted to Traders' Consortium as well)

I'm getting to the point of experimenting with system development and backtesting in MS 9.1EOD and have some questions relating to TradeSim. Would very much like to hear from experienced TS users.

1) After rereading the comments I could find on the Equis forum regarding TS, it seems that if we want to do backtesting, and do it right, we may as well completely skip the built-in EST and just use TradeSim. Is this a correct impression, or is learning EST then migrating to TS the way to go?

2) If we want to evaluate/learn/use TS, what's the best way to get up to speed? Given that we can move from version to version at an upgrade price (paying a little extra overall for the privilege), should we start with the Standard, learn it, then move to Professional? Or just skip Standard since we'll need the features in Pro anyway?

3) From my engineering background years ago I understand the basics of Monte Carlo simulation (used to use it to do thermal analysis of communication satellites), but is this capability of TS something to be planned for ultimately? In other words, should we assume we'll eventually need the Enterprise version to do the job right, or is the Pro version xx% "good enough" for most users? (Here I assume an initial purchase of Enterprise would be foolish during the learning phase since we can upgrade later.) In other words, if we get serious about backtesting, is Enterprise ultimately worth the extra US$800+?

And as long as we're on the subject of backtesting tools, has anyone tried out Trading Blox software?

Thanks, guys.
#2 Posted : Monday, June 4, 2007 7:26:07 PM(UTC)

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Hi Jim,

Well, I am in the same situation to consider to buy a backtesting software to conduct backtesting. I have similar questions too.

I would be glad to know the comments from those who have intensive experience in backtesting.


#3 Posted : Monday, June 4, 2007 8:24:34 PM(UTC)

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I guess the answer to your question depends on whether you are evaluating a single security or a portfolio. In the former case, TS offers some advantages over the built-in EST (e.g. problem of remembering values at specific points in time) but it is no good at optimizing variables. Unfortunately, TS does not help you with optimization of money management parameters. If you are evaluating a portfolio of securities then TS is needed because ETS only provides elementary average statistics on a global basis (return, success rate, number of transactions). In the case of portfolio simulation the Professional version of TS is required to carry out a proper evaluation since the Enterprise Version will yield results for a single simulation. My conclusion would be to go for the professional version of TS if portfolio simulation is what you are after, otherwise settle for the Enterprise version. To accelerate your learning process have a look at http://www.backtestingmadesimple.com.au/ .


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