I'm building out a back-testing package in Python. Basically taking what I threw together in Excel and modifying it to run automatically when evaluating strategies built using machine learning techniques.
Anyways, as I build this out, I'd love to get some feedback on features/functionality. So, I'll toss it out there: if you had your druthers, what kinds of features/functionality would you want in a Python back-testing package?
I've done this for my firm, make sure you account for slippage depending on the kind of products you trade and your size and if youre on here im sure youre smart but just making sure, you are going to use level 2 data rather than the "price" or what kind of time horizon are you looking at, describe more of what you are doing and perhaps I can help out! because you may wanna move this to SQL, mine was python-->sql then we built a C# app when we as a firm moved to .net everything (most hedge funds are linux nuts but there are still a lot that use windows). I guess Im asking, what kind of data are you running your model against????