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I am new to quant, but have skirted around the various competencies required. I have a couple of engineering degrees; a masters in finance, and I also work as a relationship director in a commercial bank for institutional clients.

I have a portfolio strategy I'd like to test. I've (very slowly!) figured out the math and modelled it in excel. The strategy selects ETFs from different asset classes using momentum measures and then algorithmically weights them using risk parity concepts. So I'm using using matrices and iterative methods for the weighting, and selecting ETFs from various "buckets" of asset classses based on momentum.

I'd really appreciate some advice on the "best" platform(s) to backtest - I have to confess I'm a bit confused about how/where to go about doing this. Some other points that may be useful:

  • I'm not a programmer, but could probably figure it out if needed. I did some programming as an engineer, but that was roughly a million years ago in languages not particularly relevant to quant
  • I'd be looking at rebalancing monthly
  • I'd rather not spend too much money doing the back testing as my investable portfolio is miniscule at the moment
  • My current broker is Interactive though it isn't clear to me that they have the capability I need for backtesting

Thanks in advance - any advice would be appreciated.

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  • $\begingroup$ sierrachart is well known to be used for backtesting by financial institutions; I think it costs around 25$ a month. here is the link: sierrachart.com $\endgroup$
    – Valometrics.com
    Apr 28, 2021 at 23:59
  • $\begingroup$ If you're willing to learn Python - (A very very good investment, but it would probably take some time), you can try the zipline library. $\endgroup$
    – rubikscube09
    Apr 29, 2021 at 0:06
  • $\begingroup$ If programming in R is an option, then this tutorial papers.ssrn.com/sol3/papers.cfm?abstract_id=3374195 might be helpful (I am the author). For the package described in there I have also provided a number of answers in this forum, e.g. quant.stackexchange.com/questions/39759/… $\endgroup$
    – Enrico Schumann
    Apr 29, 2021 at 8:06
  • $\begingroup$ In addition to getting the right software you might want to explore the conceptual issues (and dangers) in backtesting, for example in Campbell Harvey's article Backtesting (and many others on the subject). $\endgroup$
    – nbbo2
    Apr 29, 2021 at 13:12

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