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Financial Trading Software?
finance-geek asks: "What software do you use for trade evaluation? Are there any good free programs out there? I am a former programmer now working at an investment fund, and I am shocked at the limited number of applications for evaluating and back-testing trading models. We currently use Wealth Lab , but since they were recently purchased by Fidelity, we are less certain about the future of their customer service. I checked out SourceForge.net but only a few programs looked interesting, and it will take me a while to evaluate them. Any suggestions?"
You can market time them. You can market time anything. That doesn't make it a good idea. You need extraordinary gains to overcome brokerage fees and taxes (which are higher since you're not holding them for at least a year).
If you want my advice...read _A Random Walk Down Wall-Street_ and unless you have the equivalent of several full-time jobs to devote on an ongoing basis, buy broad indexes (e.g., Wilshire, with S&P 500 being a second choice) and get on with your life. If you're socking away a thick 401K + Roth IRAs for most of your working life, you'll retire rich and making 12% instead of 10.5% (historical S&P 500 average) isn't going to make that much of a difference...but making 3% once you factor in your losses from amateur play sure will.
All deference to the Warren Buffets of the world aside, very (very!) few pros, usually backed by huge research desks, beat the S&P 500 over the long term. That's just as true for small funds as large ones.
Again, _A Random Walk Down Wall Street_ is the best book on investing I've ever read and I highly recommend it.
Advice: on VPS providers
Based on my experience, the challenge is not the software but getting access to updated, correct and historical data. Mechanical Investing is a disipline that seeks to make investment decisions based on objective rules rather than subjective measures (typically "chart reading"), and attempt to measure the success of a strategy with extensive backtesting using historical data. Currently, the most common data sources are ValueLine reports, Stock Investor PRO (from aaii.com) or IBD (investor.com). Getting access to historical data, keeping the data clean and current and "normalize" it for any changes the providers do over time (and they DO change their formats every few years) is the big challenge, not making the software that uses that data to simulate strategies.
And if you want intra-day data, the data problems become even bigger. I guess quite a few of the Technical Analysis services have historical data for testing TA models, but from what I have found there are few cheap and good sources for fundamental company data which also offer historical data.
I'm glad I saw this thread.
First, check out GeniusTrader, which is a very usable tool for backtesting strategies.
A friend of mine and I are writing software for backtesting options trading strategies. It will also be GPLed and some of the architecture is based on the way GeniusTrader did things. GeniusTrader is written in Perl and optsys is being written in C++.
optsys, or what's been done of it (it's in maaaaaaaajor pre-alpha state right now, most features aren't even working yet) is available here, but since I'm running the server on my home PC, it's only up about 14-18 hours a day. GeniusTrader, however, is immediately usable and they have quite a developer/user community now.
I claim first use of "Error No. 0B" - or "No. 0B error." It'll be the new ID 10T!
TA-Lib: Technical Analysis Library at http://ta-lib.org/
Windows and Linux technical analysis open-source software library allowing to maintain and process financial data. Provides RSI, MACD, Stochastic, moving average... plus SQL, ASCII, Yahoo! stock market data access. Works in C/C++, Perl, .NET. Source code included.
Another: http://eiffel-mas.sourceforge.net/
and one more library: http://quantlib.org/