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maxholloway / Backtest.jl

Very simple event-based backtesting platform.
MIT License
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Port Project to Julia #1

Closed maxholloway closed 4 years ago

maxholloway commented 4 years ago

Port to Julia

Summary

Port all of the existing python code to Julia.

Justification for the Transition

  1. Julia can run really fast when used in a specific way. In versatile programs this is an issue, however this program has extremely little variability in types. Thus, we it is straightforward to use static typing for everything here, except for the type of the input data. However, that even is not too challenging, since we can just specify the type as Any.
  2. It's fun to learn new languages!
  3. Julia is (or might be?) the future!
  4. Other projects take a more simplified approach, and do not incorporate functionality for multi-asset cross-strategies. This project may be able to contribute something new to the Julia community. :)