Michael Halls-Moore 4380200de7 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.

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

..

__init__.py

Modified the Position handling to use long/short instead of buy/sell for side/position_type. Also modified the unit tests for both Portfolio and Position to reflect these changes. Added a basic historical backtesting capability via backtest.py and using CSV tick data for currency pairs.

2015-04-17 12:34:31 +01:00

backtest.py

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.

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

output.py

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.

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