Why Clojure?

Clojure Backtesting is an open-source library for testing trading strategies on historical daily data, developed at HKU Business School as part of the clojure-finance projects. The source code is on GitHub under the MIT License, and releases are on Clojars.

It builds on two other clojure-finance libraries: clj-yfinance downloads the Yahoo Finance data, and Clojask powers clojask-script, which converts large CSV files such as CRSP's into the backtester's layout.

Why Clojure

Clojure is a functional programming language that runs on the Java Virtual Machine. Several of its features suit financial modelling and data-heavy research:

• Immutable data. Values do not change under you, which makes a long simulation easier to reason about and to test.
• The REPL. You build a strategy interactively, one expression at a time, and inspect the portfolio after every step.
• The JVM. Clojure code can call any Java library, and runs at the speed of compiled Java.
• Built for concurrency. Immutable data and Clojure's reference types make parallel work safer and simpler.
• Lazy sequences. Data can be processed as it is read, which is how the backtester handles datasets larger than memory.

Functional languages have a long history in finance: Jane Street, for example, uses OCaml as its primary language, and many banks use Scala. We believe Clojure has a lot to offer here too, and this library is one of the resources we are building for the community.

Report bugs and contribute

The library is under active development. If you find a bug or a mistake in these pages, please open an issue. Ideas for new examples are welcome too.