Roadmap
High-level overview of group's goals and objectives
NOW
- Naive backtesting with
FinancialBlotter.jl
: order placement logic with user-defined signals (trading rules). Tests: Faber strategy (stock), luxor (forex): numerical verification from papers or quantstrat demos.
- Uniform documentation scheme (
Docile.jl
, Lexicon.jl
); continuous integration Lexicon -> gh-pages
SOON (higher priority)
- Strategy parameter optimization on user-defined grids
- Rolling parameter optimization (walk-forward analysis)
LATER
- Real-world order fill simulation
- Process custom order sizing functions
- Parameter optimization with local search methods and global search heuristics
ONGOING (as needed)
- Technical indicator wishlist here
- Analytics metrics wishlist here