Dashboards

[AOS55]

Adding Dashboards to monitor trading and backtest.

To help users monitor the performance of their trading system online and test their backtest it would be useful to have some dashboards that work through the run. Fundamentally the backtest and online dashboards need different information. Backtests need to compare historical system performance and validation of the results from a backtest. Online dashboards should provide information about how the system is trading and what is live.

Technology

I have put together a basic example of the backtest in dash, I like the customization options of dash it is a little slow for large datasets and found plotly-resampler to be quite helpful. This example uses to manage the yaml and logs but should be dropped in favour of already existing pyyaml system.

For the online one there might be some better options if custom graphs and streaming is more important something like grafana might be a better option.

Features:

I have divided up the sections of each into what I thought was a logical workflow. I am unsure about online though so some requirements from users already needing to monitor would be useful.

Backtest

The backtest needs to show system performance along with validity to ensure we don't overfit.

• Overview statistics of overall performance and general makeup to show what parameters were set for this specific run and configuration.
• Instruments data used for each financial instruments, could be helpful to add some summary statistics when viewing each instrument here too. We don't need to replicate too much though as InteractiveBrokes, Bloomberg, etc already exists.
• Rules summary of each rule its contribution to the system and diversification.
• Position Sizing how the system places trades as part of the portfolio in a backtest
• Risk overlay of risk and volatility of the portfolio
• Summary headline graphs, drawdown, returns, annualized rolling SD

Online

The online monitor should offer a way to monitor the system as a whole and track key indicators. Suggestions of what to monitor here would be helpful.