Strategy Writing On Disk

Every strategy, his folder.

One folder, one strategy

A strategy is not a row in a table: it is a folder on disk that carries everything needed to read it, run it and audit it. Nothing about it lives somewhere else, so a strategy can be moved, copied or promoted without hunting for its pieces.

How a strategy is written on disk

When a combination clears the benchmark it is written as one self contained folder, named after the strategy. What you see is the real content of a strategy, its four folders, down to the leaf files.

_0001_NAS100_01_M1_MovingAverageCrossLinearWeighted-8-34_sl20_tp3.0_0000-2400
_00_NAS100_01_M1Connector.py
_01_StrategyConfigurationAndReports_NOBUSINESSLOGICHERE
_01_ReportsOfTheCreationOfTheStrategyBacktest
01_alpari · 02_acg
report.html · trades.csv
_02_StrategyConfigurationDeclaration
00_StrategyConfig.md
01_DemoRiskConfiguration.md
02_PropFirmRiskConfiguration.md
_02_MT5Execution
_01_ConnectionToMT5
_02_SharedEngineDataReader
_03_LivePriceMonitor
_04_EngineThatGenerateTheTradesSignal
_05_TradeExecution
_06_TradeManagementAfterIsOpen
_03_PairingSupervisor_SignalGeneratedvsExecuted
_01_PairingSupervisorLog
_09_PairingResult
_04_TradeJournal
_00_TradeJournalEngine
_01_TheoricalSignalGeneratedJournal
_02_MT5ExecutedJournal

What goes inside

_01_StrategyConfigurationAndReports: the strategy config, the demo and propfirm risk configurations, and the backtest reports per broker, alpari and acg.

_02_MT5Execution: the live engine, from connection to MT5 through live price monitor, signal engine, trade execution and trade management.

_03_PairingSupervisor_SignalGeneratedvsExecuted: pairs each generated signal with what the terminal actually executed.

_04_TradeJournal: writes every generated signal and every closed trade into the journals.

The name is the identity

_0001_NAS100_01_M1_MovingAverageCrossLinearWeighted-8-34_sl20_tp3.0_0000-2400
_0001
progressive id
NAS100
asset
01
strategy number
M1
execution timeframe
MovingAverageCrossLinearWeighted-8-34
trigger and its parameters
sl20
stop loss, pips
tp3.0
take profit, RR
0000-2400
time window, Rome