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I am looking to start developing a trend following strategy and have been looking to do something in either C# or Java and wondered if there was a library or framework out there that would make backtesting a bit easier?

I have looked at NinjaTrader(NT7) and it has some good API methods to allow you to run say a Donchian Channel/ATR on the stock data and use the values in your calculations of order entries and I wondered if there were similar libraries around that would do this in the programming world outside of an application like NT7?

I know about things like quantlib but these are more mathematical based and I know these can be programmed in but I didn't want to reinvent the wheel if there was already a chunk of these indicator style things already written somewhere?

Thanks in advance and I hope this question is within the guidelines for posting here.

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  • $\begingroup$ I ended up looking towards python and some of the more open source frameworks, I think there are a lot of great opportunities there but less User friendliness in UI area. You have to be comfortable using command lines and script output but I think its well worth the (initial) hassle/learning curve. Thanks for all the answers. $\endgroup$ – MJB Jun 8 '16 at 3:08
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Yes, there are.

For pure technical indicator libraries I would first check out:

http://www.ta-lib.org/

Its open source and they provide APIs for both C# and Java among others.

Let me know if you look for commercial ones but this one is definitely the most comprehensive in terms of open source code.

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You might have a look into the CRAN's "Empirical Finance" task view. It lists a whole bunch of R packages for time-series analysis and construction of automatic trading rules.

Link: http://cran.r-project.org/web/views/Finance.html

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I believe the R library quantmod has some pre-packaged tools.

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RightEdge offers a C#/VB (.net) framework with backtesting that might have what you want: http://www.rightedgesystems.com/ It attaches to a number of broker APIs including the one offered by Interactive Brokers.

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    $\begingroup$ Are you affiliated with RightEdge? This is the second answer of yours that links to them. $\endgroup$ – chrisaycock Feb 4 '13 at 12:34

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