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set flag Reparse. replace real with double. replace Real with Double. replace price with float. srecord noeq MPM3 { // MARKET (trading platform) // How much percentual slippage we have for each position on // average plus the fees for the position. // Obviously dependent on the market (trading site) we are using. settable double marketAdversity = 0.1; // SELF-IMPOSED LIMITS // How long a position can be held at the longest long maxPositionDuration = minutesToMS(60); // POSITIONS // An open(ed) position record Position(TickerSequence ticker, real openingTime, real direction) { real openingPrice() { ret ticker.priceAtTimestamp(openingTime); } real profitAtTime(real time) { ret (ticker.priceAtTimestamp(time)/openingPrice()*100-100)*direction - marketAdversity; } } record ClosedPosition(Position p, real closingTime) { settable real profit; MPM3 mpm() { ret MPM3.this; } TickerSequence ticker() { ret p.ticker; } real direction() { ret p.direction; } real openingTime() { ret p.openingTime; } real openingPrice() { ret p.openingPrice(); } real closingPrice() { ret ticker().priceAtTimestamp(closingTime); } } // BOT (Eye + Juicer) srecord Juicer(real lossTolerance, real pullback) {} abstract sclass Eye { abstract real adviseDirection(TickerPoint tickerPoint); } // time = ms to look back srecord SimpleEye(long time, real minMove) extends Eye { real adviseDirection(TickerPoint tickerPoint) { real move = calculateMove(tickerPoint); if (abs(move) >= minMove) ret (real) sign(move); ret 0; } real calculateMove(TickerPoint tickerPoint) { real currentPrice = tickerPoint.currentPrice(); real before = tickerPoint.lookback(time); ret currentPrice/before*100-100; } } srecord TradingBot(Eye eye, Juicer juicer) {} ClosedPosition runJuicer(Position p, Juicer j) { ret new ClosedPosition(p, p.openingTime+maxPositionDuration); /*int time = iceil(p.openingTime); real openingPrice = ticker(time); real crest = -infinity(); while (time < ticker.length-1) { real profit = profit(p, time, m); crest = max(crest, profit); if (profit < (profit < 0 ? -j.lossTolerance : crest-j.pullback)) ret (real) time; ++time; } null; */ } // eye can be null, then we just test the juicer record noeq Backtest(TickerSequence ticker, TradingBot bot) extends Convergent { new L closedPositions; long time; long latestAllowedOpeningTime() { ret ticker.endTime()-maxPositionDuration; } void step { if (time == 0) time = ticker.startTime(); if (time > latestAllowedOpeningTime()) ret with done = true; TickerPoint tickerPoint = new(ticker, time); real direction = bot.eye.adviseDirection(tickerPoint); if (direction == 0) // No position to open, move to next timestamp time = ticker.nextTimestamp(time); else { // We have a position to open var position = new Position(ticker, time, direction); // Ask juicer when to close position var closedPosition = runJuicer(position, bot.juicer); // Add to record of positions made closedPositions.add(closedPosition); // Move on to next timestamp time = ticker.nextTimestamp(closedPosition.closingTime); } } } }