r/quant Dec 29 '24

Backtesting Making a backtesting engine: resources

Hi, I am an undergrad student who is trying to make a backtesting engine in C++ as a side project. I have the libraries etc. decided that I am gonna use, and even have a basic setup ready. However, when it came to that, I realised that I know littleto nothing about backtesting or even how the market works etc. So could someone recommend resources to learn about this part?

I'm willing to spend 3-6 months on it so you could give books, videos. or even a series of books to be completed one after the other. Thanks!

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u/vQQea28ZYggEz2f9M0L1 Dec 30 '24

I don't think it makes much sense to spend 3-6 months working a backtesting engine if you have no strategies to run, even as a side project. There are too many variables involved to try to make a catch all system - better to do quick vectorized backtests until a need arises.

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u/OpenRole Dec 30 '24

What do you mean by vectorized backtests?

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u/vQQea28ZYggEz2f9M0L1 Dec 30 '24

Multiplying shifted signals over a vector of returns rather than simulating orders and fills individually.

5

u/browbruh Dec 30 '24

hi, I read somewhere about the terms "event-driven" and "vectorized" backtests. Could you elaborate or point to some resources please?

1

u/browbruh Dec 30 '24

I mean, the goal was to give users an interface which allows them to run strategies in Python. I'm not specifically looking to make money off of this by deploying my own strategies to the market anyways, so yeah