Re: strategy backtesting

Posted by Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/strategy-backtesting-tp16283p16285.html

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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