I just replied on another thread - I’ve started working on a vectorized (both single asset and portfolio) backtesting framework. I think it could be a low hanging fruit (it’s really not rocket science), high leverage project, which can establish some of the primites that other package could be using as well.
I’m planning to open my code up as soon as I get a bit more familiar with Julia package creation - hopefully this week.
The goal would be to create a simple-to-use portfolio backtester (and also an alpha research tool similar to alphalens) that can be used to easily layer quantiative portfolio management strategies on top of each other, like volatility targeting, trend-following, etc.
Let me know if anyone is interested in helping out, on any level!
It’d be great to do this under the JuliaQuant organization, potentially?