Event-Driven Backtesting Engine
Event-driven backtesting engine implemented in two languages with a unified Streamlit interface.
DataHandler → MarketEvent
Strategy → SignalEvent
Portfolio → OrderEvent
Broker → FillEvent → Portfolio::update()
Structure
backtest/
├── core/ ← C++17 engine (performance-critical)
│ ├── include/
│ │ ├── events.hpp # std::variant<MarketEvent, SignalEvent, OrderEvent, FillEvent>
│ │ ├── bar.hpp # OHLCV struct
│ │ ├── data_handler.hpp
│ │ ├── strategy.hpp # Strategy base + SMACrossStrategy
│ │ ├── portfolio.hpp
│ │ ├── broker.hpp # fill at open, 0.1% flat commission
│ │ ├── performance.hpp # Sharpe, CAGR, Max DD, Calmar
│ │ └── export.hpp # CSV export
│ └── src/
│ └── main.cpp
│
├── strategies/ ← Python engine (reference implementation)
│ ├── events.py
│ ├── data_handler.py
│ ├── strategy.py
│ ├── portfolio.py
│ ├── broker.py
│ ├── performance.py
│ └── runner.py
│
├── app.py ← Streamlit, single entry point
├── scripts/
│ └── download_data.py
├── CMakeLists.txt
├── Justfile
└── pyproject.toml
Option 1 : Run on host directly
1. Download data
just download AAPL,MSFT
# or: python scripts/download_data.py AAPL MSFT --start 2015-01-01 --end 2024-01-01
2. Build C++ core
just build
# or: cmake -B build -DCMAKE_BUILD_TYPE=Release && cmake --build build -j4
3. Launch the UI (you could just run this and skip step 1 and 2)
just app
# or: streamlit run app.py
Select the engine in the sidebar: Python strategies (runs inline) or C++ core (subprocess + CSV).
Full workflow in one command
just all AAPL,MSFT
Option 2 : Use Docker
docker compose up --build
Open http://localhost:8501. The data/ and results/ directories are mounted as local volumes — data and results persist across container restarts.
Engines
Python strategies/ |
C++ core/ |
|
|---|---|---|
| Dispatch | queue.Queue + if/elif |
std::queue + std::visit |
| Events | dataclasses | std::variant |
| Data | yfinance live | pre-downloaded CSV |
| Output | inline Streamlit | results/*.csv |
| Use case | rapid prototyping | long-period backtest |
Metrics
Total Return / CAGR / Sharpe Ratio / Max Drawdown / Annualised Volatility / Calmar Ratio — all compared against a configurable benchmark (default: SPY).