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I have coded a machine learning algo (sklearn) in Python, that uses different 'look back periods' for training a model, which is then used to predict future prices of a stock.

It has a 52% accuracy in predicting the future price. I now wish to build a simple strategy around this for backtesting. I am specifically interested in applying risk management, stoplosses, etc to test over a number of years.

Can anyone recommend a suitable Python-based backtesting platform for use with a sklearn ML algo that for each period looks back ata number of prior periods prices, trains a model, predicts future direction, and then issues orders to the backtesting platform?

Google has returned a whole range of options and so I am really after advice from anyone else that might have backtested a sklearn ML algo using a Python-based backtesting platform for recommendations...

Failing this, i might build a simple version myself.

Thank you!

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  • $\begingroup$ I have heard of backtrader. Although it would be a good exercise in software development to write your own backtesting procedure :) $\endgroup$
    – rubikscube09
    Aug 2, 2022 at 20:37

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MoonshotML is a backtesting framework specifically for machine learning strategies. It is part of QuantRocket. It supports rolling and expanding walk-forward optimization and integrates with scikit-learn among other Python ML libraries.

Disclaimer: I'm affiliated with QuantRocket.

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  • $\begingroup$ Thanks Brian. I'm ideally looking for a free open source solution that I can run locally. $\endgroup$
    – Cairan Van Rooyen
    Jul 3, 2022 at 5:33

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