A very simple event-based backtesting platform.
The aim of this project is to have a straightforward strategy for testing equity trading strategies on historical data. Specifically, we aim to satisfy the following properties here:
- Testing strategies that use "line" data (data across multiple historical bars for a particular asset) and also "cross-sectional" data (data for a single bar, but multiple assets).
- Fast testing.
- Simple API.
- Extendability.
Any shortcomings of the above goals are a failure of development, and should be raised in this repository's "issues" section.
This package is not (yet) in Julia's standard registry. Thus, a simple way to obtain this data would be to clone this repo.
git clone "https://github.com/maxholloway/Backtest.jl/""
> cd PATH/TO/REPO/Backtest.jl
> julia # open up julia REPL
# press "]" to enter the package menu
> activate .
> test
Currently this repository is only tested on Julia 1.0, 1.4, and the Julia nightly build in the CI/CD pipeline. If tests fail on your machine, please report this in the issues section.
To get started, it's recommended that you walkthrough the GettingStarted jupyter notebook (located in the examples/ folder). This provides a thorough explanation of the framework interface.
This project is in its infancy! Contact me if you'd like to contribute. :)