Strat3 is a general backtester meant to measure performance and diagnostic strategies. It is mainly built in C++. The programming design was inspired by Agent Based models in economics. Each action are broken down into small pieces allowing maximum flexibility.

Each module can be compiled as a shared library (dll) and reloaded by the backtester without requiring strat3 recompilation (hot reloading).

A Backtester can be configured through a json configuration file:

{
    // define DataManager format
    Data:{
        config:{
            file: data.csv
        },
    },

    Backtest:{
        cash:10000,
        min_window:20,
    }

    Strategies:{
        EqualWeight:{
            file: strategy/equalweight.dll,

            config:{
                predictor: None,
                market: default,
                log: default,
                portfolio: default
            }
        },

        VarianceMin:{
            file: strategy/varmin.dll,

            config:{
                predictor: HistoricalCovariance,
                market: default,
                log: default,
                portfolio: default
            }
        }
    }
}

• gtest
• Boost (configuration file)
• gnuplot (plot drawing)
• latex (if tex report is used)

• Finish the configuration parser (mostly done)
• Add a get data module
• finish market engine implementation
• Rebuild unit tests

• Server/Client Backtester
  • Market engine is server side
  • FIXME: Portfolio should be server side.
• Bloomberg Module
• SQLite Module
• Strat3 GUI 'Compiler'