Working Backtest Framework

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#6 1 comment 0 reactions 1 assignee View on GitHub

@luke-truitt is already working on this.

Since Feb 18, 2020.

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Description

Function that can go back through time and, given criteria:

  1. Generate a limit order to ENTER a position overnight
  2. Generate the limit order to CLOSE the position
  3. Generate the market order to CLOSE the position if not closed after x days
  4. Assume allocation amounts (maybe keep a constant for now, informed by Phoebe)
  5. Tracks all this (cash out, cash in, etc)
  6. Basic plotting (e.g., cash over time)
Dominant language
Java
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2
Forks
2
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