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Khizar Imran
73 lines
1.9 KiB
Markdown
73 lines
1.9 KiB
Markdown
# backtestingfx
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A Rust library for backtesting FX trading strategies on OHLCV data.
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Inspired by [backtesting.py](https://kernc.github.io/backtesting.py/), built specifically for forex — lot sizes, long/short positions, stop loss, take profit, and pip-based PnL.
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## Overview
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Implement the `Strategy` trait, point it at your OHLCV data, and the engine handles the rest. The library is event-driven — your strategy receives one bar at a time and interacts with a simulated broker to open and close positions.
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```rust
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struct SmaCross {
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period: usize,
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prices: Vec<f64>,
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}
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impl Strategy for SmaCross {
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fn next(&mut self, bar: &Bar, broker: &mut Broker) {
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self.prices.push(bar.close);
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if self.prices.len() < self.period {
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return;
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}
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let sma: f64 = self.prices.iter().rev().take(self.period).sum::<f64>() / self.period as f64;
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if bar.close > sma {
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broker.buy(bar.close, 1.0, bar.timestamp, None, None);
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} else {
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broker.close_all(bar.close, bar.timestamp);
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}
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}
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}
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```
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## Features
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- Event-driven backtesting on OHLCV bar data
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- Long and short positions
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- Per-position stop loss and take profit
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- Full trade history with PnL per trade
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- CSV data loading
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- Designed to be imported into Python via PyO3 (coming soon)
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## Getting Started
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Add to your `Cargo.toml`:
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```toml
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[dependencies]
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backtestingfx = { git = "https://github.com/KhizarImran/backtestingfx" }
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```
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## Project Structure
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```
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src/
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├── lib.rs # crate root
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├── types.rs # Bar, Position, Trade
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├── strategy.rs # Strategy trait
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├── broker.rs # simulated broker
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├── engine.rs # backtest event loop
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└── data.rs # CSV data loader
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```
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## Status
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Early development. Core types and broker are implemented. Data loading and engine are in progress.
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## License
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MIT — see [LICENSE](LICENSE)
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