Wie baut man ein Backtesting-Programm mit Mathematica auf?

Question

eine Aktie Gegeben {Preis variieren Preis} Sequenz wie folgt aus:

lstPrice={{4.66,-0.05},{4.69,0.03},{4.78,0.09},{4.78,0.},{4.81,0.03},{4.85,0.04},{4.78,-0.07},{5.1,0.32},{5.29,0.19},{5.19,-0.1},{5.28,0.09},{5.22,-0.06},{5.18,-0.04},{5.07,-0.11},{5.08,0.01},{5.09,0.01},{5.07,-0.02},{5.1,0.03},{5.05,-0.05},{5.05,0.},{5.13,0.08},{5.1,-0.03},{5.09,-0.01},{5.21,0.12},{5.24,0.03},{5.26,0.02},{5.35,0.09},{5.19,-0.16},{5.24,0.05},{5.09,-0.15},{5.18,0.09},{5.19,0.01},{5.18,-0.01},{5.13,-0.05},{5.15,0.02},{5.06,-0.09},{5.09,0.03},{5.08,-0.01},{5.01,-0.07},{4.99,-0.02},{4.99,0.},{4.94,-0.05},{4.98,0.04},{4.92,-0.06},{4.87,-0.05},{4.91,0.04},{4.91,0.},{4.92,0.01},{4.95,0.03},{4.9,-0.05},{4.93,0.03},{4.99,0.06},{5.04,0.05},{4.98,-0.06},{5.17,0.19},{5.07,-0.1},{5.08,0.01},{5.14,0.06},{5.17,0.03},{5.07,-0.1}} 

und max Kapitalniveau auf $ 500000, max Positionsebene bis 100000, Wenn Preis variieren ist negativ, kaufen p1 Prozent der Hauptstadt Ebene, wenn variieren Preis postive, verkaufen p2 Prozent der Positionsebene. um diese einfache Strategie zu überprüfen, ob bis zum Ende erfolgreich. Wie baut man ein Mathematica Backtesting Programm auf, um die Idee zu testen, Functional Programming am besten, oder wie Balgblock. Thansk!

initCapital=500000;(*min to 0 *) 
initPosition=0;(*max to 100000*) 
p1=0.3; 
p2=0.2; 
BacktestDo[list_?ListQ]:=If[list[[2]]>0,Buy[p1],Sell[p2]](*Buy and Sell not implemented*) 
BacktestDo/@listPrice 

Answer 1

Dies setzt voraus, p1 & p2 30% und 20% jeweils. Wenn Sie 0,3% und 0,2% meinen, passen Sie den Code wie in den Kommentaren angegeben an p1/100 und p2/100 an.

listPrice = { 
    {4.66, -0.05}, {4.69, 0.03}, {4.78, 0.09}, {4.78, 0.}, 
    {4.81, 0.03}, {4.85, 0.04}, {4.78, -0.07}, {5.1, 0.32}, 
    {5.29, 0.19}, {5.19, -0.1}, {5.28, 0.09}, {5.22, -0.06}, 
    {5.18, -0.04}, {5.07, -0.11}, {5.08, 0.01}, {5.09, 0.01}, 
    {5.07, -0.02}, {5.1, 0.03}, {5.05, -0.05}, {5.05, 0.}, 
    {5.13, 0.08}, {5.1, -0.03}, {5.09, -0.01}, {5.21, 0.12}, 
    {5.24, 0.03}, {5.26, 0.02}, {5.35, 0.09}, {5.19, -0.16}, 
    {5.24, 0.05}, {5.09, -0.15}, {5.18, 0.09}, {5.19, 0.01}, 
    {5.18, -0.01}, {5.13, -0.05}, {5.15, 0.02}, {5.06, -0.09}, 
    {5.09, 0.03}, {5.08, -0.01}, {5.01, -0.07}, {4.99, -0.02}, 
    {4.99, 0.}, {4.94, -0.05}, {4.98, 0.04}, {4.92, -0.06}, 
    {4.87, -0.05}, {4.91, 0.04}, {4.91, 0.}, {4.92, 0.01}, 
    {4.95, 0.03}, {4.9, -0.05}, {4.93, 0.03}, {4.99, 0.06}, 
    {5.04, 0.05}, {4.98, -0.06}, {5.17, 0.19}, {5.07, -0.1}, 
    {5.08, 0.01}, {5.14, 0.06}, {5.17, 0.03}, {5.07, -0.1}}; 

initCapital = 500000;(* min to 0 *) 
initPosition = 0;(* max to 100000 *) 
p1 = 0.3; 
p2 = 0.2; 

capital = {initCapital}; 
position = {initPosition}; 
totalassets = {initCapital}; 

buy[p1_, price_] := Module[{value}, 
    value = Last[capital] p1 (* or use p1/100 *); 
    (* check limits *) 
    If[Last[position] + value/price > 100000 || 
    Last[capital] - value < 0, 
    (* skip transaction *) 
    AppendTo[position, Last[position]]; 
    AppendTo[capital, Last[capital]]; 
    AppendTo[totalassets, Last[totalassets]], 
    (* or make transaction *) 
    AppendTo[position, Last[position] + value/price]; 
    AppendTo[capital, Last[capital] - value]; 
    AppendTo[totalassets, price Last[position] + Last[capital]]; 
    {"buy", p1, value, Last[capital]}]] 

sell[p2_, price_] := Module[{quantity}, 
    quantity = Last[position] p2 (* or use p2/100 *); 
    (* make transaction *) 
    AppendTo[position, Last[position] - quantity]; 
    AppendTo[capital, Last[capital] + quantity*price]; 
    AppendTo[totalassets, price Last[position] + Last[capital]]; 
    {"sell", p2, quantity*price, Last[capital]}] 

backtestDo[list_List] := If[list[[2]] < 0, 
    buy[p1, First[list]], 
    sell[p2, First[list]] 
    ] 

backtestDo /@ listPrice; 

GraphicsColumn[Map[ListLinePlot[ToExpression[#], 
    DataRange -> Length[listPrice] + 1, 
    PlotLabel -> #, 
    ImagePadding -> {{40, 10}, {Automatic, Automatic}}] &, 
    {"capital", "position", "totalassets"}], ImageSize -> 400]