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My background is in Spread Betting. I know how to calculate my position size based on how far away my stop is from my entry, I calculate the amount per pip so that I only ever risk a fixed percentage of my account on any one trade e.g. 1%.

So say my account is £1,000, 1% is £10 (The amount I want to risk on the trade). The stop, which for simple maths is 10 pips/points away. £10 / 10points is £1 per pip/point.

I'm new to backtesting frameworks and have chosen the "Backtesting" package as my first one to give a go: https://pypi.org/project/Backtesting/. I'm open to other frameworks/packages such as Zipline.

What suggestions do you have as to what framework this would be easiest with, and/or examples of how to do it whether or not that's with the Backtesting package.

(Just to clarify, I have written my own custom live trading system which does all this but only for live trading. Now I want to specifically implement it within a strategy backtest framework.)

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  • $\begingroup$ If you have written a live trading system which does all that, wouldn't it be simple to just get historical data and apply your own implementation? $\endgroup$
    – AKdemy
    May 6 at 1:59

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