Added the ability for the backtester to use unrealised PnL from the Position objects to calculate a tick-by-tick equity curve. Added a performance directory that calculates drawdown statistics. Modified the output.py script to use Seaborn and output the equity curve, returns and drawdown curve.

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Michael Halls-Moore

2015-05-15 13:50:34 +01:00

parent a03bc7a1fb

commit 4380200de7

8 changed files with 137 additions and 28 deletions

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performance/__init__.py