Highly recommended tools & resources

Serious algorithmic trading requires tools fit for purpose. You may be surprised to learn that some of the off-the-shelf products do more than is necessary to run the majority of individual or institutional trading operations right out of the box, and at a very reasonable price. Such are the times we are living in! There's literally no need to compromise. Starting with inferior products is generally a false economy. Here are our top recommendations.

RealTest - Backtesting & Analysis

Simple to use yet extremely powerful

Developed by Marsten Parker, the only systematic trader to appear in Jack Schwager's Market Wizards books, we believe this product represents the single best value back-testing engine on the market.

Using an intuitive script syntax that is easy to learn, you'll get moving quickly, particularly with the many sample scripts provided. Despite this simplicity, there is enormous power and functionality under the hood. Perhaps the fastest back-testing engine on the market, it is able to handle stocks, currencies and futures with ease. There's also a vibrant and helpful community on the RealTest forum.

Visit mhptrading to check it out.

Key Features

  • Multi-Strategy Modeling: combine multiple strategies across long/short, strategy type, market, bar size and view true portfolio based results and correlations easily.
  • Actual Trade Testing: users can import actual trades and compare them against backtest results.
  • Powerful Optimisation & Analysis Tools: including interval tests, walk-forward, monte-carlo, genetic optimisation and so on. There are powerful analysis tools that allow the user to do research on the markets above and beyond 'just backtesting'.
  • Detail Results Analysis: best in class analysis tools, including drill-down capabilities into individual strategy results, view trades on charts, write custom metrics and so on.
  • Data Integration: RealTest integrates seamlessly with data providers like Norgate Data. Everything is taken care of so you can start building strategies on highly accurate data, without survivorship bias, right away. Supports Stocks, ETFs, Futures and FX.
  • Order List Generation: easily generate orders for live trading.

While you won't use RealTest for advanced charting (Trading View can do that for free anyway), and you may not have quite the same freedom as compared to a backtesting engine you may have developed yourself in Python, you would still notice the gap if this tool was missing from your kit. It's just too easy & too fast to test ideas or do research in RealTest to imagine life without it.

Strategy Quant - Strategy Building

Automated Strategy Generation

Comprehensive and User-Friendly, Strategy Quant is an advanced platform for developing, testing, and optimizing trading strategies. It offers powerful features suitable for traders at all levels, providing a streamlined process for strategy creation and robustness testing.

Ideal for traders looking to develop sophisticated trading strategies and portfolios without the need for coding, StrategyQuant combines powerful automation capabilities with comprehensive testing and optimization features.

Check out Strategy Quant.

Key Features

  • Automated Strategy Generation: Leverages machine learning and genetic programming to automate the creation of strategies for various markets, including stocks, forex, futures, and ETFs.
  • No Coding Required: Intuitive interface allows users to build complex strategies without programming knowledge.
  • Backtesting and Optimization: Rapid backtesting engine performs thousands of tests per second, with real tick precision, ensuring robust strategy performance.
  • Multi-Market and Multi-Timeframe Strategies: Develop strategies that operate across multiple markets and timeframes.
  • Platform Integration: Export fully functional source code for MetaTrader 4, MetaTrader 5, TradeStation, MultiCharts, JForex, and NinjaTrader.
  • Custom Projects: Automate workflow with customizable projects that handle strategy generation, filtering, stress testing, and more.
  • Technical Indicators: Includes standard technical indicators and supports custom indicators via AlgoWizard editor.
  • Robustness Testing: Features Monte Carlo simulations, noise tests, and system parameter permutation to prevent overfitting.
  • Integrated Data Management: Offers integrated data options, including free and subscription-based high-quality data for equities and futures. 

Norgate Data - Stocks, Futures, FX

High quality data is paramount

Norgate data is exceptional quality, value for money, and integrates directly with RealTest, Python & other backtesting engines. Specialising in survivorship-bias free data, they cover the US, Australian & Canadian stock markets, as well as selected futures, forex & other data.

There is no intra-day data, but end-of-day data is extensive, with US stock data going back to 1950.

Check out Norgate Data.

Key Features

  • Comprehensive Historical Data: with an extensive history, index constituent information and de-listed stocks, Norgate is a one-stop-shop for all you need in this space.
  • Data Quality & Adjustment: stocks can be adjusted using multiple methodologies to manage corporate actions like stock splits & dividends. For futures data, back-adjusted & unadjusted continuous contracts are provided.
  • Automatic Updates: running in the background, your historic data is kept up to date automatically as it becomes available.

Educational Resources

Books & Blogs

Books are a personal preference, but it's really valuable to have read the 'classics'. There are already two great lists that come to mind: first is the list on the Chat With Traders site; and the second is a compilation put together by Niels over at the Top Traders Unplugged site.

You can jump to those here:

Keeping up to date with the various podcasts, blogs, videos & audiobooks is probably the best way to stay current!

You could make a start exploring that landscape with this tool:

Do It Yourself

The trend in building your own backtesting engine or other trading tools is definitely to do so with Python. There are many ways to get started with Python and Jason over at PyQuant has some fantastic resources focussed on traders.

Check out PyQuant over at pyquantnews.com

Research & Idea Generation

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