The architecure of OpenTrader supports different chefs (backtesters), and it is assumed that some will have different features, strengths, and weaknesses. We want to lay out here the minimum requirements for inclusion, and we want lay out what we are looking for even if there is no currently available open source code that does everything we are looking for.

Because there may be a large tradeoff between some features and speed, and because speed in backtesting is a prerequisite to do multi-variate optimization, we can imagine have more than one type of backtester: a fast coarse one, and a slower fine one. The former can be used to narrow down the range of parameters, and the latter can be used to test the former in more realisitic conditions. In backtesters, vector approaches (like pybacktest) are in the former category, and usually event-driven backtesters are in the latter. The same may also be true of backtesting versus live-trading, as it usually requires an event-driven backtester.

It must be borne in mind that any of the currently available software projects are moving targets that may gain new features from one release to the next. So can their speed greatly from one release to the next, and it's usually best to just a project based on its quality and see how it evolves rather than just judge it on criteria. This is especially true now that core bottlenecks are being rewritten in Cython. Similarly, if a feature is missing and important enough to us, we perhaps can implement the feature and push it back upstream.

Idealy, our backtesters will have all of the features found in the Stategy Tester, so that we can make direct comparisons.

Requirements:

• Open source.
• Panderific. At the very least, numpy arrays as the basis.

Nice to Have:

• trailing stop-loss implementation
• easily adapted to live-trading

Nice not to Have:

• slow

We list here some of the open source software that we know of, with some comments based on our Criteria:

pybacktest Fast, vectorized, no trailing stop-loss. pybacktest was the first bactester included in OpenTrader (see DocOTCmd2_backtest), and it formed the basis for our initial architecture. Very succinct.

bt No trailing stop-loss.

zipline Very actively developed. Not very fast. No trailing stop-loss.

pyalgotrade Actively developed and well-documented. Numpied, not pandaed. No trailing stop-loss.

ultrafinance Numpied, not pandaed. Event driven backtester.

tradingmachine Pandaed. Event driven backtester.

See also:

• http://tradingwithpython.blogspot.fr/2014/05/backtesting-dilemmas.html

Parent: Architecture