There seems to be no maintained package for trading backtesting framework like a framewokr in python called backtrader
I did come across
Anyone in the process of creation or knows of a package that i have not come across ?
Well, we still lack backtesting framework. If you’re interested in rebooting the TradingLogic.jl, feel free to ping me in that repo, just show your blueprint.
I will keep you posted. I am working on a design currently.
hi @bicepjai !
I’m also working on a strictly vectorized single asset & portfolio backtesting framework as well.
Ping me on Julia slack (Mark Aron Szulyovszky) or in DM here (or email or whatever Discourse allows you to do)!
Hi all,
[ANN] Announcing Trading.jl may also be related.
PingPong.jl may also be considered.
Kind regards
SaguaroTrader.jl is a schedule-driven backtesting engine in Julia. We developed it to satisfy our internal use cases, but we welcome any feedback for expanding the capabilities to fit more general use cases.
Nice to see that qstrader have a Julia version (I used to be a contributor).
I personally find the order_sizer an approach which is a bit complex.
Implementing function like order_market_target
to simply manage orders as a certain target percent with respect to the portfolio value seems a bit simpler (but that’s probably a personal taste)
I wonder how do you manage technical analysis indicators.
Which Julia lib are you using ?
Did you see my post Incremental Technical Analysis indicators about implementing incremental technical analysis indicators ?
It is great to hear from you. I had noticed that you were an active member of the Julia community. Thank you for the suggestion around the order_sizer.
We do not currently do anything with technical analysis indicators. Our internal use case is simply to take a schedule of company weights and build portfolios around that schedule. However, we want to expand the libraries functionality to be more generally useful. I had not seen your post until now, but I will take a look at it.
Some others Julia backtesters to be added to the list.
PS : be also aware of my new package for porfolio analytics via online algorithm Incremental portfolio analytics (OnlinePortfolioAnalytics.jl)
We are having one less Julia backtesting framework… https://github.com/panifie/PingPong.jl
My 7 months late fork is available at GitHub - femtotrader/PingPong.jl: Cryptocurrency trading bot, and backtesting framework in julia
PingPong · Julia Packages
What changes did you make to your fork of PingPong.jl?
None. Sometimes I fork on GH because I consider that a project is interesting and I’d prefer to still have this code if it disappears.
Lucky.jl has a really interesting architecture. I just wish it were easier to use it with OnlineTechnicalIndicators.jl. I see that you even started an issue asking him about it.
I’ve been thinking about this problem space for a while, and the way he used Rocket.jl to organize his data pipeline feels elegant. He did a lot of things right. Even if I don’t end up using Lucky.jl for my own work, I think I will take a lot of inspiration from it.