Created
January 7, 2014 02:44
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Nascent backtest framework in Julia
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| julia> using Series, MarketTechnicals, Jig.Quant | |
| julia> fast = sma(cl, 10); | |
| julia> slow = sma(cl, 30); | |
| julia> sig = fast .> slow; | |
| julia> dailyreturn = percentchange(cl, method="log"); | |
| julia> when(dailyreturn, index(istrue(sig))) |> x -> sum(value(x)) |> expm1 | |
| 0.058731485780330786 |
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