Running Backtest In A Loop

I am a programmer and need some advice / help to get started.

Basically I want to do back testing using C++ as I read that it was the fastest language do ‘event driven’ back test. Because what I want to do is run one strategy in a loop and increment settings one at a time to see what best settings could be used.


And for the Historic Data, what would the best source be? It does not have to be the best accuracy but the execution time has to be fast.


All I want is an example how to do this as I can’t find any reliable examples. If somebody can point in the right direction or give me an example it would greatly help. And I don’t mind paying somebody just to give me a good example as it would be a good starting point.


Any advice would be greatly appreciated.

 

You're "a programmer" and you don't know how to write a loop ?

 

of course i do just want some help getting started with the stuff inside the loop

 

Go to You tube and search writing loop in C++ or back testing strategy. Otherwise, there are some trading platforms that does that for you and all you have to do is plug in what want to test.

Have fun!

 

The stuff in the loop is the strategy.
Get data
Act on that data
Keep track of positions pnl

 

Isn't this just optimizing? I mean there's nothing significant about running things in a loop here. It's natural and implied if you want to test different parameters on the same set of data.

Store structured output of each run until the input choices are exhausted - post process from there.

 

Historical data is downloaded once on your computer - you can select the source you want, but given it runs locally it will be fast anyway.

As for an example - if you look at the structure or Metatrader "expert agents" it will give you an idea of how things work, or you can look for Moving average crossover examples all over the internet, which is effectively the Hello World of algo trading.

 

This must be the quote of the year. It's incredibly funny, please don't take it in a condescending way. Yes brother, we ALL work 12 hours each day to find the goodies inside that God damn loop.

 

for( int i= lowerVar1; i<= upperVar1; i+= incrementVar1 ) {

for( float j= lowerVar2; j<= upperVar2; j+= incrementVar2 ) {

// if meets criteria

// save the state​

}​

}

what are you trying to do?

 

that's question number one. question number two to OP (also big one,same question i'm asking second time here today)-OP!!! WHAT TYPE OF SECURITIES YOU ARE TALKING ABOUT? for fuck sake..can anyone here be more specific? what data are you looking for? stocks,bonds,futures,options,options on all above? what? shitty questions=shitty answers

you don't need " fastest " language..the fastest language for this task is the language you already know. you are programmer ,right?