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Strategems is a Julia package aimed at simplifying and streamlining the process of developing, testing, and optimizing algorithmic/systematic trading strategies. This package is inspired in large part by the quantstrat1,2 package in R, adopting a similar general structure to the building blocks that make up a strategy. Given the highly iterative nature of event-driven trading strategy development, Julia's high-performance design (particularly in the context of loops) and straightforward syntax would seem to make it a natural fit as a language for systematic strategy research and development. While this package remains early in development, with time the hope is to be able to rapidly implement a trading idea, construct a historical backtest, analyze its results, optimize over a given parameter set, and visualize all of this with great detail.
Features
- Encapsulation of the assets/securities the strategy is to be allowed to trade
- Calculation done on each asset in the universe whose results we think have predictive potential for future price movement
- Inputs/arguments to the indicator calculations
- Boolean flag sending messages to the trading logic/rules to be interpreted and acted upon
- Applications of trading logic derived from interpretations of prior calculations & signals at each time step
- Overarching object encapsulating and directing all of the above logic and data to power the backtesting engine
Project Samples
