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Re: help on backtesting

  • To: mathgroup at
  • Subject: [mg35177] Re: [mg35155] help on backtesting
  • From: "Jonathan Rockmann" <MTheory at>
  • Date: Fri, 28 Jun 2002 02:31:12 -0400 (EDT)
  • Sender: owner-wri-mathgroup at

 Hello Oleg and MathGroup,

Yes, I too am attempting to do Mathematical Finance as well as trading system
development on Mathematica versus some existing proprietary software
systems used by brokerages or other non-Mathematica software platforms whose
prices are exorbitant.  If anyone has any head starts/packages/products which
utilize Mathematica for Oleg's problem of trading system development or for
more simply/efficiently running the basic studies such as risk analysis,
forecasting, option pricing, etc., please also let me know!

Of course, I have already taken a look at WRI's Finance Essentials, Time 
Series, etc. and Derivatives expert (a third party software) is also a bit
pricey and I'm not even sure that it would be a definitive solution to 
all of the above specs.

Once again, I thank all of you who take part in MathGroup.


Jonathan Rockmann
mtheory at

----- Original Message -----
From: burd at
To: mathgroup at
Subject: [mg35177] [mg35155] help on backtesting
Dear Group,
may be you can help me.
I'm trying to model backtesting for arbitrary stock trading system in
Mathematica. I choose Mathematica hoping that issues like complex
stochastic strategies etc can be easily implemented. The advantage I
was loking for was speed. However I'm experiencing problems with
trivial issues like keeping track of trading position, stop loss
limits etc. Have somebody ever done smth like this? Any help and
advice would be appreciated.
Thx and have bull markets,

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