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What tools and services does one use to do this kind of testing? Where does the data come from?
by spicyusername 2y ago
What tools and services does one use to do this kind of testing?
Where does the data come from?
- carlossouza 2y agoThe data used is Sharadar Core US Equities Bundle: https://data.nasdaq.com/databases/SFA https://data.nasdaq.com/databases/SFA It's a great survivorship-bias-free dataset. Regarding tools, I use Python. I wrote the backtesting software many, many, many years ago during my Master's degree, and I've been refining it ever since. It's an event-driven engine (they are slower than vector-based engines, but they are easier to write strategies for, understand, and debug) with all the bells and whistles, similar to the late Zipline. In fact, I tried most of the Python backtest engines that exist, and that's why I prefer to use what I built over the years: I have 100% understanding of what’s happening and 100% control. I’m thinking about open-sourcing it… anyway, the logic is not that complicated.
- spicyusername 2y agoThanks!