Backtest++

src/ATrade/Driver/Backtest.hs

@@ -1,6 +1,8 @@
 {-# LANGUAGE FlexibleContexts           #-}
+{-# LANGUAGE FlexibleInstances          #-}
 {-# LANGUAGE GeneralizedNewtypeDeriving #-}
 {-# LANGUAGE LambdaCase                 #-}
+{-# LANGUAGE MultiParamTypeClasses      #-}
 {-# LANGUAGE OverloadedStrings          #-}
 {-# LANGUAGE QuasiQuotes                #-}
 {-# LANGUAGE RankNTypes                 #-}
@@ -16,7 +18,7 @@ import           ATrade.Driver.Types      (InitializationCallback,
 import           ATrade.Exceptions
 import           ATrade.Quotes.Finam      as QF
 import           ATrade.RoboCom.Monad     (Event (..), EventCallback,
-                                           StrategyAction (..),
+                                           MonadRobot (..), StrategyAction (..),
                                            StrategyEnvironment (..),
                                            appendToLog, runStrategyElement, st)
 import           ATrade.RoboCom.Positions
@@ -314,3 +316,14 @@ defaultBacktestState s c tickerList = BacktestState 0 s c (StrategyEnvironment "
 newtype BacktestingMonad s c a = BacktestingMonad { unBacktestingMonad :: State (BacktestState s c) a }
   deriving (Functor, Applicative, Monad, MonadState (BacktestState s c))
 
+instance MonadRobot (BacktestingMonad s c) s c where
+  submitOrder order = undefined
+  cancelOrder oid = undefined
+  appendToLog txt = undefined
+  setupTimer time = undefined
+  enqueueIOAction actionId action = undefined
+  getConfig = undefined
+  getState = undefined
+  setState s = undefined
+  getEnvironment = undefined
+

src/ATrade/RoboCom/Indicators.hs

@@ -40,7 +40,7 @@ cci period bars = (head tp - tpMean) / (0.015 * meanDev)
     typicalPrice a b c = (a + b + c) / 3
 
 atr :: Int -> [Bar] -> Double
-atr period bars = case reverse (take (5 * period) trueranges) of
+atr period bars = case reverse (take (10 * period) trueranges) of
                     (firstValue:rest) -> foldl (\x y -> (x * (period' - 1) + y) / period') firstValue rest
                     _ -> 0
   where