Low-latency Backtesting Engine

An event-driven backtesting engine written from scratch in modern C++, compiled to WebAssembly so it runs entirely in the browser. Write a strategy, plug in a cost model, run it on your own OHLCV data, and get a full institutional metrics suite plus an equity curve. No server, no dependencies.

Live demo: https://noorxsingh.github.io/backtesting-engine/

What it does

• Two strategies out of the box: SMA crossover and mean reversion.
• Pluggable cost models: a flat transaction cost, and a participation-based volume-slippage model (impact = steepness × shares / bar volume) that correctly vanishes for small orders and punishes large ones.
• Full metrics suite: total return, CAGR, max drawdown, Sharpe, Sortino, Calmar, win rate, profit factor, trade count, and final equity.
• Realistic execution: signals are computed on the closed bar and filled at the next open, so there is no lookahead bias.
• Runs in the browser: the C++ engine is compiled to WebAssembly with Emscripten and bundled into a single HTML file. Upload any Date,Open,High,Low,Close,Volume CSV.

Design

The core idea is that the interfaces are the product. The engine never knows which strategy or cost model it is running.

• Strategy is an abstract base with warmup() and onBar(history). Add a strategy by subclassing it; the engine is untouched.
• CostModel is an abstract base with fillPrice(price, side, shares, volume). Add a fill model the same way.

The BacktestingEngine holds a Strategy* and the Portfolio holds a CostModel*, so both are swapped by a single line at the call site.

Build and run natively

clang++ -std=c++17 main.cpp backtester.cpp -o bt && ./bt

main.cpp runs a walk-forward analysis over data.csv. You must compile both .cpp files together.

Build the web UI

The browser build needs Emscripten.

em++ -std=c++17 -O2 wasm_wrapper.cpp backtester.cpp -o engine.js \
  -s MODULARIZE=1 -s EXPORT_NAME=createBacktester \
  -s "EXPORTED_RUNTIME_METHODS=['cwrap','ccall','UTF8ToString']" \
  -s "EXPORTED_FUNCTIONS=['_runBacktest','_free_result','_malloc','_free']" \
  -s ALLOW_MEMORY_GROWTH=1 -s SINGLE_FILE=1

Then inline engine.js and Chart.js into the page template to produce the single self-contained index.html.

License

MIT. See LICENSE.