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

First commit

2015-01-27 18:29:27 +00:00

portfolio_test.py

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

portfolio.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

position_test.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

position.py

Added Python 2.7.x and 3.4.x compatibility to the code. Disabled HTTPS security warning in urllib3 package of 'requests' package.

2015-05-11 17:30:28 +01:00