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ccharp / S9K2

MIT License
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Assess efficacy of Gekko backtester. #5

Closed ccharp closed 6 years ago

ccharp commented 6 years ago

Gekko backtester has some major drawbacks: it does not account for slippage and does not have access to exchange order book.

How can we decide if the backtester provides an accurate exchange simulation without spending our own money?

How can we improve the backtester?

Explore opensource stock backester: zipline (search for github)

ccharp commented 6 years ago

https://docs.google.com/document/d/1Ss6V_buypRn4l64Ky85I2EXl8HvaL2z098kdmbzsPt4/edit

ccharp commented 6 years ago

Discuss with group. See above doc. Won't make much of a difference to us at present because we plan to trade at low frequency. Plus, we have bigger fish to fry.