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Backtester: Fix dividing by zero when missing data (#841)

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* Fixes zero data issues on backtester & fixes drawdown calcs for zeros

* Fixes valuation of holdings + when simultaneous processing disabled

* Fixes an issue for when there is a lot of missing data
This commit is contained in:
Scott
2021-11-19 12:59:34 +11:00
committed by GitHub
parent da3402476e
commit 3cde5ad7dd
16 changed files with 134 additions and 71 deletions
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16
backtester/data/data_test.go
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@@ -74,10 +74,10 @@ func TestStream(t *testing.T) {
f.GetAssetType()
f.GetReason()
f.AppendReason("fake")
f.ClosePrice()
f.HighPrice()
f.LowPrice()
f.OpenPrice()
f.GetClosePrice()
f.GetHighPrice()
f.GetLowPrice()
f.GetOpenPrice()
d.AppendStream(fakeDataHandler{time: 1})
d.AppendStream(fakeDataHandler{time: 4})
@@ -208,18 +208,18 @@ func (t fakeDataHandler) GetReason() string {
func (t fakeDataHandler) AppendReason(string) {
}
func (t fakeDataHandler) ClosePrice() decimal.Decimal {
func (t fakeDataHandler) GetClosePrice() decimal.Decimal {
return decimal.Zero
}
func (t fakeDataHandler) HighPrice() decimal.Decimal {
func (t fakeDataHandler) GetHighPrice() decimal.Decimal {
return decimal.Zero
}
func (t fakeDataHandler) LowPrice() decimal.Decimal {
func (t fakeDataHandler) GetLowPrice() decimal.Decimal {
return decimal.Zero
}
func (t fakeDataHandler) OpenPrice() decimal.Decimal {
func (t fakeDataHandler) GetOpenPrice() decimal.Decimal {
return decimal.Zero
}