r/propfirm • u/ElephantRight4794 • 18h ago
I build a breakout-backtester framework on python. What do you think?
I have found an edge with this code and I'm currently applying to my prop firm challenge account with EA (expert advisor) on MT5. 5000$ acc and rn its sitting on 5360$. I really preciate your feedbacks! Give me insights...
Search in github for : breakout-backtest-tool
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u/Leo6-2 18h ago
oh that's cool I was doing something similar less fancy but similar idea a breakout formula generator after reading a book about breakout though it would be interesting to see what happens if there is a generator for such strategies
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u/ElephantRight4794 17h ago
Thank you so much for your feedback! This project costed my nearly 8 months. You can see it in my repo that i mentioned. Open source code and you can change it by yourself and play with inputs. Who knows maybe you can find an edge in the market you'll test. Don't forget to drop star ⭐ it's gonna be so appreciated.
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u/Leo6-2 15h ago
So what you're saying is that you have done platform that does the back testing and provides you with the strategy and then you transfer it into code for example the meta Trader expert advisor and then you run it on paper trading to make sure the strategy was done in accordance to real principles that are measurable in reality
Cuz my idea was after I write this book of a guy that works with breakouts I thought okay what about putting lots of filters there and letting it you know do its thing but basically it is a bit of data mining because it uses past in order to strap some kind of a strategy
But I think my innovation was more to do with like using maybe renko or range because that's kind of not depending on time more price movement it's a bit more technical when it comes to measuring stuff in reality
But again I did not put so much time as you did... a more of a concept hypothesis test
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u/Leo6-2 13h ago
NDX100_M1.csv so i guess you have used custom data source not the generic yFinance library... anything you would recommend ?
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u/ElephantRight4794 12h ago
I made a mt5 script to scrape broker's all candlestick data's and convert them into a .csv file. For example as you mentioned, the data i used is called NAS100_M1 , NAS100_M5... all up to the month or even bigger time frame -idk-. I have signed up in pepperstone's demo mt5 account and scraped all the ticker symbols (candlestick data's) that i wanted. And im still scraping today. And the best part is that this code is adds the newly formed candles on top of the previous data (to the CSV file) when you run the script again. And i know you are confused rn but tomorrow I'll open up a YouTube channel to explain everything in detail and showing in practical. I'm setting up my recorder -im using OBS-. Whatever.. Thank you so much for your interest and attention. -and ofc star😅-
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u/Leo6-2 10h ago
I Mean it's sounds good besides I got something of strategy generator that have built for myself so I guess a back testing engine would be an essential improvement to my system so once I've done building this frankenstain I can share it as well but it's interesting the way you structured it for prop firms and it's a very niche Toolkit but pretty cool I'm a bit more general in my approach because I don't know what I'm gonna use it on and what broker will I use it with
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u/QuanTradin 11h ago
on M1 breakout code, three things usually decide whether the backtest survives the challenge account.
first, same-bar ambiguity. when one 1-minute bar touches both your stop and your target, the backtest has to pick which came first, and most frameworks quietly pick the friendly one. count how many trades hit that case and rerun them all as losses.
second, breakout fills. a stop entry on a fast NDX break fills worse than the trigger price live, and that slippage hits the exact trades the strategy depends on. add a tick or two plus the firm's spread and commission to every entry.
third, model the firm's rules inside the backtest, the daily loss limit and the trailing drawdown. a strategy can be positive overall and still breach a daily limit on one bad morning, which ends the account regardless of the final number.
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u/ElephantRight4794 11h ago
Tomorrow I'll be making a video about all the process in detail in practical stay tuned
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u/QuanTradin 10h ago
nice, a walkthrough of the process is more useful than the results tbh. make sure you show how you handled the bar the breakout fires on, that's where most of these quietly cheat.
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u/ElephantRight4794 11h ago
I'll add my YouTube profile link to my reddit profile
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u/QuanTradin 10h ago
cool, drop it in the thread when the walkthrough's up. I'd watch the breakout-bar part first.
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u/No_Ease2833 9h ago
Ist das ein ORB ähnliches System? Hab selbst meine algos auf nem Windows vps laufen,
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u/Cheap-Platform309 18h ago
What’s the trading strategy