This backtesting engine is a personal project of mine, built in C# to explore and experiment with various trading strategies at scale.

• Multiple symbol ingest with time synchronisation
• xUnit testing
• Trade Environment
  • Trade Excution
  • Equity Monitoring
• Reporting (ElasticSearch)

• dotnet

dotnet test

{placeholder}

sh ./scripts/backtesting/run.sh

sh ./scripts/backtesting/web.sh

• dotnet v6

  • Charting & Web use, need to accept dotnet's certificates dotnet dev-certs https --trust

• ElasticSearch for reporting

• CanvasJS used for charting

  • JS libaries canvasjs.min.js to be placed within ./src/ui/src/libs/ folder

• Some financial tick data in CSV format, in the /src/tickdata folder (example provided)

  # ./tickdata/{symbol}/2020.csv:
  UTC,AskPrice,BidPrice,AskVolume,BidVolume
  2018-01-01T01:00:00.594+00:00,1.35104,1.35065,1.5,0.75

If you have changed target frameworks, make sure to update the program path in .vscode launch.json

accountEquity=0
maximumDrawndownPercentage=0

MIT

(back to top)