Backtesters

[samsogade]

Hi,

Does anyone know of any publicly available backtesters in kdb? I'm aware of the exchange simulator qx at http://gbkr.com/subjects/q/index.html and it should probably be possible to implement something on the back of that.

Thanks

[effbiae]

qx looks like fun.

if you ran qx, possibly have one subscriber that places (and cancels) orders in the sequence of the period in question.

another subscriber runs your algorithm.

so qx with an hdb backed client is the backtester; subscribe to that qx exchange to backtest your algo.

[samsogade]

True, something like that could work. I was looking for a system that would keep track of the positions, P&L, risk metrics, etc. I'm a bit surprised I haven't been able to find anything yet, as I bet every single kdb+ developer out there has attempted to build this at some point in their career. Perhaps it's their trade secret 🙂