Backtesting

Created April 26, 2022

Backtesting is the art of testing the performance of a strategy on historical data. While the platforms for backtesting are quite numerous, the most popular languages used are either python or C#.

Features of a good backtesting library

Any good backtesting library needs to check a couple of boxes to be considered:

1. Community and docs: 1.1. Is it actively developed? 1.2. How popular is it? 1.3. How reliable and user friendly are the docs?
2. Backtesting and optimisation: 2.1. Does it support a wide range of data sources? 2.2. Does it support a wide range of technical indicators? 2.3. Does it offer strong reporting tools? 2.4. Does it offer strong optimisation tools? With AI?
3. Deploying: 3.1. Does it offer a seemless ability to use the code for live trading? 3.2. Does it support many assets classes?