strategy backtesting

[Grison PG Pierre (External DEXIA-US)]

Hello everyone,

 

Is there already something defined in Quantlib (or in another library you might know) to use “classic” quantitative investment strategies (for instance, the minimum variance strategy) and perform (historical or simulated) backtests?

 

Thanks,

 

Pierre

 

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[cheng li]

Hi,

 

Please check out. E.g.  Quantopian( https://www.quantopian.com/ ) or QuantConnect(https://www.quantconnect.com/)

 

They are both focused on quantitative investment strategy building and both are open sourced. The main difference IMO is that Quantopian is developed by Python while QuantConnect is based on .net.

 

Both of these 2 library can leverage QuantLib functionality easily via swig wrapper.

 

Regards,

Cheng

发件人: Grison PG Pierre (External DEXIA-US) [mailto:[hidden email]]
发送时间: 2015年2月23日 22:07
收件人: [hidden email]
主题: [Quantlib-users] strategy backtesting

 

Hello everyone,

 

Is there already something defined in Quantlib (or in another library you might know) to use “classic” quantitative investment strategies (for instance, the minimum variance strategy) and perform (historical or simulated) backtests?

 

Thanks,

 

Pierre

 

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[Luigi Ballabio]

Hello,

    not in QuantLib, as least as far as I know.

Luigi

On Mon, Feb 23, 2015 at 3:06 PM, Grison PG Pierre (External DEXIA-US) <[hidden email]> wrote:

Hello everyone,

 

Is there already something defined in Quantlib (or in another library you might know) to use “classic” quantitative investment strategies (for instance, the minimum variance strategy) and perform (historical or simulated) backtests?

 

Thanks,

 

Pierre

 

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