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Python: Strategy backtesting
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Python: Strategy backtesting

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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?

B


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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????

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Python Algorithmic Trading Library

You can check out PyAlgoTrade -Python Algorithmic Trading Library. (Please google it, as I am not allowed to post links.) Instead of building from scratch, you can contribute on it. I myself have not used it though.

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ryanF View Post
You can check out PyAlgoTrade -Python Algorithmic Trading Library. (Please google it, as I am not allowed to post links.) Instead of building from scratch, you can contribute on it. I myself have not used it though.

Agreed, I would certainly suggest using and contributing to an existing open source python backtesting framework rather than starting one from scratch. There are many out there to choose from.

I built a basic python backtester a couple years ago and although it worked well enough, it took me months of wasted time to create. It was also no where near as good as any of the open source solutions which have been around for much longer and have been contributed to by many professional programmers and traders.

The more I started to use some of the existing solutions, the more I started to understand that it would take me years to make something comparable by myself which is a complete waste of time. Rather start with something tried and tested and create your own branch if you really want to.

Diversification is the only free lunch
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