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I’m looking for a fast library for backtest in R that supports limit orders, stop-losses, and take-profits. The library should be optimized for repeated historical testing and ideally ported from fast languages such as C++ or Rust. I don’t need complex combinations of trading systems or multi-currency portfolios. I need a backtest for a signal-based trading system with the ability to use not only market but also limit orders, including stop-loss and take-profit.

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You could try the QuantTools package. I've never used it, but the backtests are implemented in C++ and the code looks like the person who modeled the orders and events knows what they're doing.

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As a first port of call you might try the Cran Finance Task View which lists numerous packages relevant to backtesting.

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  • $\begingroup$ Thanks, I saw this before and watched it again. What I'm looking for in my question is not there $\endgroup$
    – mr.T
    Commented Mar 13 at 13:23

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