https://github.com/mccaffers/backtesting-engine

This backtesting engine is a personal project of mine, built in C# to explore and experiment with various trading strategies at scale.
https://github.com/mccaffers/backtesting-engine

backtesting trading trading-platform

Last synced: 5 months ago
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This backtesting engine is a personal project of mine, built in C# to explore and experiment with various trading strategies at scale.

• Host: GitHub
• URL: https://github.com/mccaffers/backtesting-engine
• Owner: mccaffers
• License: mit
• Created: 2021-11-11T20:23:39.000Z (almost 4 years ago)
• Default Branch: main
• Last Pushed: 2025-01-26T15:47:13.000Z (8 months ago)
• Last Synced: 2025-04-02T15:11:13.652Z (6 months ago)
• Topics: backtesting, trading, trading-platform
• Language: C#
• Homepage: https://mccaffers.com
• Size: 1.81 MB
• Stars: 12
• Watchers: 1
• Forks: 3
• Open Issues: 0
• Metadata Files:
  • Readme: README.md
  • License: LICENSE.md

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README

          


C# Backtesting Engine

  


    By Ryan (mccaffers.com)

  



## About The Project

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

[![Quality Gate Status](https://sonarcloud.io/api/project_badges/measure?project=mccaffers_backtesting-engine&metric=alert_status)](https://sonarcloud.io/summary/overall?id=mccaffers_backtesting-engine)

### Features

* Multiple symbol ingest with time synchronisation

* xUnit testing 

* Trade Environment

    * Trade Excution

    * Equity Monitoring

* Reporting (ElasticSearch)

### Built With

* [dotnet](https://dotnet.com)

### Getting Started

#### Testing

`dotnet test`

#### Demo Run (Working)

{placeholder}

#### Local Terminal

sh ./scripts/backtesting/run.sh

#### Local Web & Terminal

sh ./scripts/backtesting/web.sh

### Dependencies

* 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)

    ```bash

    # ./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

    ```

### Debugging

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

### Random Trading Strategy

    accountEquity=0

    maximumDrawndownPercentage=0

### License

[MIT](https://choosealicense.com/licenses/mit/)

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