Backend core needed for automated trading
This project implements the trading platform discussed in the book: Professional Automated Trading: Theory and Practice by Eugene A. Durenard.
To load this project, use QuickLisp.
(ql:quickload "trading-core")A simple back testing example is listed below. More example scripts can be found in the examples folder
;; load historical data
(defparameter *security-data*
`((:msft . ,(load-event-data "MSFT" :data-format :bar
:start-date 199201010000 :end-date 201201010000))
(:aapl . ,(load-event-data "AAPL" :data-format :bar
:start-date 199201010000 :end-date 201201010000))))
;; create the trading agents that will process the historical data
(setf *agents*
(list (make-instance 'adaptive-moving-avg-trend-following
:n-min 11 :n-max 21 :width-factor 1.5
:snr-factor .9 :security :msft)
(make-instance 'adaptive-moving-avg-trend-following
:n-min 11 :n-max 21 :width-factor 1.2
:snr-factor .9 :security :msft)
(make-instance 'adaptive-moving-avg-trend-following
:n-min 11 :n-max 21 :width-factor 1.5
:snr-factor .9 :security :aapl)
(make-instance 'adaptive-moving-avg-trend-following
:n-min 11 :n-max 21 :width-factor 1.2
:snr-factor .9 :security :aapl)))
;; create a list of all events in datetime order for the simulation engine
(defparameter *events* (sort (copy-list (union (cdr (assoc :msft *security-data*))
(cdr (assoc :aapl *security-data*))))
(lambda (x y)
(< (timestamp x) (timestamp y)))))
(run-simulation *events*)
(analyze *agents* *security-data*)MIT. See "LICENSE".