Backtesting

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Backtesting with NautilusTrader is a methodical simulation process that replicates trading activities using a specific system implementation. This system is composed of various components including Actors, Strategies, Execution Algorithms, and other user-defined modules. The entire trading simulation is predicated on a stream of historical data processed by a BacktestEngine. Once this data stream is exhausted, the engine concludes its operation, producing detailed results and performance metrics for in-depth analysis.

It's paramount to recognize that NautilusTrader offers two distinct API levels for setting up and conducting backtests: high-level and low-level.

Choosing an API level

Consider the low-level API when:

• The entirety of your data stream can be comfortably accommodated within available memory
• You choose to avoid storing data in the Nautilus-specific Parquet format
• Or, you have a specific need/preference for retaining raw data in its innate format, such as CSV, Binary, etc
• You seek granular control over the BacktestEngine, enabling functionalities such as re-running backtests on identical data while interchanging components (like actors or strategies) or tweaking parameter settings

Consider the high-level API when:

• Your data stream's size exceeds available memory, necessitating streaming data in batches
• You want to harness the performance capabilities and convenience of the ParquetDataCatalog and persist your data in the Nautilus-specific Parquet format
• You value the flexibility and advanced functionalities offered by passing configuration objects, which can define diverse backtest runs across many engines at once

Low-level API

The low-level API revolves around a single BacktestEngine, with inputs initialized and added 'manually' via a Python script. An instantiated BacktestEngine can accept:

• Lists of Data objects which will be automatically sorted into monotonic order by ts_init
• Multiple venues (manually initialized and added)
• Multiple actors (manually initialized and added)
• Multiple execution algorithms (manually initialized and added)

High-level API

The high-level API revolves around a single BacktestNode, which will orchestrate the management of individual BacktestEngines, each defined by a BacktestRunConfig. Multiple configurations can be bundled into a list and fed to the node to be run.

Each of these BacktestRunConfig objects in turn is made up of:

• A list of BacktestDataConfig objects
• A list of BacktestVenueConfig objects
• A list of ImportableActorConfig objects
• A list of ImportableStrategyConfig objects
• A list of ImportableExecAlgorithmConfig objects
• An optional ImportableControllerConfig object
• An optional BacktestEngineConfig object (otherwise will be the default)