backtest function to place results inplace on strategy object

dysonance · Oct 3, 2017 · 37202ac · 37202ac
1 parent 9df555e
commit 37202ac
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Showing 3 changed files with 8 additions and 8 deletions.
diff --git a/src/Strategems.jl b/src/Strategems.jl
@@ -21,7 +21,7 @@ export
     # order
     AbstractOrder, MarketOrder, LimitOrder, StopOrder, buy, sell, liquidate,
     # strategies
-    Strategy, generate_trades, generate_trades!, backtest
+    Strategy, generate_trades, generate_trades!, backtest, backtest!
 
 include("universe.jl")
 include("paramset.jl")

diff --git a/src/strategy.jl b/src/strategy.jl
@@ -36,11 +36,6 @@ function generate_trades!(strat::Strategy)::Void
     return nothing
 end
 
-#TODO: create an order type to handle this logic
-function buy!(strat::Strategy, asset::String, quantity::Number, price::Symbol)::Void
-    return nothing
-end
-
 function backtest(strat::Strategy, px_trade::Symbol=:Open, px_close::Symbol=:Settle)::Dict{String,TS}
     @assert haskey(strat.results, "Trades") "No trades generated for strategy - must run `generate_trades!` first."
     result = Dict{String,TS}()
@@ -79,3 +74,8 @@ function backtest(strat::Strategy, px_trade::Symbol=:Open, px_close::Symbol=:Set
     end
     return result
 end
+
+function backtest!(strat::Strategy, px_trade::Symbol=:Open, px_close::Symbol=:Settle)::Void
+    strat.results["Backtest"] = backtest(strat, px_trade, px_close)
+    return nothing
+end
diff --git a/test/runtests.jl b/test/runtests.jl
@@ -27,5 +27,5 @@ rules = Dict{Symbol,Rule}(:EnterLong=>Rule(:GoLong, :(buy,asset,100)),
 # strategy object
 strat = Strategy(universe, indicator, signals, rules)
 generate_trades!(strat)
-results = backtest(strat)
-@test length(setdiff(collect(keys(results)), universe.assets)) == 0
+backtest!(strat)
+@test length(setdiff(collect(keys(strat.results["Backtest"])), universe.assets)) == 0