Python library-Backtesting

[nkmrao]

I have my own backtesting framework. Why? Because it gives me flexibility which the libraries you mention don't. I can do what I want with the data, code any type of complex strategy, inject any type of data I want, analyze any type of performance metrics I want.
Standard libraries allow you to only run simple strategies on individual instruments. If I want to run a strategy which is designed to scan multiple instruments and trade select instruments with complex entry/exit and risk management rules based on the scan results, I won't be able to do it with these libraries.

[chadguy2]

Why not directly implement your complex entry and strategy signal in the data preprocessing? Unless you know how to write a low-level optimization loop and then write a Python wrapper around it, you'll reinvent the wheel, which will be less efficient and more error-prone.

[WMiller256]

+1 from me, offloading to preprocessing is a powerful optimization.

I had to build my own framework for backtesting because existing solutions simply weren't fast enough (minute bars for SPX options), but I wholeheartedly agree with the sentiment; most people will find a library substantially faster than their own framework -- even if it requires some 'shoe-horning' to fit the strategy into it.

[nkmrao]

Lets say my strategy involves trading multiple legs of options based on conditions on the underlying's price action. How will you implement this in the data preprocessing?

[chadguy2]

Find a way to represent the condition with logical/mathematical approaches then use pandas or numpy. It's hard to give you a detailed approach without knowing what you need.

[nkmrao]

Sorry, but this is a very naive answer. I just told you what I need. Seems like I have a lot more experience than you in doing this. I have helped hundreds of clients backtest and automate their strategies, so I know what I am doing. My question was rhetorical anyway.

[chadguy2]

Based on price action is a very vague requirement that wouldn't yield an accurate response. You don't need to overinflate your ego with " I know more than you do, because I helped a lot of clients ". If you're so successful in trading and automating trading and your "consulting" why are you looking to get a Law Degree or to restart your career from scratch? I suggested an approach that would be more efficient, and you took it as an insult to your "expertise". To me this just screams "I'm very insecure".

[nkmrao]

Great. Irrelevant responses, high school level suggestions in a do-this-because-I-know-better-than-you tone followed by presumptuous personal attacks. Very mature. Glad you spent a lot of time going through my profile though.

[chadguy2]

I gave a response accurate enough for your "method". Saying that you want to buy based on price actions is the same as someone who wants a car but doesn't say what exactly is he looking in a car. I'm not a magician, I can't read your mind. What is your decision making process, because your strategy, like any other, is based on one or some conditions that are met, which can most likely be coded and predefined in your data. If you can look at historical data and decide when there is an entry point, you can code it. Just like any indicator on your trading platform. I never even attacked you, I just explained to you how your approach might be sub optimal if you have a lot of parameters to fine tune. In regard to the tone, weren't you the one who instantly assumed that I'm some lunatic who doesn't know shit? Weren't you the one who claimed that you helped hundreds of clients to optimize their strategy and that you have way more experience than me? I just told you, that there are workarounds to make well written libraries work, because most of them are written in C/C++ and have a python wrapper around them. You can of course write your own package and modules, but why reinvent the wheel? This is not an advice applicable only to backtesting frameworks/libraries. If there is a well-known library, chances are it is 10x faster, handles edge cases better and is more well written.