Welcome to my online repository of research and insights on automated trading system developmentWell, I am…
Regular readers might think that I suffer from backtesting-software-indecision-itis. Having first settled for TradersStudio, I then evaluated (and purchased) AmiBroker and found that it was 25 times faster than TradersStudio (at least for the calculation of the e-ratio). However, AmiBroker is not really geared towards true portfolio allocation testing with Futures and could not just replace TradersStudio – so I purchased it as a (cheap: $199) complement to it.
Why TradersStudio in the first place?
During my first round of evaluation, I did hesitate between TradersStudio and Trading Blox. At the time, it appeared that there was not a huge difference in functionality but a substantial price difference ($499 for TradersStudio, $3,000 for the full version of Trading Blox Builder). And this is how the choice was made.
However, I never really got past my TraderStudio’s first (not so good) impressions. Ultimately, I find the platform awkward to work with, documentation rather poor and the user community is very small.
So I decided to give Trading Blox another go and test their latest trial version (v3.3), and give you a teaser review of it.
Trading Blox: friendly, efficient, fast, professional
Trading Blox is vastly superior in terms of user interface “friendliness” and efficiency (love that script management/edit screen!). This makes the documentation lookup less necessary (and in any case, it is rather better).
The simulation runs are also very fast (300 stepped parameter tests under 7 minutes) and the software comes pre-packed with about a dozen ready-coded systems including the famous Turtle Trading system.
Finally, the numerous backtest options (slippage, commission, rollover slippage, volume, interest, etc.) should simulate trading reality much more closely.
Overall, it feels that the difference between Trading Blox and TradersStudio can be summed up by Pro vs. Amateur: both good at what they do, but playing in different leagues.
User community
Trading Blox forum is very good, with top-notch contributors. I joined it a few months ago and the discussion there is top-level, be it on all aspects of trading in general, backtesting, Data problems, Trading Blox questions, etc. It also has a marketplace where users can exchange code/systems, etc. This forum played a big part in my decision to re-consider Trading Blox (TradersStudio’s own forum and yahoo user group are barely ticking…).
In closing: screenshots
I feel I am about to give in and “cut my losses short” with TradersStudio and redeploy my resources towards Trading Blox. In the end, it is a “time vs dollar trade” and I feel that the initial outlay will give a great payback (in time savings and progress made). After all, automated trading is a business and one should not shy away from the essential investments.
Tomorrow, I should post a detailed system test using Trading Blox; but for now please find below some screenshots of the software (click to zoom in):
Result Reports
rich choice in general options
System Editor
Blox Editor
Heat map for stepped parameter
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Like this post? You may want to read these:
Have you looked at Multi Charts? I haven’t, but know people who have and say it is pretty good.
Thanks for the suggestion Rajiv.
I have had a quick look at their website and they do “promise” true portfolio back-testing.
downloading their trial version now…
Blox does look impressive indeed. I’m starting down the road of R and Python to bridge the gap from TradersStudio.
Have you looked at or evaluated Neural Studio. Because once price becomes a back-burner issue, their software looks impressive as well.
Milk – I think R would definitely be useful anyway (which is why I need to get into it!). Both softwares (Blox and Studio) generate lots of data, and although Trading Blox produces nicer and more complete reports and charts, you still need to perform your own data analysis..
Dont know much about Python. What are you planning to use it for, scripting or “proper” programming?
Havent come across Neural Studio before and a quick google did not yield anything useful. Got link?
have you considered matlab?
Ooops, not Neural Studio, but Neuralshell Trader http://bit.ly/ccTB1B.
What is interesting about Python is building a neural network. I’ve just scratched the surface with the PyBrain module, but its utility as a machine learning tool (versus stat tool) is intriguing.
@quarterback – not really. I am sure matlab is very powerful (from what I remember from my uni days) but I am looking for a software specialised in trading and back-testing
@milk – thanks for the update. I am not too keen on the neural network approach mostly because I find them potentially more than rule-based systems dangerous (ie they are “Black Box” engines and they are prone to overfitting).
I also tried to build one about 10 years ago and I did not find anything too exciting. As there is only so much time in the day (unfortunately), I won’t be looking at that again for a while I feel.
Very keen to hear about your findings though! :)
And maybe you can correct any misconceptions about NN that I have…
There are a lot of traders who hold the same view you have wrt neural networks. I haven’t gotten one up and running yet, but I feel it’s a worthwhile pursuit. The way I see it, traders look at past data and then attempt to draw an inference about what it will do in the future. Statistical analysis and machine learning (NN) are not really that different in this respect, they just use different terms.
I’ll post a blog soon about what I’m finding to be the similarities between statistics and machine learning and how traders analyze data and draw inference from it.
I use both Amibroker and Trading Blox. They are both good in their own domain. Amibroker is good for charting and rapid prototyping of systems. It can also handling huge amount of intraday data. It also supports automatic trading through IB. Trading Blox is good at one thing and is really good at that: portfolio level future trading systems building and testing. As to price, a few thousand dollars should not be considered a major hurdle since choosing a capable backtesting software is a major commitment.
Haven’t tried it recently – can someone point me to a trial?
Damian,
They do not offer a public link to their trial on their website – I guess they probably want to keep it under control.
However, I did ask the question on their forum about testing the software and if they had a trial version and Tim Arnold (the main TB guy on the forum) sent me the info on how to get the trial.
I guess they just want to keep some track of it (still better than TradersStudio, which does not offer any trial at all…) so I am sure if you pop them the question via email, they’ll send you the trial.
Funny people mention tools such as MultiCharts or MatLab. Trading Blox has little in common with them. I’m using TB since a long time and couldn’t live without it. If you are planning on trading a long term trend following system and you’re serious about trading then you shouldn’t waste a single second thinking if TB is worth the $3,000. The price of the software is negligible compared to its versatility and power.
What do you thing about Amibroker versus Trading Blox?
Paolo
@Hans agree with you. Downloaded MultiCharts and their Portfolio backtester seems very poor compared to Trading Blox. It’s really just a charting platform it looks like.
@Paolo, check Mark’s comment on AmiBroker and Trading Blox.
Personally, and only after a few tests on Trading Blox, it seems much easier/intuitive to get started and write code. Also it is definitely better equipped for full portfolio testing on futures (ie handle rollovers, allocation of capital to different sytems, risk management module, etc.)
Hi Jezz. Sorry to keep asking the same question (as I did with your TS vs Amibroker post), but is Trading Blox multi-system capable? I remember you said that was a capability that TS had and AB didn’t, and it was a reason why you couldn’t replace TS with it.
Cheers, Cord
Hi Cord,
No worries for the repeat question!
Yes Trading Blox is multi-system. The starting point of the simulation is a suite where you add as many systems as you want with a set percentage allocation between each system. You can also develop a system which trades its equity curve (ie stop trading if equity curve below Moving Average, etc.). I am not sure if you can change the system allocation dynamically but I would be surprised if you could not.
I should be buying the software soon so I’ll probably be able to answer more of these questions once I got the hang of the software after a few months of use.
All in all, it feels that Trading Blox is a great upgrade on TradersStudio at all levels.
Cheers,
Jez
Tradersstudio now looks, to me, like a dead product. TradingBlox looks very cool – the only issue for me is that I love coding rotational systems and I couldn’t see an easy way to do that with TB – even when I asked in the forum. Amibroker is fantastic at this aspect.
Hi Damian, did you get your trial of Trading Blox?
Agree with TradersStudio looking dead – but I think it might still find a niche market for people that want to get Trading Blox without shelling out 3k.. However I made that mistake and I regret it :(
I think I am about to buy Trading Blox now…
I havent come across rotational trading implemented in Trading Blox (I assume that by rotational, you mean ranking and trading only the best ranked instruments?). When I get it I’ll let you know if I think of a way of doing it.
Jez
AmiBroker is dead cheap for what it offers and I’ll probably keep using it anyway
Hi Jez
I purchased Traderstudio last year, not long after you, and have been following your progress with interest (thanks for starting your blog btw, its great to hear about other people’s problems and solutions). I also notice the same problems; mainly that Traderstudio is so slow in backtesting. Have you tried to the Genetic Optimiser? Its been pushed by TS as an alternative but I often get random results from it so I dont find it all that useful. I need to plot the optimised results on graphs to get a good feel for what will work in the future.
So I’m intrigued by Trading Blox – I also considered this but didnt purchase for price issues. I note it seems to be far faster. Is there a separate language for it? I cant really spare the time to learn a new programming language, I’m ok with VB and TS’s language but dont know any of the other programming languages. And does it have a translator from other languages. Thats a handy TS feature?
Thanks in advance
Ian
Hi Ian, thanks for dropping by and commenting.
I did not try the genetic optimiser but if I recall correctly TS charge extra for this, which is a bit cheeky since it is only a workaround to their poor performance. TB is dead fast and this really changes things. For the e-ratio calc for example, with TS I used to kick it off and go get a good night sleep… With TB I only have time to get a good coffee! ;-) And that’s great!
With regards to TB language, if you know VB, this would be fine. There is a bit of learning curve to understand the internal objects and logic but there is so much free sample code and explanation on the TB forums that it should not be a problem. The only regret I have with TB is not buying it earlier…
Jez
Hi Jez,
I can imagine that the speed would make the testing process a good deal easier. The e-ratio that you described in other posts seems useful but not essential – perhaps if it could run in 5 minutes as opposed to 24 hours it would be a very useful addition. For TS at the moment its just too slow.
So Blox sounds very interesting. How long does the trial last for – is it enough to get a good handle on the software? I understand that it is very good for futures; will it also handle stocks? Also, I like to walk forward facility on TS, is there something similar on Blox (although I think you could replicate a walk forward facility easily enough, but its handy to have it in one place)
Thanks
Ian
Ian,
Yes, e-ratio is not essential and at a few hours computing time, it might not be viable indeed ;-)
Or maybe it’s just TS that is not viable… The TB trial lasts for 7 days and if you do spend the time during that week you should start getting a good hang of it (I would recommend reading the user manuals available in full on their website first and then play with the demo) and they are introducing Walk-Forward in their latest beta (for version 3.4). Looks pretty cool…
Hey Jez. How are things going with TradingBlox? I am planning to invest in it. Did you find any issues with it? One specific q: do you know if you can do calendar rebalancing? (I tried to search their forum but for some reason every button takes me back to the index page, even the register button) Cheers, Cord
Jez, which version of Blox would you suggest? I researched NeuroShell and it looks interesting but based on reviews and the broader portfolio level backtesting feature with thorough analysis, Blox appears superior for those functions. Thanks – love the site.
Drew
@Drew – Thanks!
I’d recommend the Builder edition – if you are into developing – as you do not get the real flexibility of implementing your own stuff. Note that you can also get the Pro version and hire a developer to code things up for you (or download the free blox from the marketplace).
@Cordura
Things are going well with TB – wish I had more time available to “play” with it. No big isssue so far. There are some aspects of it that could be improved (the whole code editor does the job but feels a bit clunky) but that is the compromise of buying vs. building…
Re: Calendard rebalancing, I dont think this is a core feature but I have definitely seen people do it on Blox (actually Anthony Garner’s book http://www.automated-trading-system.com/practical-guide-to-etf-trading-systems-garner/ implements systems with rebalancing – and the blox code for the systems in the book is available on the TB forum).
Re: the forum, it sometimes “play” a little funny as you describe. I have just had to reset my password to get it working again… Try that maybe?
What system or service are you using for pricing data to feed into Trading Blox?
Anarchus,
Trading Blox comes with free data from CSI (a subset of their normal EOD data including around 70 futures), which can be updated from TB directly.
However I use CSI on its own with the Unfair Advantage software and their API to get access to a wider range of futures.
I dont use intra-day data but I know tickdata is recommended by CSI; and a fund manager I was talking to uses them and is happy with them.
Other users of Trading Blox also use Pinnacle I believe.