Backtesting framework

[oliviermilla]

@g-gundam

Thanks for explaining how you might go about incorporating OnlineTechnicalIndicators into the Lucky indicator system. If I have some down time later, I may explore this. The thing that may slow me down the most at this point is my lack of understanding when it comes to Rocket.jl operators.

Sounds great ! Yes, Rocket is mind bending at first.

@g-gundam

The ChartSubject is a thin wrapper around the Chart struct from my library, TechnicalIndicatorCharts.jl. It’s designed to consume candles and incrementally build a DataFrame that contains OHLCV values + indicator values calculated by OnlineTechnicalIndicators.jl. In my own trading system, I have a StrategySubject that subscribes to the ChartSubject, and it uses the data inside the chart_subject instance to make trading decisions.

TBH it looks like an anti-pattern. The whole point is to separate data and concerns among actors for composition and reusability. In Rocket/Reactive, actors shouldn’t share states. It’s not a hard line but it can save you tons of trouble with async stuffs.

I see three possible concerns here:

1. Building a sink DataFrame. (Some kind of blotter. See the keep() operator in Rocket)
2. Making Decision. (A Strategy)
3. Charting stuffs. (Some kind of blotter)

@g-gundam

That fires when ChartSubject has formed a complete candle for a Chart. Every complete candle implies all indicators in a Chart had new values calculated for them, so the ChartSubject notifies the StrategySubject with that tuple.

Sounds like a lot of waiting. Why not making things independent ?

1. Have each indicator have its own life and fire data as it processes them.
2. Have a strategy that keeps whatever data it needs and no more. Have it receive notification for quotes, indicators, positions, fills or whatever you want.

That’s how Rocket and Lucky are designed anyway.

@g-gundam

In realtime situations, the yield wouldn’t have been needed, but in simulation, I needed it. Rocket was too fast.

Look at sync() operator in Rocket.