When I first started playing with automated investment strategies in 2011, I nicknamed the project PerlStock, as my first implementation was in Perl. It was a fun project, with the following key features:
- download of quotes from Yahoo! finance
- event-driven backtesting engine, calculating various indicators on daily bars
- portfolio-oriented algorithm, selecting 10 stocks from a universe of about 200 names, and weighting them to achieve performance and risk objectives
- reporting engine, exporting backtesting result to Excel
After promising simulations, it was time to prove the concepts in live trading in 2012. The project has undergone several rewrites since, leaving not a single line of code from the original project in use. However, the key concepts of this first venture into day-trading are valid to this day, leading to the decision to start a new business with it’s own website in early 2018: Say hello to Bertram Solutions!