backtest

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Versions in this module

v0

v0.2.4

Jun 13, 2018

Changes in this version

+ type CommissionHandler interface

+ Calculate func(qty, price float64) (float64, error)

type Exchange

+ Commission CommissionHandler

+ func NewExchange() *Exchange

+ type ExchangeFeeHandler interface

+ Fee func() (float64, error)

+ type FixedCommission struct

+ Commission float64

+ func (c *FixedCommission) Calculate(qty, price float64) (float64, error)

+ type FixedExchangeFee struct

+ ExchangeFee float64

+ func (e *FixedExchangeFee) Fee() (float64, error)

+ type PercentageCommission struct

+ Commission float64

+ func (c *PercentageCommission) Calculate(qty, price float64) (float64, error)

type Portfolio

+ func NewPortfolio() *Portfolio

+ type Position struct

+ func (p *Position) Create(fill FillEvent)

+ func (p *Position) Update(fill FillEvent)

+ func (p *Position) UpdateValue(data DataEventHandler)

+ type TresholdFixedCommission struct

+ Commission float64

+ MinValue float64

+ func (c *TresholdFixedCommission) Calculate(qty, price float64) (float64, error)

+ type ValueCommission struct

+ Commission float64

+ MaxCommission float64

+ MinCommission float64

+ func (c *ValueCommission) Calculate(qty, price float64) (float64, error)

v0.2.3

Oct 11, 2017

Changes in this version

type Resulter

+ MaxDrawdown func() float64

+ MaxDrawdownDuration func() time.Duration

+ MaxDrawdownTime func() time.Time

+ SharpRatio func(float64) float64

+ SortinoRatio func(float64) float64

type Statistic

+ func (s *Statistic) SharpRatio(riskfree float64) float64

+ func (s *Statistic) SortinoRatio(riskfree float64) float64

+ func (s Statistic) MaxDrawdown() float64

+ func (s Statistic) MaxDrawdownDuration() (d time.Duration)

+ func (s Statistic) MaxDrawdownTime() time.Time

v0.2.2

Oct 2, 2017

Changes in this version

type Data

+ func (d *Data) Reset()

type Portfolio

+ func (p *Portfolio) Reset()

+ type Reseter interface

+ Reset func()

+ type Resulter interface

+ TotalEquityReturn func() (float64, error)

type Statistic

+ func (s *Statistic) Reset()

+ func (s Statistic) TotalEquityReturn() (r float64, err error)

+ type StatisticUpdater interface

+ Update func(DataEventHandler, PortfolioHandler)

type Test

+ func (t *Test) Reset()

+ func (t *Test) Stats() StatisticHandler

v0.2.1

Sep 26, 2017

Changes in this version

+ func CalculateSMA(i int, data []DataEventHandler) (sma float64, err error)

type Tick

+ Ask float64

+ Bid float64

v0.2.0

Sep 21, 2017

Changes in this version

+ const DP

+ type Bar struct

+ AdjClose float64

+ Close float64

+ High float64

+ Low float64

+ Open float64

+ Volume int64

+ func (b Bar) IsBar() bool

+ func (b Bar) LatestPrice() float64

+ type BarEvent interface

+ IsBar func() bool

+ type Casher interface

+ Cash func() float64

+ InitialCash func() float64

+ SetCash func(float64)

+ SetInitialCash func(float64)

+ type Data struct

+ func (d *Data) History() []DataEventHandler

+ func (d *Data) Latest(symbol string) DataEventHandler

+ func (d *Data) List(symbol string) []DataEventHandler

+ func (d *Data) Load(s []string) error

+ func (d *Data) Next() (dh DataEventHandler, ok bool)

+ func (d *Data) SetStream(stream []DataEventHandler)

+ func (d *Data) SortStream()

+ func (d *Data) Stream() []DataEventHandler

+ type DataEvent struct

+ Metrics map[string]float64

+ func (d DataEvent) IsDataEvent() bool

+ type DataEventHandler interface

+ IsDataEvent func() bool

+ LatestPrice func() float64

+ type DataHandler interface

+ type DataLoader interface

+ Load func([]string) error

+ type DataStreamer interface

+ History func() []DataEventHandler

+ Latest func(string) DataEventHandler

+ List func(string) []DataEventHandler

+ Next func() (DataEventHandler, bool)

+ Stream func() []DataEventHandler

+ type Directioner interface

+ GetDirection func() string

+ SetDirection func(string)

+ type Event struct

+ Symbol string

+ Timestamp time.Time

+ func (e Event) GetSymbol() string

+ func (e Event) GetTime() time.Time

+ func (e Event) IsEvent() bool

+ type EventHandler interface

+ IsEvent func() bool

+ type EventTracker interface

+ Events func() []EventHandler

+ TrackEvent func(EventHandler)

+ type Exchange struct

+ ExchangeFee float64

+ Symbol string

+ func (e *Exchange) ExecuteOrder(order OrderEvent, data DataHandler) (FillEvent, error)

+ type ExecutionHandler interface

+ ExecuteOrder func(OrderEvent, DataHandler) (FillEvent, error)

+ type Fill struct

+ Commission float64

+ Cost float64

+ Direction string

+ Exchange string

+ ExchangeFee float64

+ Price float64

+ Qty int64

+ func (f *Fill) SetDirection(s string)

+ func (f *Fill) SetQty(i int64)

+ func (f Fill) GetCommission() float64

+ func (f Fill) GetCost() float64

+ func (f Fill) GetDirection() string

+ func (f Fill) GetExchangeFee() float64

+ func (f Fill) GetPrice() float64

+ func (f Fill) GetQty() int64

+ func (f Fill) IsFill() bool

+ func (f Fill) NetValue() float64

+ func (f Fill) Value() float64

+ type FillEvent interface

+ GetCommission func() float64

+ GetCost func() float64

+ GetExchangeFee func() float64

+ GetPrice func() float64

+ IsFill func() bool

+ NetValue func() float64

+ Value func() float64

+ type Investor interface

+ IsInvested func(string) (position, bool)

+ IsLong func(string) (position, bool)

+ IsShort func(string) (position, bool)

+ type OnFiller interface

+ OnFill func(FillEvent, DataHandler) (FillEvent, error)

+ type OnSignaler interface

+ OnSignal func(SignalEvent, DataHandler) (OrderEvent, error)

+ type Order struct

+ Direction string

+ Limit float64

+ OrderType string

+ Qty int64

+ func (o *Order) SetDirection(s string)

+ func (o *Order) SetQty(i int64)

+ func (o Order) GetDirection() string

+ func (o Order) GetQty() int64

+ func (o Order) IsOrder() bool

+ type OrderEvent interface

+ IsOrder func() bool

+ type Portfolio struct

+ func (p *Portfolio) OnFill(fill FillEvent, data DataHandler) (FillEvent, error)

+ func (p *Portfolio) OnSignal(signal SignalEvent, data DataHandler) (OrderEvent, error)

+ func (p *Portfolio) SetCash(cash float64)

+ func (p *Portfolio) SetInitialCash(initial float64)

+ func (p *Portfolio) SetRiskManager(risk RiskHandler)

+ func (p *Portfolio) SetSizeManager(size SizeHandler)

+ func (p *Portfolio) Update(d DataEventHandler)

+ func (p Portfolio) Cash() float64

+ func (p Portfolio) InitialCash() float64

+ func (p Portfolio) IsInvested(symbol string) (pos position, ok bool)

+ func (p Portfolio) IsLong(symbol string) (pos position, ok bool)

+ func (p Portfolio) IsShort(symbol string) (pos position, ok bool)

+ func (p Portfolio) Value() float64

+ type PortfolioHandler interface

+ type Quantifier interface

+ GetQty func() int64

+ SetQty func(int64)

+ type Risk struct

+ func (r *Risk) EvaluateOrder(order OrderEvent, data DataEventHandler, positions map[string]position) (OrderEvent, error)

+ type RiskHandler interface

+ EvaluateOrder func(OrderEvent, DataEventHandler, map[string]position) (OrderEvent, error)

+ type Signal struct

+ Direction string

+ func (s *Signal) SetDirection(st string)

+ func (s Signal) GetDirection() string

+ func (s Signal) IsSignal() bool

+ type SignalEvent interface

+ IsSignal func() bool

+ type Size struct

+ DefaultSize int64

+ DefaultValue float64

+ func (s *Size) SizeOrder(order OrderEvent, data DataEventHandler, pf PortfolioHandler) (OrderEvent, error)

+ type SizeHandler interface

+ SizeOrder func(OrderEvent, DataEventHandler, PortfolioHandler) (OrderEvent, error)

+ type Statistic struct

+ func (s *Statistic) TrackEvent(e EventHandler)

+ func (s *Statistic) TrackTransaction(f FillEvent)

+ func (s *Statistic) Update(d DataEventHandler, p PortfolioHandler)

+ func (s Statistic) Events() []EventHandler

+ func (s Statistic) PrintResult()

+ func (s Statistic) Transactions() []FillEvent

+ type StatisticHandler interface

+ Update func(DataEventHandler, PortfolioHandler)

+ type StatisticPrinter interface

+ PrintResult func()

+ type StrategyHandler interface

+ CalculateSignal func(DataEventHandler, DataHandler, PortfolioHandler) (SignalEvent, error)

+ type Symboler interface

+ GetSymbol func() string

+ type Test struct

+ func New() *Test

+ func (t *Test) Run() error

+ func (t *Test) SetData(data DataHandler)

+ func (t *Test) SetExchange(exchange ExecutionHandler)

+ func (t *Test) SetPortfolio(portfolio PortfolioHandler)

+ func (t *Test) SetStatistic(statistic StatisticHandler)

+ func (t *Test) SetStrategy(strategy StrategyHandler)

+ func (t *Test) SetSymbols(symbols []string)

+ type Tick struct

+ AskPrice float64

+ BidPrice float64

+ func (t Tick) IsTick() bool

+ func (t Tick) LatestPrice() float64

+ type TickEvent interface

+ IsTick func() bool

+ type Timer interface

+ GetTime func() time.Time

+ type TransactionTracker interface

+ TrackTransaction func(FillEvent)

+ Transactions func() []FillEvent

+ type Updater interface

+ Update func(DataEventHandler)

+ type Valuer interface

+ Value func() float64

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