R and WealthLab, from Bruno Ombreux
Most professionals would frown upon such a piece of software as WealthLab, but it is very cheap with good backtest functionality. This is my own opinion, but I think that backtests are useful, even if no substitute for rigorous statistical analysis.
What’s nice is that they have a utility for using R inside WealthLab, and someone on their R forum posted code to communicate the other way, from WealthLab to R. All these efforts are yielding a decent low cost exploratory analysis and backtest solution for the small guy.