Wu - Low Level Backtesting Library for Trading

This is a personal project—a backtesting library for trading strategies written in C. I use it for learning, experimenting with different designs, and exploring ideas in algorithmic trading.

Read the onlinen documentation for tutorials, design notes, and examples.

Status

This is an ongoing experiment. The design evolves as I explore different approaches to modeling trading systems. Code may change significantly as I refine ideas or discover better patterns.

Expect breaking changes. This is a learning project, not stable infrastructure.

Quick Start

Build the library:

make

Run the examples:

# Single asset crossover strategy
./examples/backtest/example01 ./tests/data/spy.csv

# Pairs trading strategy
./examples/backtest/pairs_trading ./tests/data/spy.csv ./tests/data/qqq.csv

Core Components

• Portfolios: Multi-asset portfolio management with shared cash pool
• Strategies: Pluggable strategy interface for signal generation
• Indicators: Technical analysis building blocks
• Data Readers: Flexible data input abstraction
• Runner: Backtest execution engine

Requirements

• C11 compatible compiler
• Make
• Doxygen (optional, for API documentation)
• MkDocs (optional, for user documentation)

For Python bindings:

• Python 3.7+
• SWIG (only for development)

Documentation

• Online docs - Tutorial, design notes, examples
• Tutorial - Step-by-step introduction
• API reference - Run make docs to generate Doxygen documentation

Design

Wu uses C's struct-and-function-pointer pattern for polymorphism. Components compose freely—swap readers, strategies, or portfolios without constraints.

The library provides tools, not a framework. Use what you need. Write your own runner if the default doesn't fit. Implement custom portfolios with different execution models.

I use C because I enjoy working at this level. The library also includes Python bindings for prototyping. I maintain a similar C++ implementation (tzutrader) to explore different design patterns.

Contributing

This is a personal project. I'm not actively seeking contributions, but questions and suggestions are welcome. If you find the project interesting and want to discuss design ideas, reach out.

Email: jailop AT protonmail DOT com

License

See LICENSE file for details.