Some fixes in ATR calculation and backtest driver

src/ATrade/Driver/Backtest.hs

@@ -104,8 +104,7 @@ backtestMain dataDownloadDelta defaultState initCallback callback = do
       let finalState = execState (unBacktestingMonad s) $ defaultBacktestState defaultState params tickerList
       print $ cash finalState
       print $ tradesLog finalState
-      forM_ (logs finalState) putStrLn
+      forM_ (reverse . logs $ finalState) putStrLn
-      print $ (M.keys . seBars . strategyEnvironment) finalState
 
     loadStrategyConfig :: (FromJSON c) => Params -> IO ([Ticker], c)
     loadStrategyConfig params = do
@@ -162,7 +161,7 @@ backtestMain dataDownloadDelta defaultState initCallback callback = do
       env <- gets strategyEnvironment
       let oldTimestamp = seLastTimestamp env
       let newTimestamp = barTimestamp bar
-      let newenv = env { seBars = updateBars (seBars env) bar }
+      let newenv = env { seBars = updateBars (seBars env) bar, seLastTimestamp = newTimestamp }
       curState <- gets robotState
       modify' (\s -> s { strategyEnvironment = newenv })
       handleEvents [NewBar bar])

src/ATrade/RoboCom/Indicators.hs

@@ -40,7 +40,9 @@ cci period bars = (head tp - tpMean) / (0.015 * meanDev)
     typicalPrice a b c = (a + b + c) / 3
 
 atr :: Int -> [Bar] -> Double
-atr period bars = foldl (\x y -> (x * (period' - 1) + y) / period') 0 (reverse $ take (5 * period) trueranges)
+atr period bars = case reverse (take (5 * period) trueranges) of
+                    (firstValue:rest) -> foldl (\x y -> (x * (period' - 1) + y) / period') firstValue rest
+                    _ -> 0
   where
     trueranges :: [Double]
     trueranges = zipWith trueRange bars (tail bars)

test/Test/RoboCom/Indicators.hs

@@ -43,7 +43,7 @@ testRsi2 = testCase "RSI calculation" $ assertEqualWithEpsilon 1 (rsi 6 bars) 18
     bars = reverse [1156.2, 1158.8, 1158.3, 1160.3, 1160.9, 1159.8, 1163.0, 1156.3, 1156.0, 1155.3, 1153.8,
       1156.2, 1154.1, 1155.9, 1158.1, 1155.8, 1155.9, 1154.5, 1149.8, 1146.5, 1152.1, 1154.0, 1150.2, 1139.5, 1132.6]
 
-testAtr = testCase "ATR calculation" $ assertEqualWithEpsilon 0.1 (atr 14 bars) 1.32
+testAtr = testCase "ATR calculation" $ assertEqualWithEpsilon 0.01 (atr 14 bars) 1.32
   where
     bars = reverse [bar 48.70 47.79 48.16,
       bar 48.72 48.14 48.61,