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Strategy back-testing in TOS?
Started:March 16th, 2012 (01:24 AM) by TonyB Views / Replies:5,225 / 1
Last Reply:March 16th, 2012 (06:43 PM) Attachments:0

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Strategy back-testing in TOS?

Old March 16th, 2012, 01:24 AM   #1 (permalink)
Go Bears!
Bay Area, CA - US
 
Trading Experience: Beginner
Platform: TOS, TS & MC
Broker/Data: TDA & TS
Favorite Instrument: Stock, Options and now Futures (ES)
 
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Posts: 514 since Dec 2010
Thanks: 227 given, 127 received

Strategy back-testing in TOS?

It seems that TOS has some form of strategy backtesting for which I was not aware. Found so here:

Tutorial: Using Strategies in Think or Swim Read the Prospectus

Possible to test a strat against a group of stocks, or must it be against a chart, or one instrument at a time?

I am not knowledgeable on ThinkScript, but is it a capable enough language to create more than just the most basic of strats?

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Old March 16th, 2012, 06:43 PM   #2 (permalink)
Go Bears!
Bay Area, CA - US
 
Trading Experience: Beginner
Platform: TOS, TS & MC
Broker/Data: TDA & TS
Favorite Instrument: Stock, Options and now Futures (ES)
 
TonyB's Avatar
 
Posts: 514 since Dec 2010
Thanks: 227 given, 127 received

Thought I'd share with others, who also might have such an interest. TOS's response...


Hello Tony,

To give a brief overview, TOS is not used to backtest strategies in a traditional sense. What I mean is that for the purposes of building a strategy based upon picking and trading stocks based upon a set of technical criteria - TOS doesnt do that. It is really geared towards testing option strategies. It does this by:

Using historical data. The function ThinkonDemand simulates a real trading environment based on recorded market data. You can put in one or more trades on one day in the past, then fast forward to any past date closer to the present, and see how it would have done.

This information can be displayed on a graph and tracked from the inception of the position to any further date. As you state in your message, this is the capability that lets you track a strategy over a duration of time.
+++++

And another:


Hello Tony,

We do have plan to integrate the backtesting and scanning functionality of Strategy Desk into Think or Swim, and eventually sunset the Strategy Desk platform itself. We have a tenative date of early 2013 for this. Beyond Prodigio, we don't have anything else at the moment.
+++++

So, less than a year, and it will basically be StrategyDesk...

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