Sigma Sphere Workstation
Sigma Sphere Workstation is the back-testing platform integrating R with C# providing strategy editor. Fast execution of testing is ground for timely output which saves one's valuable time, when it is usually the most of lack, when building profitable strategies. Flexibility is something what is valued highly, that's why platform contains custom collections for data keeping and processing. The world of programming languages refrains collections to int/long size what has been circumvented here, so that platform has no restriction for tick values. All processing is in memory so speed is assured.
- It contains adapters, relative and absolute data source objects ,(internal, Bloomberg, IQ feed) with file and SQL based persistent layer.
- Classic window for strategy testing. There are two ways of processing ->
- full strategy management (provides 3 trainable modes for machine learning models (Full eval, Train/Test mod, custom Train)
- alpha model + risk management model (I work on this)
- Fee scheme implementable.
- Calculates basic stats, var, expected shortfall, Sharpe ratio (simple form r/var) a Sharpe ratio (r-r(risk free))/var. Strategies can access them and so use them to adjust risk management, but they are calculated based on lazy load so do not slow down whole calculation if not used.
- Platform automatically converts currencies. It works for multi-currency portfolios. Everything goes to basic currency that can be set up on strategy level or app. level.
- Strategy editor - code dom, integration with R, R code can be used inside strategy or data can be pushed to R console for further analysis. (subject to rebuilding, I plan to create whole analytical layer here)
- Strategy specific windows -> there it great space for whatever to be included in strategies with the use of strategy specific tabs. (R-Markdown reports to be added)
- Portfolio lookup.
- Trade monitoring.
- Rolling of futures shown in last part of the video, make the tool extremely useful, it's something I did not come upon with other tools. The chain is automatically rolled by the system.
Tech: C#,R, MSSQL, Bloomberg API