RE: Re: help on backtesting
- To: mathgroup at smc.vnet.net
- Subject: [mg35193] RE: [mg35177] Re: [mg35155] help on backtesting
- From: "DrBob" <majort at cox-internet.com>
- Date: Sat, 29 Jun 2002 01:37:54 -0400 (EDT)
- Reply-to: <drbob at bigfoot.com>
- Sender: owner-wri-mathgroup at wolfram.com
It's simpler to just play the slot machines. Bobby Treat -----Original Message----- From: Jonathan Rockmann [mailto:MTheory at msn.com] To: mathgroup at smc.vnet.net Subject: [mg35193] [mg35177] Re: [mg35155] help on backtesting 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. Sincerely, Jonathan Rockmann mtheory at msn.com ----- Original Message ----- From: burd at gmx.net To: mathgroup at smc.vnet.net Subject: [mg35193] [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, Oleg.