BacktestingEngine Class Reference

Engine responsible for executing trading strategies. More...

#include <tradebench_core.h>

Public Member Functions
std::string	optimizeParameters (const MarketData &market_data)
	Finds the best strategy and parameters using an evolutionary Genetic Algorithm.
BacktestResult	runSimulation (const MarketData &market_data, const std::string &strategy_payload)
	Routes the simulation request to the appropriate mathematical strategy.

Private Member Functions
std::vector< std::string >	parsePayload (const std::string &payload)
	Parses the strategy payload string into separate tokens.
BacktestResult	runMovingAverageCross (const MarketData &market_data, int fast_window, int slow_window, bool use_ema)
	Executes the Moving Average Crossover strategy (SMA or EMA).
BacktestResult	runRSI (const MarketData &market_data, int period, double overbought, double oversold)
	Executes the Relative Strength Index (RSI) strategy.
BacktestResult	runMACD (const MarketData &market_data, int fast_period, int slow_period, int signal_period)
	Executes the MACD strategy.
BacktestResult	runBollingerBands (const MarketData &market_data, int period, double std_dev_multiplier)
	Executes the Bollinger Bands strategy.
void	calculateEMA (const std::vector< double > &source, int period, int start_idx, std::vector< double > &ema_out)
	Calculates the Exponential Moving Average (EMA).
void	calculateRSI (const std::vector< double > &prices, int period, std::vector< double > &rsi_out)
	Calculates the Relative Strength Index (RSI).
void	finalizeMetrics (BacktestResult &res, double last_price, double initial, double current, double amount, bool in_pos, int wins)
	Calculates final profit and win rate metrics for the backtest.

Detailed Description

Engine responsible for executing trading strategies.

Member Function Documentation

calculateEMA()

void BacktestingEngine::calculateEMA ( const std::vector< double > & source, int period, int start_idx, std::vector< double > & ema_out )

private

Calculates the Exponential Moving Average (EMA).

Parameters

source	Input data vector.
period	The EMA window period.
start_idx	The index to start calculating from.
ema_out	The output vector to store EMA values.

calculateRSI()

void BacktestingEngine::calculateRSI ( const std::vector< double > & prices, int period, std::vector< double > & rsi_out )

private

Calculates the Relative Strength Index (RSI).

Parameters

prices	Input price vector.
period	The RSI calculation period.
rsi_out	The output vector to store RSI values.

finalizeMetrics()

void BacktestingEngine::finalizeMetrics ( BacktestResult & res, double last_price, double initial, double current, double amount, bool in_pos, int wins )

private

Calculates final profit and win rate metrics for the backtest.

Parameters

res	The result structure to update.
last_price	The final price of the asset.
initial	Initial capital.
current	Current fiat capital.
amount	Current crypto holdings.
in_pos	Whether a position is currently open.
wins	Total number of winning trades.

optimizeParameters()

std::string BacktestingEngine::optimizeParameters

(

const MarketData &

market_data

)

Finds the best strategy and parameters using an evolutionary Genetic Algorithm.

Parameters

market_data

The dataset to backtest against.

Returns

The optimal strategy payload string.

parsePayload()

std::vector< std::string > BacktestingEngine::parsePayload ( const std::string & payload )

private

Parses the strategy payload string into separate tokens.

Parameters

payload

The strategy string (e.g., "MACD:12:26:9").

Returns

A vector of parsed string tokens.

runBollingerBands()

BacktestResult BacktestingEngine::runBollingerBands ( const MarketData & market_data, int period, double std_dev_multiplier )

private

Executes the Bollinger Bands strategy.

runMACD()

BacktestResult BacktestingEngine::runMACD ( const MarketData & market_data, int fast_period, int slow_period, int signal_period )

private

Executes the MACD strategy.

runMovingAverageCross()

BacktestResult BacktestingEngine::runMovingAverageCross ( const MarketData & market_data, int fast_window, int slow_window, bool use_ema )

private

Executes the Moving Average Crossover strategy (SMA or EMA).

runRSI()

BacktestResult BacktestingEngine::runRSI ( const MarketData & market_data, int period, double overbought, double oversold )

private

Executes the Relative Strength Index (RSI) strategy.

runSimulation()

BacktestResult BacktestingEngine::runSimulation	(	const MarketData &	market_data,
		const std::string &	strategy_payload )

Routes the simulation request to the appropriate mathematical strategy.

Parameters

market_data	The dataset to test against.
strategy_payload	The formatted string containing strategy name and parameters.

Returns

A complete BacktestResult object.

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The documentation for this class was generated from the following files:

• cpp-core/include/tradebench_core.h
• cpp-core/src/engine.cpp