swMATH ID: 44458
Software Authors: Amos, J.
Description: Strategems.jl: Strategems is a Julia package aimed at simplifying and streamlining the process of developing, testing, and optimizing algorithmic/systematic trading strategies. This package is inspired in large part by the quantstrat1,2 package in R, adopting a similar general structure to the building blocks that make up a strategy. Given the highly iterative nature of event-driven trading strategy development, Julia’s high-performance design (particularly in the context of loops) and straightforward syntax would seem to make it a natural fit as a language for systematic strategy research and development. While this package remains early in development, with time the hope is to be able to rapidly implement a trading idea, construct a historical backtest, analyze its results, optimize over a given parameter set, and visualize all of this with great detail.
Homepage: https://github.com/dysonance/Strategems.jl
Source Code:  https://github.com/dysonance/Strategems.jl
Dependencies: Julia
Related Software: FinancialMonteCarlo.jl; FinancialDerivatives.jl; Bruno; Julia
Cited in: 0 Documents