trading-backtest
Unverified ML strategy on Crypto by lukstei. BotFinder score 18 out of 100.
A stock backtesting engine written in Java. And a pairs trading (cointegration) strategy implementation using a bayesian kalman filter model
Source: github
BotFinder analysis pending.
trading-backtest
What? This is a general purpose lightweight backtesting engine for stocks, written in Java. Some advantages compared to other backtesting implementations are: It uses a callback model and since it is implemented in java it should be pretty performant when running many backtests Easily extensible Strategies are easily debuggable using a Java IDE Lightweight and therefore the backtesting engine is easily verifiable Backtesting results are further analyzable in R or Excel since it uses a CSV output format Cointegration/Pairs trading I've written this library primarily to try out this particular strategy. The cointegration strategy, or also known as pairs trading strategy, tries to take two stocks and create a linear model to find a optimal hedge ratio between them in order create a stationary process. Assume stocks A and B with prices Pa and Pb respectively, we set Pa = alpha + betaPb and try to find optimal alpha and beta. One method to find alpha and beta is using a so called Kalman Filter which is a dynamic bayesian model and we use it as an online linear regression model to get our
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