1
$\begingroup$

An interesting problems I have been dealing with as a relatively new quant to the Electricity markets is the difficulty of back testing.

The issues I have been having with backtesting are that the framework needs to be able to work over two series, a purchase in the day ahead market and a sale in the real time market 24hr after. some of the backtesting frameworks like bt and backtrader work great for normal single series models but don't hold up for a double series market, atleast with out significant customization which may be the fastest route.

Wondering if anyone has encountered a similar problem?

$\endgroup$
1
$\begingroup$

backtrader supports the spot/day-ahead pattern, which was developed explicity for energy markets. See

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.