Backtesting Engine
High-performance backtesting framework for strategy validation with realistic market simulation.
What it does
Developed a sophisticated backtesting engine that simulates realistic market conditions including slippage, transaction costs, and order execution delays. Supports vectorized and event-driven backtesting.
Technologies used
Key features
- Vectorized backtesting for fast computation
- Event-driven backtesting for realistic simulation
- Slippage and transaction cost modeling
- Position sizing strategies
- Walk-forward optimization
- Monte Carlo simulation
- Comprehensive performance metrics (Sharpe, Sortino, Max DD)
- Visual performance reports
Technical challenges
Balancing speed with accuracy. Implemented both vectorized (fast) and event-driven (accurate) modes.
Results & impact
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Case-study documentation
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Project problem
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Proposed solution
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System architecture
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Data sources
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Risk controls
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Backtesting methodology
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Verified results
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Limitations
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Screenshots and charts
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