5 minute demo video of open source FREE Tradelink historical backtesting capability
CHeck this out from a legacy version of Tradelink open source automated trading software. This was done by a local Meetup person by the name of James for a project he worked on. Thanks to him for sending. Here is the description of what is listed in this SILENT video:
Here is the demo. This is just the first part, i.e. the first milestone
of the project, which only got started a bit more than a week ago. I
have an API that trades on a “fake” market, so that during the
development of their GUI trading app I can make trades using this API,
rather than complicating things using one of the brokers.
The demo “test harness” is of a simple trading strategy running on
historical data; so I plan to have the GUI use the test harness API to
trade on the historical data.
It is built on TradeLink. I think TradeLink is some great software, and
it’s too bad they ruined it going forward by making a mockery of open
source. It is very easy to learn, and seems to have considerable
functionality. I see how easy it is to backtest a strategy on TradeLink
PS. Just in case you are interested here is my commentary for the video:
I will comment step-by-step through the video:
1) It is assumed that you have unzipped the last .zip file I sent. The
TestHarness program is started form the bin directory.
2) A window pops up to set the parameters for the test. The important
ones are MinBars and MaxVolatility. They are explained in the lower
frame, e.g. MinBars is the number of ticks (with trades) that must occur
before any orders are exectuted.
3) Next the .tik file for one day of historical data is loaded from the
4) We then press the 4hr play duration button, which plays 4 hours of
historical data. It goes to time 0 (I’m not sure why). After pressing
4hr again, the simulation ends up at time 81449. This means 8:14:49.
Observe that the Messages window is still empty.
5) The Tick tab is clicked. All of the ticks received so far are shown.
Note that only 9 trade ticks have been observed. Our strategy does not
kick in until after 10 bars: This was the default setting for MinBars
above. The tick data also contains bid and ask data, and which exchange
bid, ask and trades occur on (standard level 1 data I believe).
6) There is no data in the Indicators tab because the strategy has not
yet kicked in.
7) 2hr is pressed to play the next 2 hours. This brings us to time
101503. The strategy outputs messages in the Message window. For
example, it shows whenever the “volatility” (I explained the calculation
last time) is greater that the MaxVolatility which was set above to 0.1.
8) The Chart tab shows a chart with some info. The greed and red are the
usual OHLC tick data, for an up-tick and down-tick, respectively. The
yellow lines show the bar close prices plus the “volatility”. The blue
line is the cumulative average (the strategy was described in my last
message). At 9:31 we see large price movements above and below the
cumulative avg., which triggers the strategy to trade multiple times
9) The Orders tab shows all of the orders made by the strategy so far.
The Fills tab gives info on each order that was filled. The Results tab
gives numerous statistics on the results of trades made so far. For
example, it shows that there have been 8 trades.
10) We press 4hr to simulate 4 more hours of trading. This takes us to
141504. We see that the prices remain above the cumulative avg. Thus the
strategy does not place any orders during this period.
11) Notice that the Indicators tab contains all the indicator
information received by the strategy.
12) The end button is pressed to play back until the end of the tick
data, which is at 164634. We see that the prices cross back down over
the cumulative avg. near the end of the trading day (we see in the
Orders tab that this occurred exactly at 161710). Note that there is a
small glitch in the charting: the yellow and blue lines are cut off at
16:15; I plan to look into this even though we don’t really need
charting (it could be helpful).
13) In the Results tab we see that a total of 14 trades were executed by
the strategy. Also the Gross PNL is $405.00 and the Net PNL is $387.00.