Balsam.Examples 1.0.3

Balsam Examples

This repository contains source code for example strategies that can be run by the Balsam Backtester by referencing the NuGet package Balsam.Examples.

The following sample strategies demonstrate a few core principles:

• In OnStrategyStart(), indicators are calculated and assigned to built-in TimeSeries column variables Col1, Col2, etc. Think of these like a spreadsheet column. This is also where charting can be configured by calls to Plot.
• Trading logic is implemented in OnBarClose(). The backtester will step through each bar of the data being tested, automatically synchronizing dates across all series. A call to Col1.Last from within OnBarClose() returns the value of the current date being tested, not the last date in the series. Orders submitted from OnBarClose are valid for execution on the next bar.

Strategies

Channel Breakout

ChannelBreakout is a classic Donchian style breakout model that places an entry stop above new highs and trails an exit stop below lows (for longs; shorts are the opposite). It only trades in the direction of a longer-term moving average.

CPI Release

CPIRelease is an example of an event study. Instead of coding buy and sell rules, we are simply interested in quantifying the market's subsequent reaction to a particular setup, in this case when the 10 Year Treasury Note closes near the lows of its 10 day range on the same day CPI was released.

Keltner Band Breakout

KeltnerBandBreakout is an intermediate trend-following model that uses ATR bands to quantify extreme momentum. It exits on a cross through the middle band or a fixed horizon.

Max Positions Money Manager

MaxPositionsMoneyManager shows how to implement a custom money manager. MoneyManagers are responsible for taking trades generated by a Strategy, sizing the positions and creating a backtest report. In this example, we implement a simple fixed fractional position sizing algorithm using Average True Range as our risk measure subject to an optional maximum open position constraint.

RSI2

Rsi2 is a Larry Connors style shorter-term counter-trend trading model. This implemention can enter on the close of the signal bar or on a limit below the market depending on the EntryCoefficient parameter. It also demonstrates how to implement stops and targets.

Triple MA

TripleMA is simple intermediate-term trend following model using three separate moving averages trading crossovers in the direction of the long-term trend.

Usage

The example below shows how to load data, create a new ChannelBreakout strategy and run a portfolio simulation across all the data using the MaxPositionsMoneyManager. See the Balsam.Demo project on GitHub for more in-depth code examples and sample historical futures data.

using Balsam.Examples;
using Balsam.DataServers;
var server = new AsciiBarServer(@"C:\Data");
var data = server.LoadAll();
var strat = new ChannelBreakout();
strat.MoneyManager = new MaxPositionsMoneyManager { MaxPositions = 10};
strat.RunSimulation(data);

About

The Balsam.Backtester is a suite of tools designed for rapid prototyping and testing of systematic trading strategies. It can run simple event studies to quantify market "edges" all the way to full blown multi-currency, multi-timeframe, multi-strategy portfolio simulations. Check out the documentation here.

Balsam Research, LLC

Balsam Research is an independent consulting firm offering custom solutions for systematic investors. We have extensive experience automating investment processes and running real-time systematic investment programs including fully automated futures trading systems. Contact us to learn more.