I've developed some software which generates sets of trades, and I'd like to backtest those trades. My software currently outputs a CSV file with details of each trade:
2011-03-31,MSFT,Buy,100 2011-04-02,AAPL,Buy,50 2011-05-10,MSFT,Sell,100
Is there any backtesting software out there that lets you bring in a set of your own trades, and see how it would have done? All the software I've found so far requires to you write your algos directly in the package, and doesn't simply let you say 'Buy X, Sell Y'.
Edit based on comments:
- I don't include prices or commissions in my CSV because my play here is a long term play (timescale is months or even years). Having the backtesting software use the VWAP (or even just the day's close) is fine, and with most retail commissions fairly low I could either let the backtesting software add one in or just ignore it. I may not get perfect resolution but (I think) I'd be close enough.
- I can't use any of the packages that I've found because my algo doesn't work on the traditional technicals. Instead I'm looking (mostly) at independent stuff, such as 13f data feeds.
- I can definitely write something in R, or even in my own codebase, but I'm trying to save myself some work on my proof of concept.