BackTest-Cpp

A header-only, high-throughput backtesting engine in C++17. Supports CSV data feeds, built-in technical indicators (SMA, EMA, RSI), and simple strategy templates. Includes example projects demonstrating support/resistance breakout strategies in both batch and streaming modes.

Features

• Core library (header-only, under include/backtest):
  • Engine: CRTP-driven backtest engine with cash, commission, slippage, and position management.
  • Strategy: Base class for user-defined strategies.
  • data::CSVDataFeed & data::OHLCBatch: Batch reader and container for OHLC CSV data.
  • indicators: Header-only SMA, EMA, and RSI functions.
• Examples:
  • SupportResistance: Pivot-based support/resistance strategy (batch mode).
  • StreamingSupportResistance: Streaming example using the same strategy on live data feed.

Requirements

• C++17 compiler (GCC, Clang, MSVC)
• CMake ≥ 3.10
• Standard C++ library

Building

# From project root
mkdir build && cd build
cmake ..
make -j4

Executables are generated under:

• build/Examples/SupportResistance/SupportResistance
• build/Examples/StreamingSupportResistance/StreamingSupportResistance

Usage

SupportResistance (batch mode)

build/Examples/SupportResistance/SupportResistance

StreamingSupportResistance (streaming mode)

# Provide CSV path and optional batch size
build/Examples/StreamingSupportResistance/StreamingSupportResistance \
  ../Examples/Data/^NSEMDCP50.csv [batch_size]

Core API Overview

• Engine (backtest::Engine<Derived, Feed>):
  • setCash(double), setCommission(double), setSlippage(double)
  • run(): invokes onStart(), onBar(batch, idx), onEnd() on the derived strategy.
  • buy(), sell(), close(): position operations with commission tracking.
• Data Feed:
  • data::CSVDataFeed(filePath, batchSize): loads CSV in batches.
  • data::OHLCBatch: columnar storage for date, open, high, low, close, adjClose, volume.
• Indicators (backtest::indicators):
  • SMA(data, period), EMA(data, period), RSI(data, period)

Directory Structure

.                      # Project root
├── CMakeLists.txt    # Top-level CMake configuration
├── include/          # Header-only backtest core
│   └── backtest/
├── Examples/         # Example strategies and data
│   ├── SupportResistance/
│   └── StreamingSupportResistance/
└── build/            # Build output (CMake / Makefiles)

Contributing

Contributions are welcome! Please open issues or pull requests for enhancements or bug fixes.