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I use Quantstrat heavily for strategy research and optimisation. I have two Python developers about to join my team and would like to use it as an opportunity to diversify our research tools so we are not as reliant upon one framework.

Which of the plethora of python backtesting Frameworks is most similar to Quantstrat in terms of strategy design (Indicators, Signals, Rules), preferably vectorised as were mainly dealing with granular data and running multiple parameter sweeps, and also fully supports futures?

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I wonder if I can make an attempt to answer your question based on a small tweak of your requirement. The short answer is that I'd recommend BackTrader.

Instead of being "most similar" to Quantstrat, I think BackTrader is different enough to serve your purpose of diversifying your research tools. I assume you meant to use the extra resources and try out whatever else is out there. So it may be beneficial that different tools bring different approaches.

The biggest and obvious difference is that instead of being a signal based framework, BackTrader is a time based framework. I think as an experimentation project, such exposure may expand your thinking in various different ways.

The platform comes with a large number of indicators (including TA-LIB), and it is also fully open source (similar to Quantstrat in this regard). The code is very well written and easy to understand and debug. It is also very extensible with Python code and whatever Python library you can get your hands on, and whatever Python data structure you care to define.

A big down-side to this platform is that the original author has gone onto greener pastures and the code is now being maintained by the community. There does not seems to be a lot of resources on it. But the platform itself is simple and feature rich enough, I personally have been able to just look at the code get whatever problems/issues resolved.

Hope this helps.

P.S. OMG cannot believe I didn't notice the question was asked so many years ago. It popped up today in the "unanswered questions queue". Oh well, hope this might help someone.

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