I'm going to resurect some work I did on mechanical system trading with
Sierra Chart and I thought I'd share it in the hopes that more minds might make a better mousetrap. This thread isn't going to be about specific systems although we might need some basics to generate discussion; its going to be about the underlying test harnesses and analysis software.
This is independent of SC's own
backtesting facilities. My initial goal is to create a system that:
- runs a set of bar based backtests with two configurable variables
- marks the charts with position opens & closes plus limit and
stop orders for visible inspection
- produces a single
contract OTE/CTE line (variable
contracts would be an extension)
- generates a timestamped text file with order, position, equity and other changes for analysis
- generates a variable based summary text file of each trading run with key outputs like pf,
mfe,
mae
- the order generating code should be in a form that could be shimmed into live trading modules.
Thats
all in C++ as dll modules. I've got a lot of this stuff now but need to revisit it as its a couple of years old.
Then you take the text files and analyse and visualize the data using Python (3.4).
Is there any interest in participating? Does anyone think this is the wrong approach and have a better suggestion for all or part.