Project Inception

Canaccord approached us to build a backtesting tool for trend following algorithms. The tool would allow the user to configure the parameters of the algorithm (e.g. the minimum number of components, moving average definitions), and display historical metrics, including the following:

• Sharpe ratios vs. a chosen benchmark
• Cumulative profits vs. a chosen benchmark
• Drawdowns
• Turnover
• Allocations of individual components

Canaccord sent us some sample data, and we agreed to take on all aspects of development. We promised to deliver the solution in two weeks.

The Work

We finished the project on time and on spec. Upon showing the working solution, our contact expressed shock that we actually delivered within the time promised. They followed up with some minor add on requests, and we helped them deploy the solution onto their Microsoft Azure servers.