Oh no, not another python backtester...

Discussion in 'Programming' started by globalarbtrader, Dec 18, 2015.

  1. 1) In theory yes, but you'd need to write your own code to do it. Adding it to the package is on my (long) to do list

    2) No, they are used even if you don't optimise

    3) No. system.portfolio.get_actual_position()

    #121     Feb 21, 2018
  2. traider


    Is there a simple way to run the backtest on a selected period of time, say 2014-2017 and generate metrics like sharpe ratio etc?
    #122     Mar 7, 2018
  3. djames


    #123     Mar 8, 2018
  4. No although obviously you could run a full backtest and then slice the account curve

    #124     Mar 8, 2018
  5. Yes, still writing the documentation and then I need to drop in the last part of this particular phase which does the actual backadjustment of prices.

    #125     Mar 8, 2018
  6. traider


    Hey james,

    are you running the system live? I'm currently in the process but still lack the integration to IB besides using insync API. Things like event driven for order execution, storage to a persistent DB for intraday data. Would love to discuss these topics instead of reinventing everything. I am very familar with event driven frameworks but hopefully this one will be much slower and be synchronous to simplify everything.
    #126     Mar 8, 2018
  7. rtw


    nice work.

    i'm looking for a platform to test rules based strategies on options. from all the backtesters you listed, ┬┐would you know if there are any that can be used to backtest and optimize strategies on options?

    i created a post on the options section, which includes two videos with really cool studies i would like to replicate, expand and modify.

    by the way, the author of the studies i linked to in my post told me that he used python to analyze the data. he highly recommends learning to use python for this kind of projects.
    #127     Mar 9, 2018
    djames likes this.
  8. djames


    Hi traider, yep happy to help in any way possible. I'm generating signals algorithmically but executing manually for now. Number of contracts is small so I thought this manageable. So far so good.
    #128     Mar 9, 2018
  9. djames


    Hey, I'm not automatically executing but rather have a process which sends out an email each day with trades on. I'm only trading 10 markets so manual execution is ok. Happy to collaborate on the execution algorithm stuff but I think I would rather spend my time on research...very own researching a cash equity stratbof a slow stat arb, but progress is slow as I'm a wage slave.
    #129     Mar 11, 2018
    fan27 likes this.
  10. fan27


    Ah yes. The wage slave dilemma. One of these days a group of us wage slaves are spontaneously going to start working on a project we are all interested in and development velocity is going to be rapid resulting in beautiful software which will result in a multi-million dollar company. That is the beginning of my "I have a dream speech" :)
    #130     Mar 12, 2018