 Michael Halls-Moore
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4380200de7
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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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2015-05-15 13:50:34 +01:00 |
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Michael Halls-Moore
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e84512e1e7
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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.
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2015-04-21 13:01:20 +01:00 |
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Michael Halls-Moore
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d9a7444fc2
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Added some more unit tests for Portfolio and Position. Added a README and a requirements file now that qsforex is open-source under an MIT license.
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2015-03-17 07:48:37 +00:00 |
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