Crypto/stock backtester 
See my other projects: turpin.dev.
Disclaimer
Don't invest what you can't afford to lose. Illustrations are for illustrative purposes only. History is not an indicator of future performance. That said...
Overview
Historic price data are fetched daily via the Marketstack and CryptoCompare APIs, and converted to CSV format using Python; each currency pair is then analysed in C++. Finally, the table below is generated using the trade summary.
Profiling
The C++ code is profiled using gprof and visualised with gprof2dot and graphviz.
Built with ♥ on Thu May 16 14:31:15 UTC 2024 by a Ubuntu 24.04 LTS.
Backtests
- 446 currency pairs (from Marketstack, Coinbase, Kraken, Binance)
- 3% take profit
- 6% stop loss
- 68 candles window size
- 0.5 minimum ATR (normalised)
- 4.3 minimum entry price
-0.32% average profit over 84 trades.
| Time | Token | Open | Close | Hours | Profit |
|---|---|---|---|---|---|
| 2024-05-13 22:00:00 | Kraken-GMX-EUR | 26.20 | 27.34 | 39 | 4.4% |
| 2024-05-13 12:00:00 | Kraken-LPT-GBP | 13.50 | 14.12 | 5 | 4.6% |
| 2024-05-08 16:00:00 | Coinbase-BCH-GBP | 366.34 | 340.45 | 48 | -7.1% |
| 2024-05-08 16:00:00 | Kraken-BCH-EUR | 425.99 | 395.50 | 48 | -7.2% |
| 2024-04-30 00:00:00 | Kraken-EUL-EUR | 5.47 | 5.64 | 1 | 3.1% |
| 2024-04-29 22:00:00 | Coinbase-ENS-EUR | 15.03 | 14.00 | 12 | -6.8% |
| 2024-04-29 19:00:00 | Binance-ICP-EUR | 12.48 | 11.72 | 17 | -6.1% |
| 2024-04-29 19:00:00 | Coinbase-ICP-EUR | 12.48 | 11.73 | 17 | -6.0% |
| 2024-04-29 12:00:00 | Kraken-MLN-EUR | 20.35 | 18.98 | 24 | -6.8% |
| 2024-04-24 14:00:00 | Kraken-NEAR-EUR | 6.43 | 6.69 | 3 | 4.0% |
| 2024-04-24 14:00:00 | Binance-NEAR-EUR | 6.44 | 6.69 | 3 | 3.9% |
| 2024-04-24 08:00:00 | Kraken-LPT-EUR | 14.34 | 13.45 | 8 | -6.2% |
| 2024-04-24 02:00:00 | Kraken-AKT-EUR | 5.11 | 4.78 | 4 | -6.5% |
| 2024-04-23 20:00:00 | Binance-AVAX-EUR | 36.01 | 33.66 | 30 | -6.5% |
| 2024-04-23 20:00:00 | Kraken-AVAX-EUR | 35.96 | 33.78 | 30 | -6.1% |
| 2024-04-23 20:00:00 | Coinbase-AVAX-EUR | 35.98 | 33.61 | 30 | -6.6% |
| 2024-04-23 16:00:00 | Kraken-RNDR-EUR | 8.57 | 8.06 | 28 | -6.0% |
| 2024-04-16 13:00:00 | Kraken-AXS-EUR | 6.50 | 6.71 | 66 | 3.2% |
| 2024-04-16 13:00:00 | Coinbase-DOT-EUR | 6.17 | 6.38 | 56 | 3.3% |
| 2024-04-16 13:00:00 | Coinbase-ETC-GBP | 20.73 | 21.37 | 16 | 3.1% |
| 2024-04-16 13:00:00 | Kraken-KP3R-EUR | 74.13 | 75.40 | 67 | 1.7% |
| 2024-04-16 13:00:00 | Coinbase-AXS-EUR | 6.47 | 6.69 | 58 | 3.3% |
| 2024-04-16 13:00:00 | Kraken-LTC-GBP | 62.81 | 64.72 | 34 | 3.0% |
| 2024-04-10 11:00:00 | Kraken-XMR-EUR | 123.20 | 114.31 | 56 | -7.2% |
| 2024-04-09 01:00:00 | Kraken-MLN-EUR | 23.48 | 24.57 | 16 | 4.6% |
| 2024-04-02 02:00:00 | Coinbase-ICP-GBP | 14.18 | 14.66 | 28 | 3.4% |
| 2024-04-02 02:00:00 | Binance-BCH-EUR | 586.80 | 549.20 | 38 | -6.4% |
| 2024-04-02 02:00:00 | Kraken-BCH-EUR | 585.44 | 548.66 | 38 | -6.3% |
| 2024-04-02 02:00:00 | Coinbase-BCH-EUR | 586.65 | 548.92 | 38 | -6.4% |
| 2024-04-02 02:00:00 | Coinbase-MASK-EUR | 5.18 | 5.36 | 5 | 3.5% |
| 2024-04-02 02:00:00 | Coinbase-AAVE-EUR | 116.80 | 109.13 | 6 | -6.6% |
| 2024-04-02 02:00:00 | Coinbase-FIL-GBP | 7.25 | 6.78 | 22 | -6.5% |
| 2024-04-01 14:00:00 | Kraken-BADGER-EUR | 6.26 | 5.85 | 35 | -6.6% |
| 2024-04-01 14:00:00 | Coinbase-ICP-GBP | 14.35 | 13.37 | 19 | -6.8% |
| 2024-04-01 14:00:00 | Binance-ICP-EUR | 16.78 | 15.77 | 15 | -6.0% |
| 2024-03-31 07:00:00 | Kraken-FIL-EUR | 8.90 | 9.31 | 17 | 4.5% |
| 2024-03-30 14:00:00 | Kraken-MASK-EUR | 5.21 | 5.41 | 42 | 3.7% |
| 2024-03-30 06:00:00 | Kraken-KP3R-EUR | 89.90 | 96.27 | 15 | 7.1% |
| 2024-03-29 18:00:00 | Coinbase-SOL-GBP | 147.33 | 152.23 | 5 | 3.3% |
| 2024-03-29 16:00:00 | Kraken-SOL-GBP | 146.98 | 152.30 | 7 | 3.6% |
| 2024-03-29 04:00:00 | Kraken-LTC-GBP | 74.28 | 76.96 | 5 | 3.6% |
| 2024-03-28 09:00:00 | Kraken-MLN-EUR | 25.51 | 23.87 | 23 | -6.4% |
| 2024-03-27 19:00:00 | Kraken-KP3R-EUR | 89.37 | 92.20 | 28 | 3.2% |
| 2024-03-26 08:00:00 | Kraken-XRT-EUR | 6.39 | 5.90 | 28 | -7.6% |
| 2024-03-23 21:00:00 | Kraken-MLN-EUR | 25.71 | 23.89 | 14 | -7.1% |
| 2024-03-22 22:00:00 | Coinbase-AAVE-EUR | 107.30 | 110.73 | 3 | 3.2% |
| 2024-03-22 22:00:00 | Kraken-LTC-GBP | 65.49 | 68.18 | 12 | 4.1% |
| 2024-03-22 22:00:00 | Coinbase-AAVE-GBP | 92.20 | 96.14 | 4 | 4.3% |
| 2024-03-22 22:00:00 | Coinbase-LTC-EUR | 76.28 | 79.53 | 12 | 4.3% |
| 2024-03-22 22:00:00 | Kraken-AAVE-GBP | 92.21 | 96.35 | 4 | 4.5% |
| 2024-03-22 22:00:00 | Kraken-ATOM-GBP | 8.91 | 9.20 | 17 | 3.4% |
| 2024-03-22 10:00:00 | Coinbase-SOL-GBP | 139.66 | 145.31 | 60 | 4.0% |
| 2024-03-18 23:00:00 | Binance-ICP-EUR | 11.35 | 10.58 | 6 | -6.8% |
| 2024-03-17 16:00:00 | Kraken-FORTH-EUR | 4.88 | 5.06 | 2 | 3.6% |
| 2024-03-17 15:00:00 | Coinbase-AVAX-EUR | 50.51 | 52.23 | 4 | 3.4% |
| 2024-03-17 07:00:00 | Coinbase-RNDR-EUR | 9.72 | 10.21 | 2 | 5.0% |
| 2024-03-17 07:00:00 | Kraken-APT-EUR | 12.47 | 13.31 | 1 | 6.8% |
| 2024-03-17 07:00:00 | Binance-APT-EUR | 12.54 | 13.34 | 1 | 6.4% |
| 2024-03-15 17:00:00 | Binance-LINK-EUR | 17.77 | 16.66 | 30 | -6.2% |
| 2024-03-15 17:00:00 | Kraken-DOT-EUR | 9.48 | 9.91 | 2 | 4.5% |
| 2024-03-15 17:00:00 | Kraken-MKR-EUR | 2520.07 | 2599.13 | 7 | 3.1% |
| 2024-03-15 03:00:00 | Binance-AVAX-EUR | 48.91 | 45.88 | 6 | -6.2% |
| 2024-03-15 03:00:00 | Binance-EGLD-EUR | 64.27 | 60.29 | 35 | -6.2% |
| 2024-03-15 03:00:00 | Kraken-AVAX-EUR | 48.91 | 45.83 | 6 | -6.3% |
| 2024-03-15 03:00:00 | Coinbase-AVAX-EUR | 48.93 | 45.89 | 6 | -6.2% |
| 2024-03-15 03:00:00 | Kraken-EGLD-EUR | 63.74 | 65.71 | 4 | 3.1% |
| 2024-03-14 13:00:00 | Kraken-UNI-EUR | 12.86 | 12.07 | 14 | -6.1% |
| 2024-03-14 13:00:00 | Coinbase-UNI-EUR | 12.87 | 12.06 | 14 | -6.3% |
| 2024-03-12 17:00:00 | Kraken-QTUM-EUR | 4.64 | 4.83 | 2 | 3.9% |
| 2024-03-10 22:00:00 | Binance-EGLD-EUR | 60.68 | 62.77 | 12 | 3.4% |
| 2024-03-10 22:00:00 | Kraken-MOVR-EUR | 20.93 | 21.57 | 16 | 3.0% |
| 2024-03-05 02:00:00 | Kraken-KSM-EUR | 48.51 | 50.28 | 6 | 3.6% |
| 2024-03-05 02:00:00 | Kraken-KP3R-EUR | 80.87 | 84.37 | 12 | 4.3% |
| 2024-03-04 12:00:00 | Kraken-MASK-EUR | 4.45 | 4.13 | 31 | -7.2% |
| 2024-03-04 07:00:00 | Kraken-BADGER-EUR | 5.25 | 5.49 | 6 | 4.5% |
| 2024-03-03 16:00:00 | Kraken-FARM-EUR | 45.96 | 47.64 | 45 | 3.7% |
| 2024-03-01 07:00:00 | Coinbase-ICP-EUR | 11.74 | 12.28 | 19 | 4.6% |
| 2024-03-01 07:00:00 | Kraken-KSM-EUR | 45.87 | 47.46 | 18 | 3.5% |
| 2024-02-29 04:00:00 | Binance-LINK-EUR | 17.94 | 18.62 | 5 | 3.8% |
| 2024-02-28 00:00:00 | Coinbase-RNDR-EUR | 6.62 | 6.86 | 5 | 3.7% |
| 2024-02-27 09:00:00 | Kraken-NMR-EUR | 29.35 | 30.39 | 30 | 3.5% |
| 2024-02-26 21:00:00 | Kraken-FIL-GBP | 6.37 | 5.97 | 23 | -6.3% |
| 2024-02-26 19:00:00 | Kraken-FIL-EUR | 7.32 | 7.58 | 10 | 3.5% |
| 2024-02-26 19:00:00 | Coinbase-FIL-EUR | 7.31 | 7.59 | 10 | 3.8% |
Benchmarks
---------------------------------------------------------------- Benchmark Time CPU Iterations ---------------------------------------------------------------- BM_is_entry 56951 ns 56950 ns 11837 BM_is_entry2 42195 ns 42195 ns 16309 BM_to_exit 221 ns 221 ns 3131546 BM_to_exit2 243 ns 243 ns 2878420 BM_to_vwap 7542 ns 7542 ns 93014 BM_to_vwap2 7529 ns 7529 ns 93072 BM_is_recent_dip2 807 ns 807 ns 872761 BM_to_atr 63855 ns 63854 ns 11140 BM_to_atr2 2483 ns 2483 ns 275704 BM_to_atr3 2501 ns 2501 ns 284156 BM_to_average_func 0.343 ns 0.343 ns 1000000000 BM_to_average_func2 0.343 ns 0.343 ns 1000000000 BM_to_average_volume 61338 ns 61335 ns 11660 BM_to_average_volume2 1917 ns 1917 ns 363539 BM_to_size 0.646 ns 0.646 ns 1000000000 BM_to_first 0.333 ns 0.333 ns 1000000000 BM_to_last 0.657 ns 0.657 ns 1000000000 BM_to_sum 0.638 ns 0.638 ns 1000000000 BM_to_sum2 0.362 ns 0.362 ns 1000000000 BM_to_spot 0.335 ns 0.335 ns 1000000000 BM_identity 176 ns 176 ns 3985149 BM_identity2 174 ns 174 ns 3947668 BM_to_profit 0.349 ns 0.349 ns 1000000000 BM_to_time 0.654 ns 0.654 ns 1000000000 BM_to_open 0.345 ns 0.345 ns 1000000000 BM_to_high 0.344 ns 0.344 ns 1000000000 BM_to_low 0.352 ns 0.352 ns 1000000000 BM_to_close 0.353 ns 0.353 ns 1000000000 BM_to_volume 0.647 ns 0.647 ns 1000000000