Spread Trade System Backtesting?

Discussion in 'Strategy Building' started by thefuturestrader, Aug 28, 2014.

  1. I am interested in back testing some automated futures spread trading strategies. I am using Ninjatrader and slowly teaching myself very basic R programming. I am not good enough on either of those platforms to do back testing on spread trades. Does anyone have some recommendations? Thanks.
  2. minmike


  3. SeasonAlgo.com

    Im blown away by the functionality. It has the ability to specify any spread, select any date, and then it gives the results with full breakdown, equity curve etc. There is also an optimizer, but I havent looked at it yet as personally, Im not a big fan of curve fitting.

    You can take a look at what it does with corn with out taking a subscription.
  4. Handle123


    That's really a good site. Thanks
    I look at last 5-10 years for seasonally, but I still require a signal. Many of Retail softwares, and I believe Ninja has it using an indicator on an indicator as Ninja Spreads were considered a Indicator. But just cause something has done 10 for 10, doesn't mean this year it will be the same. If you check out Moore's Spreads Letter, he offers hundreds of trades and often have bad years. I recall a service back in late 80's/early 90s when spread trading was being done more so than now in "softs", they had a site that would chart spreads like a bar chart and that was very good, somewhere in Iowa, but they got bought up by DTN and discontinued it.
  5. Great tip - thanks!