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QSTrader Adds Short Selling and Leveraged Long–Short Backtests

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Summary

This June 2020 update reports several releases of the QSTrader backtesting engine. Its main technical change was an overhaul of portfolio, position, transaction, and simulated broker components to support short selling. The platform moved from long-only portfolios to leveraged long–short portfolios using a simplified margin model, enabling simulations of mean-reverting pairs strategies, including a Kalman filter approach previously discussed by the publisher.

The update also mentions bug fixes and community discussions about cloud infrastructure for high-frequency trading and currency-strength indicators for algorithmic forex trading. It provides no implementation details, backtest results, or assessment of the margin model's realism. The release note therefore establishes a change in the engine's capabilities, but does not show how well those capabilities perform or whether they cover a particular trader's financing, execution, and risk requirements.

Key ideas

  • QSTrader added support for short positions and leveraged long–short portfolios.
  • The new portfolio features use a simplified margin model.
  • The update identifies mean-reverting pairs strategies as a potential use case.
  • The release note gives no performance results or detailed validation of the margin assumptions.

Tags

BacktestingPairs tradingMean reversion

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.