Backtesting Engine

Features

• High-Performance C++ Implementation: Built for speed and efficiency
• Keltner Channel Indicator: Configurable EMA period, ATR period, and multiplier
• Multithreaded Backtesting: Simultaneous testing of multiple parameter combinations
• Intraday Trading Logic: Automatic end-of-day position exit
• Comprehensive Trade Logs: Detailed CSV exports with all trade metrics
• Performance Analytics: Profit/loss, max profit, max drawdown, Calmar ratio, and more

Architecture

The system follows clean object-oriented design with the following components:

• MarketData: Manages OHLCV data structures
• Trade: Encapsulates individual trade information and metrics
• BacktestResult: Stores results for each parameter combination
• KeltnerIndicator: Calculates Keltner Channel bands (EMA, ATR, upper/lower bands)
• CSVParser: Efficient CSV file parsing
• TradingStrategy: Implements intraday trading logic with EOD exits
• BacktestEngine: Multithreaded backtesting orchestrator
• TradeLogger: CSV export for trade logs and summary reports

Building the Project

Prerequisites

• C++17 compatible compiler
• Make utility

Compilation

make

Running the Backtest

Quick Start

make run

Input Data Format

The CSV file should have the following columns:

timestamp,open,high,low,close,volume
2024-01-02 09:15:00,21450.50,21475.25,21440.00,21460.75,1250000

The sample file is stored in the data folder as market_data_sample.csv

Output Files

All results are saved in the output/ directory:

Individual Trade Logs

• Filename: tradelog_EMA{X}_ATR{Y}_MULT{Z}.csv
• Contains: Entry/exit timestamps, prices, Keltner bands, P&L, max profit, max drawdown, Calmar ratio

Summary Report

• Filename: summary_report.csv
• Contains: Aggregated statistics for all parameter combinations