These 69 commits were written between 2015-01-11 and 2015-01-27.
This was my last (and best) attempt at creating a framework for rigorous backtesting of trading algorithms.
This was my first time using modern C++ for a project. C++14 is actually very nice. The last time I had used C++ was C++03 at my first startup, WeGame.
This project is focused on being a playground for algorithm discovery using Lua.
This is the beef. All the code shared between the explorer and wfa projects lives here.
This project actually implements WFA (Walk Forward Analysis) for testing algorithms discovered using the "explorer" project above.
Each directory has a makefile. Just cd and type make. You need to build the simulator directory first.
Because I was/am stupid, this is using a realtime clock instead of a monotonic one. Oops.
BSD