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Backtest Documentation

Intent

Backtest.jl exists in order to provide a straightforward interface for performing backtests in Julia. Moreover, I (Max Holloway) really like some of the ideas from the python framework Backtrader, and I wanted to make my own (better, simpler) version of it in Julia.

Core Ideas

In order to get up and running, one only needs to know how to make a DataReader and how to fill in StrategyOptions. After that, you can run your backtest! To add to the backtest, you will need to provide what are called "user-defined functions". These functions allow one to perform behavior, such as ordering shares or calculating metrics derived from FieldOperations.

Functions

Super Important Functions

Backtest.run — Function
run(stratoptions::StrategyOptions)::Strategy

Run a backtest and obtain the completed strategy object.

Arguments

  • stratoptions::StrategyOptions: all of the options to be used for the backtest

Returns

  • Strategy: a completed Strategy object
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Backtest.StrategyOptions — Method
StrategyOptions(; kwargs...)::StrategyOptions

Keyword Arguments

Required

  • datareaders::Dict{AssetId, <:AbstractDataReader}: data source for each asset
  • fieldoperations::Vector{<:AbstractFieldOperation}: field operations to be performed
  • start::{<:Dates.TimeType}: start time for the backtest (this is the DateTime of the first bar of data to be read; actions start one bar later)
  • endtime::{<:Dates.TimeType}: end time for the backtest

Optional

  • numlookbackbars::Integer: number of backtest bars to store; if -1, then all data is stored; if space is an issue, this can be changed to a positive #. However, this will limit how much data can be accessed.
  • tradinginterval::{<:Dates.TimePeriod}: how much time there is between the start of a bar
  • verbosity:Type: how much verbosity the backtest should have; INFO gives the most messages, and NOVERBOSITY gives the fewest
  • datadelay::{<:Dates.Period}: how much time transpires at the beginning of a bar before data is received; e.g. if this is 5 seconds, then data will be received by the backtest 5 seconds after the bar starts.
  • messagelatency::{<:Dates.Period}: how much time it takes to transmit a message to a brokerage/exchange
  • fieldoptimeout::{<:Dates.Period}: how much time until the field operation computatio times out; note that field operations are computed before the user receives data
  • datetimecol::String: name of datetime column
  • opencol::String: name of open column
  • highcol::String: name of high column
  • lowcol::String: name of low column
  • closecol::String: name of close column
  • volumecol::String: name of volume column
  • ondataevent::Function: user-defined function that performs logic when data is received
  • onorderevent::Function: user-defined function that performs logic when an order event is received
  • principal::{<:Dates.Period}: starting amount of buying power; in many cases this will be interpreted as a starting cash value
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Backtest.order! — Function
order!(strat::Strategy, order::OT)::OrderId where {OT<:Orders.AbstractOrder}

Place an order and obtain its orderid.

Arguments

  • strat::Strategy: the strategy object running that invokes this method
  • order::{<:Orders.AbstractOrder}:

Returns

  • OrderId: identifier for the placed order.
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Accessor Functions

Backtest.Engine.numbarsavailable — Function
numbarsavailable(strat::Strategy)::Integer

Arguments

  • strat::Strategy: the strategy object running that invokes this method

Returns

  • Integer: the number of bars available from which we can retrieve data.
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Backtest.Engine.data — Function
data(strat::Strategy, ago::Integer)::NamedArray

Arguments

  • strat::Strategy: the strategy object running when this method is invoked
  • ago::Integer: the number of bars before the previous bar; if ago = 0, this accesses the previous bar's data

Returns

  • NamedArray: [assetid, fieldid]->value pairs for ago bars ago.
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data(strat::Strategy, ago::Integer, fieldid::FieldId)::NamedArray

Arguments

  • strat::Strategy: the strategy object running when this method is invoked
  • ago::Integer: the number of bars before the previous bar; if ago = 0, this accesses the previous bar's data
  • fieldid::FieldId: Note: FieldId is an alias for String

Returns

  • NamedArray: [fieldid]->value pairs for ago bars ago.
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data(strat::Strategy, ago::Integer, assetid::AssetId, fieldid::FieldId)

Arguments

  • strat::Strategy: the strategy object running when this method is invoked
  • ago::Integer: the number of bars before the previous bar; if ago = 0, this accesses the previous bar's data
  • assetid::AssetId: Note: AssetId is an alias for String
  • fieldid::FieldId: Note: FieldId is an alias for String

Returns

  • {<:Any}: Object associated ago bars ago with this assetid and fieldid
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data(strat::Strategy)::NamedArray

Arguments

  • strat::Strategy: the strategy object running when this method is invoked

Returns

  • NamedArray: [assetid, fieldid]->value pairs for the previous bar
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data(strat::Strategy, fieldid::FieldId)::NamedArray

Arguments

  • strat::Strategy: the strategy object running when this method is invoked
  • fieldid::FieldId: Note: FieldId is an alias for String

Returns:

  • NamedArray: assetid->value pairs for the previous bar.
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data(strat::Strategy, assetid::AssetId, fieldid::FieldId)

Arguments

  • strat::Strategy: the strategy object running when this method is invoked
  • assetid::AssetId: Note: AssetId is an alias for String
  • fieldid::FieldId: Note: FieldId is an alias for String

Returns

  • {<:Any}: The object associated with assetid and fieldid for the previous bar.
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Other Functions

Backtest.log — Function
log(strat::Strategy, message::String, verbosity::Type)

Write message to the console.

Arguments

  • strat::Strategy: the strategy object running that invokes this method
  • message::String: message to be written to console
  • verbosity::Type: the verbosity level to be used; see Verbosity Levels
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Types

High-Level Types

The following are types that all users must understand when running a backtest.

Verbosity Types

These types allow users to specify how much verbosity they want in their backtests. They are ordered here from most to least verbose.

Backtest.AbstractVerbosity — Type

Top of the verbosity type hierarchy. In practice, this is not intended to be a user-facing type, however it can be used if a user wants to log every possible message in the backtest.

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Backtest.INFO — Type

Log all messages at the INFO level or below. This is a lot of verbosity. Supertype: AbstractVerbosity

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Backtest.WARNING — Type

Log all messages that give warnings or important information. This is very low verbosity. Supertype: TRANSACTIONS

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Low-Level Types

The following are types that users should never have to access directly.

Backtest.Strategy — Type

Container for all backtest run-time state. Strategy objects should not be modified within user-provided functions.

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