VBA vs Python

I want to develop a systematic macro trading strategy that will trade with a time horizons of a few months. It will consist of importing economic indicators, perform some mathematical studies, and have trade recommendations as output. For now, visualizing output through GUI is optional. What matters is the trade recommendations as outputs and the ability to backtest the strategy on past data going back few decades. Intraday fluctuations plays a quasi non-existent role and some economic data would be updated on a weekly basis and monthly basis, so speed is not a concern. Having said all that, I want to learn programming to execute this project and I do not know which program should I pickup, VBA or Python? People with experience are free to comment. Thanks

 
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I second python. You could do the same with R, which I'm doing for my thesis. But python has more finance related libraries. VBA is commonly used at banks because everyone uses excel and it is difficult to introduce new technologies in legacy systems. Since you start from scratch that isn't a concern for you.

Here are some python libraries that might be of interest to you. There are many more.

  • QuantPy: Quantitative finance, import daily returns from Yahoo, calculation of optimal weights for Sharpe ratio and efficient frontier
  • ffn: Performance measurement and evaluation, graphing, common data transformations
  • pynance: Retrieving, analyzing and visualizing data from stock and derivatives markets
  • finmarketpy: Analyze market data, backtest trading strategies, simple to use API
  • visualize-wealth: Construct, backtest, analyze, and evaluate portfolios and their benchmarks
  • statsmodels: Explore data, estimate statistical models, and perform statistical tests
Array
 
lotsofhotwater:
I second python. You could do the same with R, which I'm doing for my thesis. But python has more finance related libraries. VBA is commonly used at banks because everyone uses excel and it is difficult to introduce new technologies in legacy systems. Since you start from scratch that isn't a concern for you.

Here are some python libraries that might be of interest to you. There are many more.

  • QuantPy: Quantitative finance, import daily returns from Yahoo, calculation of optimal weights for Sharpe ratio and efficient frontier
  • ffn: Performance measurement and evaluation, graphing, common data transformations
  • pynance: Retrieving, analyzing and visualizing data from stock and derivatives markets
  • finmarketpy: Analyze market data, backtest trading strategies, simple to use API
  • visualize-wealth: Construct, backtest, analyze, and evaluate portfolios and their benchmarks
  • statsmodels: Explore data, estimate statistical models, and perform statistical tests

Second this. R has a lot of trading libraries too though

 

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