High-level overview of group's goals and objectives
- Naive backtesting with
FinancialBlotter.jl: order placement logic with user-defined signals (trading rules). Tests: Faber strategy (stock), luxor (forex): numerical verification from papers or quantstrat demos. - Uniform documentation scheme (
Docile.jl,Lexicon.jl); continuous integration Lexicon ->gh-pages
- Strategy parameter optimization on user-defined grids
- Rolling parameter optimization (walk-forward analysis)
- Real-world order fill simulation
- Process custom order sizing functions
- Parameter optimization with local search methods and global search heuristics
- Technical indicator wishlist here
- Analytics metrics wishlist here