Python: Strategy backtesting - Matlab, R project and Python | futures trading

Go Back

> Futures Trading, News, Charts and Platforms > Platforms and Indicators > Matlab, R project and Python

Python: Strategy backtesting
Started:January 19th, 2014 (11:34 AM) by baxline Views / Replies:1,205 / 2
Last Reply:February 3rd, 2014 (06:40 AM) Attachments:0

Welcome to

Welcome, Guest!

This forum was established to help traders (especially futures traders) by openly sharing indicators, strategies, methods, trading journals and discussing the psychology of trading.

We are fundamentally different than most other trading forums:
  • We work extremely hard to keep things positive on our forums.
  • We do not tolerate rude behavior, trolling, or vendor advertising in posts.
  • We firmly believe in openness and encourage sharing. The holy grail is within you, it is not something tangible you can download.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community. It's free and simple, and we will never resell your private information.

-- Big Mike

Thread Tools Search this Thread

Python: Strategy backtesting

Old January 19th, 2014, 11:34 AM   #1 (permalink)
Trading Apprentice
Ithaca, NY
Futures Experience: Advanced
Platform: Proprietary
Favorite Futures: Stocks
Posts: 11 since Jan 2014
Thanks: 0 given, 1 received

Python: Strategy backtesting

Hey everyone,

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?


Reply With Quote

Old January 19th, 2014, 11:34 AM   #2 (permalink)
Quick Summary
Quick Summary Post

Quick Summary is created and edited by users like you... Add FAQ's, Links and other Relevant Information by clicking the edit button in the lower right hand corner of this message.


Old February 3rd, 2014, 06:40 AM   #3 (permalink)
Trading Apprentice
Boston + Massachussetts/USA
Futures Experience: Advanced
Platform: Custom
Favorite Futures: equity options, VIX, LNG, Sugar #11, CDX
Posts: 1 since Feb 2014
Thanks: 0 given, 0 received

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????

Reply With Quote

Reply > Futures Trading, News, Charts and Platforms > Platforms and Indicators > Matlab, R project and Python > Python: Strategy backtesting

Thread Tools Search this Thread
Search this Thread:

Advanced Search

Upcoming Webinars and Events (4:30PM ET unless noted)

NinjaTrader 8: Programming Profitable Trading Edges w/Scott Hodson

Elite only

Anthony Drager: Executing on Intermarket Correlations & Order Flow, Part 2

Elite only

Adam Grimes: Five critically important keys to professional trading

Elite only

Machine Learning Concepts w/FIO member NJAMC

Elite only

MarketDelta Cloud Platform: Announcing new mobile features

Dec 1

NinjaTrader 8: Features and Enhancements

Dec 6

Similar Threads
Thread Thread Starter Forum Replies Last Post
VIDEO: MultiCharts vs. NinjaTrader strategy backtesting and optimization Big Mike MultiCharts 53 June 12th, 2016 01:34 PM
Strategy Analyzer/backtesting with 2 time frames ceramictilepro NinjaTrader Programming 1 July 30th, 2012 06:03 PM
Backtesting identical strategy tradestation and multicharts different results crbucks MultiCharts 7 April 26th, 2012 07:30 AM
executing strategy in backtesting cicondo NinjaTrader Programming 11 May 5th, 2011 08:13 AM
What do you look at when backtesting a strategy ? soumi71 The Elite Circle 13 November 26th, 2009 08:39 AM

All times are GMT -4. The time now is 07:23 AM.

Copyright © 2016 by All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts

Page generated 2016-10-27 in 0.06 seconds with 19 queries on phoenix via your IP