Mass Backtesting Strategy Software

[daniel.wang730 1]

Hi everyone,

I was wondering if anyone has either come across software or created their own program to mass backtest day trading strategies.

Specifically, I'm imagining a program that has multiple years of stock data loaded in, and then by 1) setting filters to find the Stocks in Play with the right conditions and 2) setting parameters for potential entries, you can get every instance of a particular trade setup. With that information, you can first see some chart excerpts to confirm your parameters are correct, and after adjusting, you can then run mass simulations to see what would happen if you used a particular strategy.

Some good strategies to test first might be ORBs or ABCD patterns, but overall, I wanted to see if there were a more systematic or data-driven approach to trading. Apologies if this doesn't make much sense; I haven't thought about every aspect of this fully, but I think a tool like this would be extremely helpful for both trading and learning. I've started developing some code of my own towards this goal, but if there's already an established software or if there's someone who knows about doing something similar, please let me know, I'd love to connect.

Thanks,
Daniel

[Rob C 826]

Yes, I have been using Ninjatrader for back testing the last 2 years, but on Futures. Now that I just started back into Equities I will probably start writing the algorithms in about a month. The algos are more for back testing than for taking automated trades (which they can do as well). Also, Ninjatrader had the best charting I have seen. Gotta love the 1sec candle chart...

[daniel.wang730 1]

I see, thanks for letting me know. I'm ok with not having a good way to automatically trade, since the main purpose of this would be to confirm setups. Does Ninjatrader basically just come with the data, and you can write your own scripts on what setups you what to filter for, what parameters you want to set, etc.?

[Rob C 826]

Yes they are very flexible. The parameters are unlimited if you create them. They also have a large quantity of indicators to use. Here is a script I wrote for NVDA opening engulfing Long.

Back test says it was very profitable for the last two years but interestingly stopped working in 2024. So, I am not using it. I only have 6 parameters and 2 are where to stop out and take profit. See data created from Ninjatrader:

[daniel.wang730 1]

This is fascinating, thanks for sharing. I'll have to check it out myself to see how it works, though I've also begun investigating the Pine Editor on TradingView as it seems to function similarly.