stfl / backtestd

backtestd - A Backtest Runner and API for backtestd-expert

Introduction

This repository contains a backtest runner and API designed for my MetaTrader 5 experts (EA) backtestd-expert, with a specific focus on the principles of the No Nonsense Forex (NNFX) approach. The fundamental rules of the algorithm are predefined, but the specific indicators employed are not.

backtestd and its companion, backtestd-expert, are tools designed to identify the most suitable indicators for use in an algorithmic trading strategy.

Functionality

backtestd adopts a divide-and-conquer strategy to navigate through the solution space. It does this by backtesting individual indicators, scoring them with a specific metric, and then integrating them with other indicators to form a comprehensive indicator set for the full algorithm.

backtestd-expert is designed flexibly, allowing for external configuration of the actual MT5 indicators and parameter space used.

Optimization

While MT5’s in-built backtesting and optimization tools are powerful, capable of running multiple backtests simultaneously and distributing execution across multiple machines in a backtest cluster, they are considerably slow when initiating a new backtest run with a single parameter. backtestd addresses this limitation by always initiating backtests with a parameter range, thereby optimizing the process.

Usage

backtestd offers flexibility in usage - it can either be used as a Command-Line Interface (CLI) by providing YAML-based configurations, or as an API by submitting the run configuration as JSON.

backtestd transforms the legacy XML result file into a more readable CSV format, or if used as an API, it returns the results as JSON.

Configuration

The CLI is configured via yaml files and the same config structures as json can be passed in via the API.

Indicators config

Configuring the indicators to use.

Any MT5 indicator can be configured and used. To set this up: Indicator Configuration

config/indicator/confirm/aroon_up_down.yaml

---
name: aroon
filename: Aroon_Up_Down
class: TwoLinesCross
inputs:
# input int AroonPeriod = 14;
    - - 14.0
      - 23.0
      - 30.0
      - 1.0
buffers:
  - 0  # up buffer
  - 1  # down buffer
shift: 0

Run config

The run configuration describes a set of indicator which refer to indicator configuration files and some parameters for the backtest execution. When called via the API, the indicator config can be nested.

config/run/run_aroon.qqe.rex.kijunsen-genetic.yaml

---
name: aroon.qqe.rex.kijunsen-genetic
indi_set:
  Confirm: config/indicator/confirm/aroon_up_down.yaml
  Confirm2: config/indicator/confirm/qqe.yaml
  # Confirm3: ~
  Exit: config/indicator/exit/rex.yaml
  # Continue: ~
  Baseline: config/indicator/baseline/kijunsen.yaml
  # Volume: ~
date:
  - 2014-03-01T00:00:00-00:00
  - 2021-03-01T00:00:00-00:00
backtest_model: 2
    # EveryTick = 0,     // "Every tick"
    # OneMinuteOHLC = 1, // "1 minute OHLC"
    # OpenPrice = 2,     // "Open price only"
    # MathCalc = 3,      // "Math calculations"
    # EveryTickReal = 4, // "Every tick based on real ticks"
optimize: 2
    # Disabled = 0,   // optimization disabled
    # Complete = 1,   // "Slow complete algorithm"
    # Genetic = 2,    // "Fast genetic based algorithm"
    # AllSymbols = 3, // "All symbols selected in Market Watch"
optimize_crit: 5
    # Balance = 0,         // the maximum balance value,
    # BalanceProf = 1,     // the maximum value of product of the balance and profitability,
    # BalancePayoff = 2,   // the product of the balance and expected payoff,
    # Drawdown = 3,        // the maximum value of the expression (100% - Drawdown)*Balance,
    # BalanceRecovery = 4, // the product of the balance and the recovery factor,
    # BalanceSharpe = 5,   // the product of the balance and the Sharpe Ratio,
    # Custom = 6, // a custom optimization criterion received from the OnTester() function in the Expert Advisor).
visual: true
store_results: 0
    # None
    # SideChanges = 1
symbols:
  - EURUSD
  - AUDCAD
  - GBPUSD
  - USDCHF
  - USDJPY
  - USDCAD
  - AUDUSD
  - EURCHF
  - EURJPY
  - EURGBP
  - EURCAD
  - GBPCHF
  - GBPJPY
  - AUDJPY
  - AUDNZD
  - AUDCHF
  - CHFJPY
  - EURAUD
  - EURNZD
  - CADCHF
  - GBPAUD
  - GBPCAD
  - GBPNZD
  - NZDCAD
  - NZDCHF
  - NZDJPY
  - NZDUSD
  - CADJPY

Common config

This configures the base configuration per machine on how to execute the MT5 backtest

config/config_win10.yaml

---
params_file: expert_params.set
terminal_exe: "C:\\Program Files\\MetaTrader 5\\terminal64.exe"
workdir: "C:\\Users\\Stefan\\AppData\\Roaming\\MetaQuotes\\Terminal\\D0E8209F77C8CF37AD8BF550E51FF075"
reports: reports
expert: "backtestd\\backtestd-expert.ex5"
wine: false
period: D1
login: "26180"
use_remote: true
use_local: true
replace_report: true
shutdown_terminal: true

deposit: 100000
currency: USD
leverage: 200
execution_mode: 0

Running

USAGE:
    backtestd [OPTIONS] [SUBCOMMAND]

FLAGS:
    -h, --help       Prints help information
    -V, --version    Prints version information

OPTIONS:
    -c, --config <CONFIG>      Config file
    -w, --workdir <WORKDIR>    overwrite workdir path

SUBCOMMANDS:
    daemon    start a daemon with a REST API
    help      Prints this message or the help of the given subcommand(s)
    run       run a backtest

to start the daemon with the API on port 12311

backtestd daemon

Installation

Rust Nightly

Currently, rust nightly is required due to the bench in the XML reader. This is not actually required, but I can’t be bothered to make this configurable.

Cross Compiling for Windows from Linux

sudo apt install mingw-w64 -y
rustup target add x86_64-pc-windows-gnu

~/.cargo/config

[target.x86_64-pc-windows-gnu]
linker = "x86_64-w64-mingw32-gcc"
ar = "x86_64-w64-mingw32-gcc-ar"

cargo build --release --target x86_64-pc-windows-gnu

Deploy

./deploy.sh <path/to/MQL5>

backtestd's Issues

Rewrite RunParams module for simpler more generic configuration of EA

currently the RunParams struct is not flexible.
Add a config: Vec field to directly pass EA configs as string.
keep the procedure for generating the indicator set configuration file.

Make run split for multi-currency execution configurable

currently backtestd determines if the runs need to be split by SYMBOL.
For manual evaluation of indicator config it may be better for force multi-currency execution.

Document Setup