Hi Vyom,

I’d want to show brief you on Streak.zerodha.com platform; I use this to backtest my strategies.

What I’m wanting to build is with all functionalities with streak and having options to enhance back
testing using machine learning techniques.

General flow diagram for Backtesting is:

SCRIPTS FOR SELECTED TIME SCALE >>

SELECT POSITION, EITHERBUY OR SHOT SELL >>
CONDITIONS FOR ENTERING THE POSITION >>
AND FINALLY SQUARING OFF (I.E. SELL OR BUY) THE POSITION BASED ON CONDITION OR
TARGET PROFIT/ STOP LOSS

Typically at the front end of streak, we have to give several inputs,

1. SCRIPT(S) AND TIMESCALE >>

The first section is where we enter the Scripts and the time scale or the candlestick to which the
strategy is to be back tests.

Here at streak, if you enter the NSE codes, the corresponding script can be selected. Further
more, you can club several scripts to form a basket say we form a basket named IT stocks which
has all the major IT companies. So here instead of keying each of the IT company that we are
interested in we just key in ITstocks and several companies of our interest are selected.

The candlestick timeframe here is from 5 minute to 1 day. I’d want to have in our application to
have 5 mins/ 10 mins/ 15 mins/ 1 hr/ 1 day and 1 week.
Like I said earlier, at the initial database that we have developed by downloading could have
historical prices for dayscale for 20-30 years, 5 minute scale would be available maybe only for
past couple of months, hourly scale for may be few years. But the real time data if we’re good
we’ll have this only 5 minutes scale and convert it to other scales as required for backtesting.

2. POSITION (LONG OR SHORT) >>

The next section Position buy or sell and the quantity to be purchased – nothing much to
describe here. We’ll have this past just as what it is here.

3. CONDITIONS >>
Third Section is the Entry Section is where create our strategy. Strategy are based on
- Indicators (function of price change, volume, time)
There’re a 100s of indicators; we’ll jot down the list of indicators that are to be included
- Based on Statistics/ Trends/ Momentum; I’ll detail on this part separately

Schlumberger-Private
Be the strategy being made on indicators or other screening methodology; they all have
variables which are function stock price and time. For defining the condition of strategy, this
section will have sort of a calculator facilitating equations of the form
If indicator variable X [ > or < ] variable Y AND
Variable X > 40 AND
Variable X – Variable Y

Schlumberger-Private