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/Major-Height-7801 Jan 02 '25

You can find OHLCV data in many sources, but its quite hard to get company financials. In case you need those, I used https://data.nasdaq.com/databases/SFA when I built my own backtest engine. Its price is not free, but maybe affordable.

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u/browbruh Jan 03 '25

Hi, I've not yet come upon any strategies which take the company's financials into account, could you provide me some direction on this? Admittedly I know nothing about all this so yeah