Why We Created InvestOS

Thanks to his +20 year career in quantitative investing, Jonathan Briggs, the CIO at Oracle Alpha, has learned a thing or two about creating quantitative investing software. One of the things he has learned by experience: portfolio optimization and backtesting solutions are a nuisance to build, a cost center to maintain, and expensive to buy.

Each time Jonathan has started researching a new investment strategy, he has had to rebuild a custom backtesting and portfolio optimization solution. "Why doesn't an open source solution exist for backtesting, like Pandas?!" he often wondered aloud. Each time he went through this process, he became more bothered by the absence of reliable solutions in the open-source ecosystem.

But why open-source? Well, because backtesting and portfolio optimization isn't typically considered valuable intellectual property by investors; it (usually) doesn't materially improve investment returns or contain any alpha-generating secret sauce. In other words: it benefits everyone to use the same reliable (and free!) solution, since it isn't a competing source of investment returns.

Thankfully, Jonathan's frustration eventually boiled over in early 2023, leading to the creation of InvestOS.

Unlike commercial backtesting offerings that are complicated, rigid, and expensive, InvestOS' solution is an open-source, simple, and extensible collection of modules for portfolio optimization and backtesting.

But how easy is it to use REALLY, you may be wondering? The below 10 lines of code are capable of running a simple portfolio optimization and backtest!

From the start, our goal has been to support all possible optimization strategies and backtesting requirements through flexible, extensible code, while prioritizing reliability and ease-of-use. Once we feel we've achieved that goal as it pertains to portfolio optimization and backtesting, we plan to begin productizing other (non-IP) parts of investors' alpha-generation process.

If any of the above is of interest to you, or you're simply keen to follow our journey, we invite you to subscribe to our blog!

In the meantime, we'll be working hard to make investors' lives easier, one piece of non-IP functionality at a time 😊