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  1. #1
    Join Date
    Dec 2004
    Posts
    188

    Default Backtest MM trade strategy

    There is an interesting thing on Ameritrade. A new tool called StrategyDesk that allows testing trade strategies based on past data. In this regards, would anybody be interested in using it to backtest MM's strategy? Not to prove him wrong but for the fun of an experiment.

    More on StrategyDesk at this link
    http://www.tdameritrade.com/tradingt...ategydesk.html

  2. #2
    Join Date
    Feb 2006
    Location
    Pittsburgh, PA
    Posts
    3,368

    Default

    Quote Originally Posted by mooddude View Post
    There is an interesting thing on Ameritrade. A new tool called StrategyDesk that allows testing trade strategies based on past data. In this regards, would anybody be interested in using it to backtest MM's strategy? Not to prove him wrong but for the fun of an experiment.

    More on StrategyDesk at this link
    http://www.tdameritrade.com/tradingt...ategydesk.html
    I think that would be interesting, if possible. I may be wrong, but I thought the main premise behind TDAmeritrade's StrategyDesk was that individual stocks seem to trade in the same manner going forward that they have in the past, and if this premise is true, then extrapulating the trade data for a specific stock should give you a good indication of how it should trade in the future given certain fundamental parameters.

    Now, that is my interpretation of the service (I didn't write the code, so I'm not 100% sure on this). If that is the case, you would have to look at all of Mr. Market's picks at the time he made them and run the back-testing from that point. I think it would be a good test of the system of Ameritrade's, rather than a test of Mr. Market's picks, because after running the test for his picks, you would be able to see the predicted results against the actual. With so many MM picks, it would be a great way to learn whether the service is good or not.

    I'd be interested to see if the service was any good. Go for it!!!

    Personally, I limit the majority of my portfolio to companies which meet a certain set of fundamental characteristics. I am wondering if stocks which are grouped by their fundamentals trade in similar fashion, or whether fundamentals are meaningless when it comes to how a stock trades...
    Hide not your talents.
    They for use were made.
    What's a sundial in the shade?

    - Benjamin Franklin

  3. #3
    Join Date
    Dec 2004
    Posts
    188

    Default

    As far as I understood, StrategyDesk allows to set certain criteria (like MM's) and find stocks that had them in the past in order to see how their pps changed. So you would basically generate MM's DDs (Data Dumps) in the past to see how they behaved. But I will have to spend some more time to make sure that I understood it correctly.

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