#5 Create Back testing utilities

Beta
open
giena64
Strategist (6)
9
2007-06-17
2007-03-17
Pranas
No

Purpose:
Back testing trading strategies

Functionality:
* Data gathering from ASCII
* Optimized data structures for intra-day testing
* Generation of signal queue
* Portfolio management
* Reporting

Similar projects:
* Wealth-Lab Developer
* MT4
* CQG Client

Related packages:
TA-Lib, IB-Link

Discussion

  • Pranas
    Pranas
    2007-05-24

    Logged In: YES
    user_id=630863
    Originator: YES

    Requirements for trading system v1
    System should support following things:

    • Futures
    o Quote is not the price
    o Simulation on continues series
    o Contracts do expire and needs to be replace by next maturity contract (roll).
    • Transaction cost
    • Slippage
    o In the future – nonlinear/dynamic slippage dependent on order size, market volatility, time to maturity (if trading futures)
    • Modular design so you can plug in various components like stops, equity management etc.
    • Option for simple and fast simulation design with minimum overhead so one can use brute force optimisation techniques.
    • Several types of strategies:
    o Basic, buy/sel @ market open/close
    o More complex, buy/sell @ specific level
    • Ability to use additional data sources like economical numbers etc.

     
  • Pranas
    Pranas
    2007-06-17

    Logged In: YES
    user_id=630863
    Originator: YES

    Let you be at least temporary owner of request. Currently I putting effort to c2ati sub project.

     
  • Pranas
    Pranas
    2007-06-17

    • assigned_to: pranas_baliuka --> giena64
     
  • Pranas
    Pranas
    2007-07-26

    Logged In: YES
    user_id=630863
    Originator: YES

    Some progress?