AlgoQuant

AlgoQuant is an actively developed and ever more comprehensive library of code for building systems for algorithmic trading in all aspects. You can use it to build systems for backtesting, trading strategy generation, data analysis, research, and actual order execution. Out of the box, AlgoQuant is an indispensable and a very powerful tool for quantitative trading research because it is backed by an extensive math library (SuanShu). You are able to very quickly prototype very complicated quantitative strategies by reusing the AlgoQuant components. Among other things that AlgoQuant does are in-sample calibration and optimization, out-of-sample backtesting, performance analysis and strategy generation.

Unified Mathematical Analysis and Modeling Library

AlgoQuant differentiates itself from other trading system by focusing on quantitative trading strategy research (not execution). (However, there is nothing to prevent you from replacing our mock market with a real market execution/brokerage API.) Built on SuanShu, you can do all the data analysis and sophisticated mathematics based strategies all in Java, without the need to resort to external math software like Excel, R, or Matlab. Additionally, AlgoQuant comes with some well established models published in academic journal papers.

Trading Models

AlgoQuant has a collection of trading strategies and models, which can be purchased separately. They are found here: ​quantitative trading strategies

Features Highlight

• Backed by a math library SuanShu, which allows you to prototype mathematical/quantitative models very quickly
• ​strategy optimization
• Read historical data from various sources such as Bloomberg, CompuStat, Gain Capital, Yahoo.

Installation

Source Code

The latest source code can be browsed here.

Set Up

• AlgoQuant Setup

Tutorials

• Running the demos
• Coding a trading strategy
• Illustration with Infantino’s PCA strategy

Licensing

Permission to use, copy, and distribute AlgoQuant (but not the paid models and modules) and its documentation for any purpose and without fee is hereby granted, provided that the above copyright notice appear in all copies and that both that copyright notice and this permission notice appear in supporting documentation, and that the name of the copyright holders not be used in advertising or publicity pertaining to distribution of the software without specific, written prior permission. The copyright holders makes no representations about the suitability of this software for any purpose. It is provided “as is” without express or implied warranty.

Permission to modify the software is granted, but NOT the right to distribute the modified code in either source or binary format.

THE COPYRIGHT HOLDERS DISCLAIM ALL WARRANTIES WITH REGARD TO THIS SOFTWARE, INCLUDING ALL IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS, IN NO EVENT SHALL THE COPYRIGHT HOLDERS BE LIABLE FOR ANY SPECIAL, INDIRECT OR CONSEQUENTIAL DAMAGES OR ANY DAMAGES WHATSOEVER RESULTING FROM LOSS OF USE, DATA OR PROFITS, WHETHER IN AN ACTION OF CONTRACT, NEGLIGENCE OR OTHER TORTIOUS ACTION, ARISING OUT OF OR IN CONNECTION WITH THE USE OR PERFORMANCE OF THIS SOFTWARE.

Full Licensing Terms: ​http://numericalmethod.com/algoquant-licensing-terms/