Backtesting Engine
A backtesting engine with eight different execution modes — vectorized for speed, event-driven for realism, tick replay for full fidelity. Walk-forward validation prevents overfitting, and the C++ hot-path handles order book updates in microseconds.
TECH STACK
The Problem
Most backtests lie. Overfitting, survivorship bias, and look-ahead bias make 90% of strategies look great in research and fall apart in live markets.
The Approach
Built an engine that enforces walk-forward validation by default, models transaction costs realistically, and uses a C++ hot-path so tick-level replays don't take days to run.
Key Features
Walk-Forward Validation
Train on the past, test on the unseen future. Always.
Multiple Execution Models
Vectorized, event-driven, tick replay. Pick the fidelity you need for the test you're running.
Regime-Adaptive Sizing
Position sizing adapts to detected market regime — trending, ranging, high vol, low vol.
C++ Hot-Path
Order book updates handled in C++ via pybind11 for sub-10µs latency.