Lots of changes. Modified the Position object to handle more of the actual position calculations instead of the Portfolio. Added more unit tests for both Position and Portfolio. Allowed Positions to trade in currencies other than GBPUSD and in base/quotes which aren't the home currency. Modified the backtester to be single-threaded and added a basic Moving Average Crossover strategy. Also added a basic equity curve output script.

2015-04-21 13:01:20 +01:00
parent e74777802b
commit e84512e1e7
11 changed files with 700 additions and 376 deletions
@@ -16,6 +16,7 @@ ENVIRONMENTS = {
 }

 CSV_DATA_DIR = os.environ.get('QSFOREX_CSV_DATA_DIR', None)
+OUTPUT_RESULTS_DIR = os.environ.get('QSFOREX_OUTPUT_RESULTS_DIR', None)

 DOMAIN = "practice"
 STREAM_DOMAIN = ENVIRONMENTS["streaming"][DOMAIN]