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() GAT
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?
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. GAT
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.
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.
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.
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.
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"