Now that we have an idea of designing a video game for creating a backtesting trading system, we can begin our object-oriented approach by first defining the required classes for the various components in our trading system.
We are interested in implementing a simple backtesting system to test a mean-reverting strategy. Using the daily historical prices from a data-source provider, we will take the closing price of each day to compute the volatility of price returns for a particular instrument, using the AAPL stock price as an example. We would like to test a theory that if the standard deviation of returns for an elapsed number of days is far from the mean of zero by a particular threshold, a buy or sell signal is generated. When such a signal is indeed generated, a market order is sent to the exchange to be executed at the opening...
