Project Documentation

This project is organized into five main areas: a broker layer for direct access to historical / live data, a data layer for storage, a research layer for strategy prototyping, and a trading layer for execution/backtesting/optimization.

Market calendars and historical data providers.

• Calendar
• Calendar
• NYSE Calendar
• Historical Brokers
• Config Type
• Historical Broker
• Yfinance
  • yfinance
  • yfinance Config

Market data access and storage.

• Data Repository
• Storage
• Store Market Data

Strategy research and experimentation.

• Research Runner
• Research Strategies
• Bollinger Band Mean Reversion
  • Runner
  • Strategy

Trading engine: analysis, execution, indicators, and optimization.

• Data
• Analyze and Graph
• Data Prep
• Graphing
• Equity Curve Overlay
• Metric Distribution
• Pairwise Heatmap Grid
• Parallel Coordinates
• Parameter Importance
• Risk / Return Overview
• Trade Quality Scatter
• Underwater Drawdown

Trading execution

• Backtester
• Config
• Market
  • Feed
• Orders
  • Order Filler
  • Stop-Loss Order Manager
• Portfolio
  • Portfolio
• Strategy Backtester
• Engine
• Events
  • Event Bus
  • Events
• Orders
  • Order API
• Results
  • Execution Data
  • Results Collector
• Strategy
  • Strategy
  • Strategy Injector

Indicators & indicator state

• Calculations
• Average True Range
• Bollinger Bands
• EMA
• RSI
• SMA
• True Range
• VWAP
• Wilder Average
• Indicator
• State
• Bollinger Bands State
• EMA State
• RSI State
• SMA State
• VWAP State
• Wilder Average State

Strategy optimization, experiments, & metrics

• Analysis
• Builder
• Calculate Metrics
• Calculators
  • Drawdown
  • Returns
  • Risk
  • Trades
• Context
• Metrics
• Experiments
• Backtest Experiment
• Backtest Experiment Grid
• Backtest Experiment Result
• Backtest Experiment Runner