Write tests for results from sample trading strategies

JuliaQuant / TradingLogic.jl

Backtesting and trading with Julia reactive programming.

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Write tests for results from sample trading strategies #5

Open milktrader opened 9 years ago

milktrader commented 9 years ago

List of housekeeping items:

[x] decide on standardized data set to test against
[x] store data in TimeArray
[x] store data in xts
[x] store data in pandas
[x] store those datasets in the test directory and MarketData.jl
[x] write 50/200 strategy results from quantstrat ~~into tests~~
[ ] write 50/200 strategy results from zipline ~~into tests~~
[ ] create tests with @pending evaluation

milktrader commented 9 years ago

https://github.com/JuliaQuant/TradingLogic.jl/issues/4

milktrader commented 9 years ago

The datasets saved for this future comparison are the AAPL, BA and CAT objects found in MarketData. Their xts counterparts are found in MarketData/bin/R/along with a file named R.txt that has instructions to duplicate the process. The pandas counterparts are in MarketData/bin/pandas along with a file named pandas.txt that also has the code snippets needed to duplicate the objects.

multidis commented 9 years ago

Now that the reactive order handling seems to be operational and unit-tested, 2 strategies are ready for backtest verification: golden cross and luxor.

milktrader commented 9 years ago

Looks great, I can get results for quantstrat pretty soon, the zipline will require a little more research, but I don't see it as too much work.

milktrader commented 9 years ago

I'm currently working on this on a branch, but having some trouble getting quantstrat to work.