Backend core needed for automated trading
This project implements the trading platform discussed in the book: Professional Automated Trading: Theory and Practice by Eugene A. Durenard.
To load this project, use QuickLisp. First, download or clone this repo into the quicklisp local-projects folder. Alternately, if you have cloned it into a different location, add a symbolic link to its location in the local-projects folder.
(ql:quickload "trading-core")A simple back testing example is listed below. More example scripts can be found in the examples folder
(in-package :trading-core)
;; load historical data
(defparameter *security-data*
`((:msft . ,(load-event-data "MSFT"
:start-date "1992-01-01" :end-date "2012-01-01"))
(:aapl . ,(load-event-data "AAPL"
:start-date "1992-01-01" :end-date "2012-01-01"))))
;; create the trading agents that will process the historical data
(setf *agents*
(list (make-instance 'adaptive-moving-avg-trend-following
:min-period 11 :max-period 21 :width-factor 1.5
:snr-factor .9 :security :msft)
(make-instance 'adaptive-moving-avg-trend-following
:min-period 11 :max-period 21 :width-factor 1.2
:snr-factor .9 :security :msft)
(make-instance 'adaptive-moving-avg-trend-following
:min-period 11 :max-period 21 :width-factor 1.5
:snr-factor .9 :security :aapl)
(make-instance 'adaptive-moving-avg-trend-following
:min-period 11 :max-period 21 :width-factor 1.2
:snr-factor .9 :security :aapl)))
;; create a list of all events in datetime order for the simulation engine
(defparameter *events* (sort (copy-list (union (cdr (assoc :msft *security-data*))
(cdr (assoc :aapl *security-data*))))
(lambda (x y)
(local-time:timestamp< (timestamp x) (timestamp y)))))
;; unless you wish to see all of the logging/debugging messages, turn off logging
(log:config :warn)
;; run the simulation
(run-simulation *events*)
(analyze *agents* *security-data*)To using the included example files, load it.
;; Use of an example system
(load (merge-pathnames "trading-core/examples/backtesting-simulation.lisp"
(first ql:*local-project-directories*)))
MIT. See "LICENSE".
The generated analysis web pages use Highstocks, which has its own, separate licensing.