[fareid] Quick Backtest Framework

2020년 12월 18일

█ OVERVIEW

This Framework allows Pine Coders to quickly code Study() based signal/strategy and validate its viability before proceed to code with more advance/complex customized rules for entry, exit, trailstop, risk management etc..

This is somewhat an upgraded version of my earlier personal template with different strategy used, cleaner code
and additional features.


█ USE CASES

- You have an idea for trade signal and need a quick way to verify its potential before writing lengthy/complicated code
- You found a study script for trading signal in public library and want to validate it profitability with minimum effort before including it in your trading playbook


█ FEATURES

- Alert: Ready to use alert function based on signals from your custom indicator.
- Visual Backtest: Auto-plot entry, stop-loss and take profit for simple strategy performance analysis
- Backtest Statistic: Provide basic key metrics based on backtest strategy
- BTE External Signal Protocol: Ready to use code that will supply required state to PineCoders Backtesting & Trading Engine if you wish to have more advance and sophisticated backtesting engine
Notes: All of the above features have On/Off toggle


█ Description & How To Use

This Framework consist of 5 Modules but you only need to edit the first 2 Modules:

Module1: Indicator
Module2: Framework Input Protocol
Module3: Alert
Module4: Backtest
Module5: [PineCoders] Backtest & Trading Engine

Tips: The source-code includes collapsible block by module for easy navigating

Module1: Indicator:
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Main Module. Place custom indicator input parameter/calculation/indicator plotting here

Sample Strategy: Double MACD Crossover
MACD Signal: 1st MACD Cross above signal line indicate Buy Signal
1st MACD Cross below signal line indicate Sell Signal
MACD Filter: 2nd MACD is above 0 line indicate Uptrend
2nd MACD is below 0 line indicate Downtrend


Module2: Framework Input Protocol:
-----------------------------------------------------------------------------------
Use this module to connect main indicator/signal calculated in Module1 to the rest of the framework's module
4 variables needed to be defined here:
1. Uptrend
2. Dntrend
3. BuySignal
4. SellSignal
i'm not sure how to place a code snippet here to show you example so in the source code i already put a comment in Module2 on which part u need to edit. I hope its pretty simple to use.


Module3: Alert Module Description:
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As long as the variables in Module2 properly defined, the alert module is ready to use without any further modification.

Input:
Enable Alert --> Enable TV's alert and plot signal to chart
Alert Type --> Set to take Buy only, Sell only or Both alert


Module4: Backtest Module Description:
-----------------------------------------------------------------------------------
As long as the variables in Module2 properly defined, the backtest module is ready to use without any further modification.

Input:
Backtest Stat --> Enable Backtest Statistic Label
Backtest Visual --> Enable Backtest visual simulation
Backtest Type --> Set to take Buy only or Sell only or both
SL Type -->
ATR : Set SL in ATR times Multiplier below entry price
Fixed : Set SL in fixed point below entry point (in 'Dollar'). e.g. for Stocks -> 0.5 equals to 50cent while for EURUSD currency -> 0.005 equal to 50 pips
HiLo Bar: Set SL at highest/lowest wick of previous [x] bar plus/minus Fixed point. e.g. EURUSD HiLo=3 and Fixed Point = 0.0005, buy trade will place SL 5 Pips below lowest of previous 3 bar
SL ATR Multi --> Set Lookback Period used for SL's ATR calculation
SL ATR Multi --> Set ATR Multiplier for SL
SL Fixed --> Set Fixed Level for SL
SL Bar --> Set Number of previous bar to check for SL placement
TP RR Ratio --> Set TP based on RR multiplier. e.g. 2 means TP level will be twice further from entry point compared to Entry-SL distance.
Notes: The point is for preliminary testing, so it only supports 1 trade at a time and no Trailing Stop


Module5: [PineCoders] Backtest & Trading Engine Description:
-----------------------------------------------------------------------------------
As long as the variables in Module2 properly defined, the Pinecoders BTE module is ready to use without any further modification.

Input:
External Signal Protocol --> Set ESP State to send to "Backtesting & Trading Engine [PineCoders]"
Signal With Filter --> Use this to send entry signal that already filtered by this study indicator (without stoploss level)
Signal Without Filter --> Use this to send raw entry signal that are NOT YET FILTERED by this study indicator (without stoploss level)
Signal and Stop With Filter --> Use this to send entry signal WITH StopLoss that already filtered by this study indicator (with stoploss level)
Signal and Stop Without Filter --> Use this to send raw entry signal WITH StopLoss that are NOT YET FILTERED by this study indicator (with stoploss level)
Notes: Backtesting & Trading Engine [PineCoders] already have built-in Filter, Entries and Stop Level. e.g. Unselect all their filter state if only want to use custom filter and make sure send Signal with Filter (with or without SL level)



█ DISCLAIMER:

This framework main objective is to create my personal indicator template so that i just have to modify the indicator module for preliminary testing in future.
The sample strategy included are for educational purpose only. Use at your own risk

credit: LucF/PineCoders for a lot of his scripts that i use as a guide to complete this

2020년 12월 24일

릴리즈 노트

i was experimenting with array and decided to add on additional backtest information to get the profit ratio.

2021년 3월 12일

릴리즈 노트

Minor cosmetic fixes.