I want to do backtests on forex. Just want somebody to point me in the right direction (book, website) as all I want to do is test multiple strategies using c. Used to do this in mql4 but that language is very limited. On the web there is a lot of examples using mql4 and python but nothing for c. I JUST NEED AGOOD STARTING POINT
There are systems out there that have robust backtesting capabilities- Amibroker, SierraCharts, Tradestation,etc . Most of them have built-in technical analysis functions like RSI, ADX, Bands,etc so you don't have to reinvent the wheel. Some require monthly subscription, some require you to open an account with their broker. I have been using Amibroker and paid a 1-time $350 license. As you evaluate these systems, keep in mind the data source as well- these systems have plug-ins from various quote providers.I've programmed in all of the above and as far as the Fx space, Amibroker has a custom interface where you can construct your own customized index which can be used as a trade filter.
Thanks for the advice, I appreciate it. I actually do want to write this stuff from scratch (with libraries) as a learning curve. Python has quite a huge forex library, does it make sense to learn using that library and then convert it to C++?
Look up "optimization of trading strategies", and take it from there. There are many books, articles, and software packages. This is a big topic.