Hello everyone,
Robust, reliable and replicable strategy framework
Robust
Reliable
Replicable
Most frameworks fill a lot of boxes but not all of them. The main thing I am missing are
Is there a unified framework something similar to software frameworks that covers almost 90% of the use cases?
If not, then what are your suggestions for such a framework.
Robust, reliable and replicable strategy framework
Robust
- Could be statistically tested
- Can be used to generate live orders
- Compare performance against expected vs actual trades to spot out errors
- Easy to get started without too much technological stuff (installation and programming a few scripts is fine) and runs on multiple platforms or on a virtual machine
- Can be tuned/optimised once the parameters are known
- Not tied to any proprietor software/vendor and the ability to look through execution (without any magic)
Reliable
- Works in an expected way
- Can spot common errors
- Could run on a lot of instruments/stocks
- Provides backtesting, order implementation and performance analysis within a single framework
Replicable
- Always provides the same results given the same inputs
- Ability to backtest, execute strategies based on a domain language instead of arbitary code
- Could be easily ported from one machine to another and from one datasource to another
Most frameworks fill a lot of boxes but not all of them. The main thing I am missing are
- Domain specific language for backtesting
- Real time performance evaluation
- Spotting out common errors
Is there a unified framework something similar to software frameworks that covers almost 90% of the use cases?
If not, then what are your suggestions for such a framework.