Hi Dexter -
Thanks for checking out the code. Looks like you interpreted the code
correctly, hope I can do the same for your questions.
1) Currently the answer is yes. This however is not ideal, and is on my list of
(undocumented) TODOs. I was thinking of having something equivalent to SML's
Option. Not sure if something like that exists in Factor currently or not.
2) Would love to. This is also something I considered but do not have (free)
access to less than daily data, at least that I am aware of. If you know of a
data provider from less than daily prices I'd love to hear about it. I tried to
make the individual pieces (data fetching vs signal detection vs backtesting)
separate so that any of the pieces could be swapped out for another
implementation. This of course has never actually been done yet, so may not be
as simple as it sounds. In theory though one could have a different data
fetching mechanism and plug that in to the rest of the app.
3) You do. The reasons for this are 1) I wanted to keep the main layers of the
app separate so they could in theory be swapped out for other implementations,
and 2) so that I could see the signals outside of an actual backtest. For
instance every Sunday I could run my weekly signals to see if I should buy or
sell from my current portfolio. I suppose a higher level word such as
detect-signals-and-backtest could be added.
Hope that answers your questions.
Jon
On Wednesday, November 13, 2013 3:36 PM, Dexter Haslem
<dexter.has...@gmail.com> wrote:
Hi Jon,
This is really great. I have a few questions. I'm still learning
Factor so I may have misunderstood the code, but these are more of
general usage questions:
1) Is any given signal price between high/low of the bar for the
period you select a buy/sell signal?
2) Any thoughts about increasing granularity to below daily bars and
adding additional data providers?
3) You have to do detect-signals before backtest, is that correct? It
seems redundant unless I am misunderstanding something
Thanks,
Dexter
On Thu, Nov 7, 2013 at 11:39 PM, Jon Herron
<jonhdispatch01-fac...@yahoo.com> wrote:
> Hi all -
>
> About a month ago I got some really helpful feedback on the start of my
> backtesting app. Tonight I finally got something that is close enough to
> call version 0.1. So far the app supports downloading historical data,
> detecting signals and simulating buy/sells against a configurable brokerage
> account. At the end of the run a simple report is provided of the account's
> cash, assets, transactions and (really rough estimate of) taxes owed.
>
> There are still lots of things I want to do with the app, but wanted to go
> ahead and share it in the off chance it was of interest to anyone.
>
> https://bitbucket.org/jherron/btp
>
> As always, any feedback/bug reports/contributions are welcome, and thanks
> again for the help.
>
> Jon
>
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