Early Days

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 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 results to Excel

A New Venture

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 place. However, the key concepts of this first venture into day-trading remain valid to this day, leading to the decision to start a new business with its own website in early 2018: Say hello to Bertram Solutions!

Sector Performance

Yet Another Backtesting Engine

Later in 2018, and after being frustrated with the limitations commercial backtesting engines have, I decided once more to roll my own. This time, it is written in C# and named TuringTrader in admiration of Alan Turing. A quick summary of TuringTrader’s key features:

  • Features
    • Simulate equity trades, portfolios of equities, and options
    • Calculate indicators, with a growing library of standard indicators
    • Simple Windows Desktop UI for interactive sessions
    • Strong focus on easy-to-use time-series APIs, making coding a breeze
    • Multi-threaded optimizer engine, able to utilize all available CPU cores
  • Data Inputs
    • Import data in any CSV format with configurable column-mapping
    • Automatic download/ update of data files from Norgate, IQFeed, Tiingo, Yahoo, and FRED
    • Query account summary and positions from Interactive Brokers
  • Report Outputs
    • Create beatiful native reports, based on customizable C# templates
    • Create customized Excel reports with just a few lines of VBA
    • Create customized R reports, either in straight R, or with R-Markdown
  • Status
    • Production quality code, actively maintained, and tested
    • Onlin API documentation, and quick start guide
    • Demo algorithms to shorten the learning curve

I am quite confident in this project, and as of November 2018, pretty much all of Bertram Solutions’ R&D runs on TuringTrader, most notably all of our Model Portfolios.

TuringTrader as a Service

TuringTrader has grown tremendously. What started out as a clunky tool for nerds, has progressed to a consumer-friendly tool used by quantitative researchers and technical traders around the world.

turingtrader world 768x492

Encouraged by this success, I made yet another step towards consumer-friendliness. In late 2019, I launched TuringTrader.com. This is a membership site offering the following features:

  • Portfolios
    • basic, from well-regarded books and publications
    • premium, based on our own research
  • Features
    • daily updated charts, metrics, and target allocations
    • customizable dashboard
    • email subscriptions
    • background information, reviews, technical articles