Low level back testing libraries

fan27 · Jul 3, 2014

I am currently using a web app I built for back testing EOD/Weekly/Monthly data. I am using http://pecl.php.net/package/trader/0.3.0 to help with the TA and I am satisfied with the front end of the web app through to finding signals based on strategies I test. Currently, the code that analyzes the signals (determines exits based on stops, limit, holding period/result metrics/portfolio info/etc.) is all written in PHP. I want to scrap that code in place of an existing library written in a lower level language such as C/C++.

Any suggestions?

thanks!
fan27

eusdaiki · Jul 4, 2014

why not use your current PHP code as a blue print to port into C?

fan27 · Jul 4, 2014

eusdaiki said:
why not use your current PHP code as a blue print to port into C?

yeah...that is an option. The PHP code (for trade analysis) is something I just threw together quickly. It is not very robust in terms of all the result stats you would want (max draw down, avg draw down length, etc). Ideally I would find a library that had all of the bells and whistles.

fan27

eusdaiki · Jul 4, 2014

I tried a few open source backtester recently, ended making one from scratch... That was the only way I could know every knot and bolt in the system... The open source systems were ok, but I ended up spending so much time hacking them to use the data I already have or trying to modify a small piece of their behaviour without entirely knowing what everything is supposed to do...

I haven't seem any C system that was outstanding, but there's a couple of decent ones in sourceforge and maybe 1 in git...

Zipline (python) is a pretty complete system (many bells n whistles), it was built by Quantopian... ( although it is aimed at lower frequencies and a bit if an object oriented pain in the neck if you try to do anything that is outside their intended use)

Another option for C-ish syntax is meta trader. It is good if you rely on technical indicators, but hits the wall if you need to go deeper into statistics or ML

fan27 · Jul 5, 2014

I looked at both of the packages you mentioned and came to the same conclusion (better off building my own).

I was however able to find this site and it looks like they have some interesting libraries:

http://www.modulusfe.com/products/trading-system-developer-components/

eusdaiki · Jul 5, 2014

I've seen the products from modulus before... in my previous job they paid a big pile of money for their charting solution, and ended up not using it and we went with an in house solution

fan27 · Jul 5, 2014

eusdaiki said:
I've seen the products from modulus before... in my previous job they paid a big pile of money for their charting solution, and ended up not using it and we went with an in house solution

Sounds familiar

volpunter · Jul 7, 2014

was it worth the effort to code up a whole charting library from scratch? Seriously asking not trying to be condescending. Nowadays you get top notch charting libraries for about 600 usd, such as Scichart. I have not seen a faster way to render time series with large sets of data points than this particular library and wonder how a firm can manage to keep the budget below 600 usd and still come up with a solution that does not entirely freeze when trying to plot 1mln+ data points.

eusdaiki said:
I've seen the products from modulus before... in my previous job they paid a big pile of money for their charting solution, and ended up not using it and we went with an in house solution

eusdaiki · Jul 8, 2014

volpunter said:
was it worth the effort to code up a whole charting library from scratch? Seriously asking not trying to be condescending. Nowadays you get top notch charting libraries for about 600 usd, such as Scichart. I have not seen a faster way to render time series with large sets of data points than this particular library and wonder how a firm can manage to keep the budget below 600 usd and still come up with a solution that does not entirely freeze when trying to plot 1mln+ data points.

That was the idea when they bought source code from modulus... I don't know all the details but it ended up being a hassle to maintain, and the solution built on modulus was never released. And mmgment decided to build inhouse from scratch.

Did it cost less than $600? Not by a long shot....

The solution runs ok, doesn't choke on its data, and has plenty of features. It was a pain to design and was meant to be just a basic charting tool meant for prop traders who weren't willing to pay for esignal or another commercial solution.

volpunter · Jul 8, 2014

I follow you, just customizing an existing charting library is already a chore. If I remember you do not against Windows OS, correct? Otherwise I highly recommend taking a look at Scichart, a WPF chart library, they use a combination of bitmap and vector algorithms to really speed up rendering of large data sets.

eusdaiki said:
That was the idea when they bought source code from modulus... I don't know all the details but it ended up being a hassle to maintain, and the solution built on modulus was never released. And mmgment decided to build inhouse from scratch.

Did it cost less than $600? Not by a long shot....

The solution runs ok, doesn't choke on its data, and has plenty of features. It was a pain to design and was meant to be just a basic charting tool meant for prop traders who weren't willing to pay for esignal or another commercial solution.