PalValidator Project Overview

The PalValidator project is a comprehensive C++ framework designed for the backtesting, statistical validation, and code generation of trading strategies, particularly those defined using the Price Action Lab (PAL) pattern language. It provides robust tools for simulating strategy performance on historical market data, performing rigorous statistical analysis, and translating validated patterns into executable code for various trading platforms.

The project is modularized into several core libraries and source directories, each with distinct responsibilities:

This library forms the foundation of the simulation engine. It is responsible for:

• Driving the backtesting loop over historical market data.

• Managing financial portfolios and individual instrument positions.

• Processing and executing various types of trading orders (market, limit, stop).

• Logging detailed trade history and calculating performance metrics.

This library provides utilities for parallel task execution, optimizing the performance of computationally intensive operations within the framework, such as Monte Carlo simulations.

This component implements algorithms for discovering and evaluating Price Action Lab patterns. Its functionalities include:

• Processing and generating comparisons between patterns.

• Matching patterns against historical data.

• Managing the parameters and execution of pattern search runs.

This crucial library handles the core logic for working with PAL patterns:

• Parsing: Reads and interprets PAL pattern definition files.

• Abstract Syntax Tree (AST) Generation: Constructs an in-memory AST representation of the parsed patterns.

• Code Generation: Translates the AST into executable trading strategy code for multiple platforms, including EasyLanguage, QuantConnect, TradingBlox, and WealthLab.

Dedicated to the statistical validation and robustness testing of trading strategies, this library offers:

• Implementations of various multiple testing correction procedures (e.g., Masters' methods, Romano-Wolf, Benjamini-Hochberg).

• Tools for Monte Carlo simulations to assess statistical significance.

• Utilities for calculating key statistical measures (e.g., Profit Factor, Profitability).

This foundational library provides robust mechanisms for handling time series data, especially OHLC (Open-High-Low-Close) financial data. It includes:

• Efficient readers and writers for various CSV data formats.

• Utilities for discovering and managing different time frames.

• Functions for calculating common technical indicators.

• src/palcodegen: Contains the main application for generating trading strategy code from PAL pattern definitions.

• src/palsetup: Provides utilities for setting up the project, potentially including data preparation or configuration file generation.

• src/palvalidator: Houses the primary application logic for validating strategies, managing policy configurations, and dynamically selecting validation methods based on user input or predefined settings.

• data/ and dataset/: These directories contain various sample financial data files (e.g., daily and hourly data for different symbols like QQQ, SSO, MSFT, AMZN, GILD) used for testing, development, and demonstrating the framework's capabilities.

• example/: Contains example configuration files and invocation scripts that illustrate how to use different components and set up specific backtesting or validation scenarios.

PalValidator requires the following dependencies to be installed on your system:

• C++17 compatible compiler (GCC 7+ or Clang 5+)
• CMake 3.1+
• Boost Libraries (filesystem, date_time, chrono, system, program_options, regex, thread, container)
• RapidJSON - High-performance JSON parsing library
• libcurl - HTTP client library for network operations
• Doxygen - For generating documentation
• Bison - Parser generator (for PAL pattern parsing)
• Flex - Lexical analyzer generator

sudo apt-get update
sudo apt-get install build-essential cmake libboost-all-dev rapidjson-dev libcurl4-openssl-dev doxygen bison flex pkg-config catch2 graphviz

brew install cmake boost rapidjson curl doxygen bison flex

If dependencies are installed in non-standard locations, set these environment variables:

export RAPIDJSON_DIR=/path/to/rapidjson/include
export CURL_DIR=/path/to/curl/include

For production, use:

mkdir build
cd build
cmake -DCMAKE_BUILD_TYPE=RelWithDebInfo ..
make

For debug & profiling puposes, use the following instead:

mkdir build-debug
cd build-debug
cmake -DCMAKE_BUILD_TYPE=Debug ..
make

cd build
make doc
open ./html/index.html

open will use your default web browser.

cd build
make tests

To run a specific test, first check the test name:

./libs/{LIB}/{LIB}_unit_tests --list-tests

Then simply run

./libs/{LIB}/{LIB}_unit_tests {TEST_NAME}

cd build
./PalValidator config.cfg