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Software The Almighty Buck

Financial Trading Software? 48

Posted by Cliff from the not-spending-money-to-make-money dept.
finance-geek asks: "What software do you use for trade evaluation? Are there any good free programs out there? I am a former programmer now working at an investment fund, and I am shocked at the limited number of applications for evaluating and back-testing trading models. We currently use Wealth Lab , but since they were recently purchased by Fidelity, we are less certain about the future of their customer service. I checked out SourceForge.net but only a few programs looked interesting, and it will take me a while to evaluate them. Any suggestions?"
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Financial Trading Software? More

Financial Trading Software?

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  • ETF Timing (Score:3, Informative)

    by (eternal_software) ( 233207 ) on Saturday June 26, 2004 @11:13AM (#9537125)
    Although it doesn't let you input your own data, I have found ETF Timing's (www.etftiming.com) approach to trading logical and accurate. They provide market timing on ETFs (sorta like mutual funds, but traded like a stock), and have been quite accurate during the length of my subscription (about 6 months).

    It's not free, and I'm not generally one to plug a specific site or product, but it is on-topic.

    • Re:ETF Timing (Score:5, Informative)

      by afabbro ( 33948 ) on Saturday June 26, 2004 @11:53AM (#9537354) Homepage
      Slight correction: ETFs are Exchange Traded Funds, which are a basket of stocks put together as a sort of mini-index. You can buy them through nearly any brokerage.

      You can market time them. You can market time anything. That doesn't make it a good idea. You need extraordinary gains to overcome brokerage fees and taxes (which are higher since you're not holding them for at least a year).

      If you want my advice...read _A Random Walk Down Wall-Street_ and unless you have the equivalent of several full-time jobs to devote on an ongoing basis, buy broad indexes (e.g., Wilshire, with S&P 500 being a second choice) and get on with your life. If you're socking away a thick 401K + Roth IRAs for most of your working life, you'll retire rich and making 12% instead of 10.5% (historical S&P 500 average) isn't going to make that much of a difference...but making 3% once you factor in your losses from amateur play sure will.

      All deference to the Warren Buffets of the world aside, very (very!) few pros, usually backed by huge research desks, beat the S&P 500 over the long term. That's just as true for small funds as large ones.

      Again, _A Random Walk Down Wall Street_ is the best book on investing I've ever read and I highly recommend it.

      • Re:ETF Timing (Score:2, Informative)

        by Sanction ( 16446 )
        While "random walk" is interesting from a theoretical standpoint, it is no more gospel than the "efficient market" theory or others. I would highly recommend it as an interesting book.

        The one point I really must take issue with is that the difference between 10.5% and 12% is minimal. If you start saving for retirement at 25 with a small account, say $5000, and contribute $200 monthly until retirement at 65, that extra 1.5% will translate to an additional $1,155,622 at retirement. That is well worth the
      • I've skimmed, but never fully read 'Random Walk'.

        A Book I would recommend for new investors is Peter Lynch's One up on Wall Street [amazon.com]

        Firstly, it explains simple economic fundamentals for those who are not aware of them.

        Secondly, and more importantly... it explains something important about why people loose a lot of money on Wall Street: They compete against the pros on Wall Street. Don't invest in IBM, or Ford, or the big blue chips because thousands of analysts who are better at these things are doi
      • And for a whole community of those with a similar philosophy, try the Motley Fool [fool.com].

  • Your answer is obvious... (Score:3, Insightful)

    by Kevin Burtch ( 13372 ) on Saturday June 26, 2004 @11:31AM (#9537219)

    The most likely reason for a lack of free software for this application is it's not common for someone to have experience programming and this sort of thing.

    You are in this unique position, so I would recommend you start such a project yourself.

    • Simply subscribe to an online service through your brokerage company. They generally offer a wealth of information.

    • The most likely reason for a lack of free software for this application is it's not common for someone to have experience programming and this sort of thing.

      I would modify this statement to say that it is not common for someone to be (a) an experienced programmer, (b) working in the investment field, and (c) not tied up with a company that insists on keeping the development work private. There are lots of firms doing lots of work to try and identify profitable patterns in stock, bond and index prices


      • I would modify this statement to say that it is not common for someone to be ...(c) not tied up with a company that insists on keeping the development work private.

        Well, the poster did say that (s)he is a "former programmer", so (s)he doesn't appear to be under (her/)his company's thumb in (her/)his current position.

        Then again, it does look like (s)he's trying to make a recommendation of software to evaluate to the company... so the company is already looking for software on the outside... so the below
  • This is a great area where an open source app would be found. You could get the bigger companies like ML,Vanguard,Fidelity, etc to fund an app that they could all share and return. But realistically, will they .. No. I work for a company that does some financial software consulting. These people guard thier data very closely, because that's what matters to the managers. Having somehting in an open format lets you move to another app and loses that subscription fee they all covet. This is going to end

  • Data is the challenge, not the software... (Score:3, Informative)

    by kjeldahl ( 65177 ) on Saturday June 26, 2004 @12:34PM (#9537587) Homepage
    Based on my experience, the challenge is not the software but getting access to updated, correct and historical data. Mechanical Investing is a disipline that seeks to make investment decisions based on objective rules rather than subjective measures (typically "chart reading"), and attempt to measure the success of a strategy with extensive backtesting using historical data. Currently, the most common data sources are ValueLine reports, Stock Investor PRO (from aaii.com) or IBD (investor.com). Getting access to historical data, keeping the data clean and current and "normalize" it for any changes the providers do over time (and they DO change their formats every few years) is the big challenge, not making the software that uses that data to simulate strategies.

    And if you want intra-day data, the data problems become even bigger. I guess quite a few of the Technical Analysis services have historical data for testing TA models, but from what I have found there are few cheap and good sources for fundamental company data which also offer historical data.
    • If you have the $$,$$$, Bloomberg is basically the premier source of financial data. This is the company that was founded by the current mayor of New York. They have tons of built-in analysis tools that you can apply to baskets of portfolios that you put together. If you have very specific needs, they offer a DDE service that lets you download data into Excel so you can do your own thing. I track about 600 or so closed end funds using our Bloomberg terminal and a little model I whipped up in Excel.

      The

  • As somebody who writes this stuff during the day.. (Score:3, Interesting)

    by cmowire ( 254489 ) on Saturday June 26, 2004 @12:37PM (#9537606) Homepage
    The real problem is getting a reliable (i.e. non screen-scraped from Yahoo and preferebly scrubbed for accuracy) set of data and storing it.

    And, even if they'd *like* to, exchange rules *forbid* vendors from giving away real-time (i.e. non delayed-by-20-minutes) feeds.

    I think, for the most part, if you don't have a lot of money, sophisticated tools are a waste of time, because you'd get better results putting them into mutual funds, bonds, ETFs, and savings accounts. If you've got a lot of money, the cost for some good tools (and a data vendor who properly scrubs the data) is money well spent.

  • GeniusTrader, and optsys (soon) for options... (Score:5, Informative)

    by Stile 65 ( 722451 ) on Saturday June 26, 2004 @12:54PM (#9537696) Homepage Journal
    I'm glad I saw this thread.

    First, check out GeniusTrader [geniustrader.org], which is a very usable tool for backtesting strategies.

    A friend of mine and I are writing software for backtesting options trading strategies. It will also be GPLed and some of the architecture is based on the way GeniusTrader did things. GeniusTrader is written in Perl and optsys is being written in C++.

    optsys, or what's been done of it (it's in maaaaaaaajor pre-alpha state right now, most features aren't even working yet) is available here [stile65.mine.nu], but since I'm running the server on my home PC, it's only up about 14-18 hours a day. GeniusTrader, however, is immediately usable and they have quite a developer/user community now.
    • Hiya, I took at quick look at your stuff, but I wasn't sure what you are trying to do -- what type of option simulations / backtesting are you guys trying to make possible? Are they Black-Scholes/Greek based? volatility estimation? gamma trading optimization? Just curious...
      • Actually, I bought $500 worth of data (4.5 years) from Prophet.net. The package is supposed to make simulations possible against real historical options data like what I bought.

        Other than that it'll be just like stock trading. If you want to simulate gamma scalping, you'll be able to. If you want to simulate trading various spreads under different market conditions, you'll be able to do that too. I don't foresee the toolkit doing any kind of calculations on options other than what price they're bought
        • What did you get? tick data for options w/ synchronous stock prices? or daily close? Did you get size information?

          Sorry for the question overload, just curious.

          • It's not tick data, it's end of day data and no synchronous stock prices. However, it's very easy to write a quick Perl script to download stock/split/dividend data from Yahoo, and the data is better quality than the stuff you can get from a lot of vendors.

            The data I bought from Prophet contains volume and open interest data for options. It's not completely clean, so I'm going to have to scrub some of it, and it's a bit of a pain to work with, but I'm getting there.

            If you have more questions, by all mea
            • I really do not recommend Prophet's historical options data. I just arranged for a refund, for the following reasons:

              -There is no way to tell which stocks the majority of the option roots are for. This is particularly irritating, because if you can't match them, they're useless.

              -Quite a few of the files are misnumbered when it comes to the year (possibly more, but I didn't look that closely once I got to the problems that it was already having). That's more trouble to figure out how to relabel thousand
  • Based on friend's experience in this are, I think so much heavy processing goes on in Excel, and is of such a general nature, that specialized tools don't get made.
    • Right. Excel is the Swiss Army Knife of each banker, and is surely by these peoples more used than the mail programm or Word. Something like emacs for the geeks !

      Open Office gives the possibilty to use a lot of powerfull databases trough an Access-like interface, without the poor limits of Access. All of this is well integrated in a Spreadsheet environment. Maybe some people have began to do interesting things with that...

  • Some software ideas (Score:4, Informative)

    by MacRonin ( 112572 ) on Saturday June 26, 2004 @02:26PM (#9538253) Homepage
    One i've been meaning to check out is

    TA-Lib: Technical Analysis Library at http://ta-lib.org/

    Windows and Linux technical analysis open-source software library allowing to maintain and process financial data. Provides RSI, MACD, Stochastic, moving average... plus SQL, ASCII, Yahoo! stock market data access. Works in C/C++, Perl, .NET. Source code included.

    Another: http://eiffel-mas.sourceforge.net/

    and one more library: http://quantlib.org/

  • You might want to ask this question on the Wilmott [wilmott.com] Software Forum [wilmott.com]. There's a decent number of quants and quantitative developers over there, and the the archives will be useful, too.

  • why trade? (Score:1, Interesting)

    by Anonymous Coward
    You do realize that unless you are professional trader (who has access to data seconds before it goes out to individual investors) you are playing a losing game? Roughly 70% of individual traders lose money [findarticles.com], once you figure in taxes and comissions. Think about it: if RANDOMLY pick a basket of stocks, buy and hold for 5-10 years, you will most likely come out AHEAD of a majority of active traders. If you buy and hold an *index fund* and the market goes up, you will outperform traders.

    Sure, buy-and-hold does

  • Technical Analysis? Why not buy lottery tickets? (Score:3, Informative)

    by Fished ( 574624 ) <amphigory@gmail . c om> on Saturday June 26, 2004 @07:28PM (#9539771)
    here's my unrelated, off-topic, unsolicited opinion - your mileage may vary.

    I've watched several people go broke on the gospel of technical analysis. To me, the tell-tale is that I never hear people who are into technical analysis talk about their total return, after taxes and commissions. Instead, I always hear them talk about the stocks they made money on. I happen to be privy to my father's portfolio, and using technical analysis, churning his portfolio, paying taxes, he has made 8.3% a year over the last 10 years. And he more or less does this full time since his retirement.

    In the same period, I've averaged 17% APR, even allowing for the .com dive. My dad makes a killing on a few stocks, but in the long run he loses because of the stocks that he makes a little bit on, but not enough to cover his brokerage fees.

    My advice is this: pick a few companies whose product you believe in. Figure out what their historical P/E is. Compensate for the fact that P/E's are going up nowadays (I usually allow 20:1 where traditional value is 14.5:1.) Then estimate -- and here's the art of it -- where their earnings are going in 3 years. If the P/E based on future earnings is less than your target P/E, buy.

    Then, /ignore/ "the market". I mean it. Look at your portfolio once a month, and whatever you do don't watch CNNFN or pay attention to analysts whose main interest is to get you to churn your portfolio. Buy and hold, and pay attention only to your companies' BUSINESS, not the market.

    Maybe some of you can make TA work for you. If so, more power to you. But my money's on buy-n-hold. TA isn't investing, it's trading and gambling. Doing research for more effective TA doesn't make it not random any more than reading the sports pages makes betting on sports not random. And you don't really need any software to do it, although Quicken might be nice. As far as a book, I'd recommend "Stocks for the Long Run" by Spiegel. He goes into a lot more detail than the Lynch's of the world. Also, get yourself a good book on reading balance sheets. You'll need it.

    • It seems important to note that holding "THE MARKET" portfolio is great for folks that 1) adhere to the efficient market hypothesis, and 2) don't put a price premium on certain investments due to some feature of their available portfolio of investments. However, some firms may be in a position to reduce risk within their company by purchasing specific securities or options. Even though you may be an efficient market believer, some companies do benefit from specific investments to hedge risk. If the softw
      • I'm not advocating "THE MARKET" portfolio - although it's better than day trading. I'm advocating that individual investors look at the businesses of individual companies and make informed buying decisions comparing those business fundamentals to current market prices. My assumption is that the market is /inefficient/, and that there are companies out there which are undervalued and companies which are overvalued. By buying the undervalued companies, I can do well.

        Technical analysis, on the other hand,

        • I certainly agree with the tenets of value investing. I'd have to say this describes my personal investing philosophy better than anything. However, in order to hedge specific risks a company may face due to investments that are required by their business model, it may be advantageous to gain exposure to securities which are not, objectively speaking, undervalued. I'm just saying that capital markets are useful for things other than value investing, and the software described at the outset could be use
  • are probably better to bet on than stocks.

    Does anyone have info on horse race analysis and where to get the data?

    • With a sig like "Ja well no fine" there is only one country in the world you can be from... which is amusing as I actually knew an actuary from there who spent a lot of time looking for ways to make money from playing the horses.

      I think he had some success, but not enough to make it all worth it.
      • Ja boet, but till the fraud in the stock market eases off a bit and goes down to more 'normal' levels - whatever that is - one is stuck buying blue chip with low returns, or betting on horses.

        I am actually more invested in real estate than stocks at this stage.

        Another option is to play Lotto 649 - the odds are terrible, but you can't win if you don't play...

        BTW, I'm in Canada now. Been around a bit.

        • You know what they say, the lottery is a tax on people who can't do math. :)

          Real estate is probably a good bet, but with Mr. Greenspan about to start raising the rates that little party is probably at an end as well. Figures, I am planning to buy a place in the next few months. With my luck that can only mean the real estate market is in for a big dive.

          Actually know a couple of Afrikaners up in Toronto. Which part of that snow covered wasteland up North have you made it to?
  • Check http://www.ta-lib.org/hdr_lnk.html Most commercial software forces the user into limited testing capability. Often they choose a model that gravitates around the charting/visual features. I took a different approach where the design has no GUI. I did put my energy into building a good back testing (walk-forward) engine with my own optimizer and money management. I found TA-Lib useful for providing efficient technical analysis functions and data access. It's not an application by itself, but a good s

  • Qtstalker (Score:1, Informative)

    by Anonymous Coward
    This is an OSS project hosted on sourceforge: http://qtstalker.sourceforge.net.

    From the SF description: "Stock market, commodity and technical analysis charting app based on the Qt toolkit. Extendible plugin system for quotes and indicators. Portfolio, back testing, chart objects and many more features included."

    • Glad I stumbled upon this thread..

      I've just been trying out qtstalker for a few weeks now and I must say I'm quite impressed.

      Although its look-and-feel as well as the functionality are still a bit betaish, it is already useable!
      ..I already did some nice trades based on analysis done with qtstalker..

      However you might need a bit of experience in (the backgrounds of) technical analysis in order to use it properly..

      It has a number of nice features:
      - download of free (end-of-day) quotes data from yahoo et

  • collective2.com is a website where you can set up your own trading system for free and compete with other traders by making trades in real-time. Your system is rated by % of return. You can have more than one system, either futures, equity options, currencies, commodities, or just stocks. Now, what's interesting there is that you can sell your services by subscription. It is great learning tools and potential to make some money if your system is a successful one.

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