jpalonso1/gpu_backtester
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Project: GPU based backtesting framework Author: Juan Pablo Alonso Brute force backtesting. This program runs a series of backtesting simulations based on specified paramenters and sorts the results according to sharpe ratio (can be modified to Max drawdown or return as objective function). Results on crosssing MA test: 22,500 simulations in 6 seconds REQUIREMENTS: -Linux -Nvidia Cuda framework -for gpu backend: Nvidia card compatible with CUDA 5.0 Compile with: $make to run the gpu based version, or $make -f makeomp to run using openMP backend (slower)