资 源 简 介
Hudson is a free, open-source trading simulator based on EOD price historical data. It is designed as a C++ library providing simulation and statistics tools for integration with other trading strategy applications. A set of strategy examples is included in the source code distribution to illustrate some of the features provided.
This software is open source. You are required to redistribute any change you make to the original source code following the GPLv3 license agreement. Please read the COPYING file for more information on GPL licensing.
Hudson calculates various statistics, including compound annualized growth rate, % winners/losers, realized drawdown, position excursion analysis, month-to-month returns, Sharpe ratio and geometric standard deviation of monthly returns.
The report statistics are easily extensible by inheriting from the Report class and adding your own calculation based on recorded transactions and historical data.
The trader API supports backte
文 件 列 表
AUTHORS
COPYING
INSTALL
README
TODO
app
AATrader
AATraderMACD
BOWTrader
EOMTrader
JanTrader
VIXTrader
lib
BnHTrader.cpp
BnHTrader.hpp
Database.cpp
Database.hpp
DayPrice.hpp
._DMYCloseDriver.cpp
DMYCloseDriver.cpp
DMYCloseDriver.hpp
EODDB.cpp
EODDB.hpp
EODSeries.cpp
EODSeries.hpp
EOMReport.cpp
EOMReport.hpp
EOMReturnFactors.cpp
EOMReturnFactors.hpp
EOMSeries.cpp
EOMSeries.hpp
EOWSeries.cpp
EOWSeries.hpp
Execution.cpp
Execution.hpp
ExecutionNotifier.cpp
ExecutionNotifier.hpp
ExecutionObserver.hpp
ExecutionPtr.hpp
ExecutionSet.cpp
ExecutionSet.hpp
FileDriver.hpp
Hudson.sln
Hudson.vcproj
LongPosition.cpp
LongPosition.hpp
Makefile
MonthPrice.hpp
PortfolioReport.cpp
PortfolioReport.hpp
PortfolioReturns.cpp
PortfolioReturns.hpp
Position.cpp
Position.hpp
PositionFactors.cpp
PositionFactors.hpp
PositionFactorsSet.cpp
PositionFactorsSet.hpp
PositionPtr.hpp
PositionSet.cpp
PositionSet.hpp
PositionsReport.cpp
PositionsReport.hpp
Price.cpp
Price.hpp
Report.cpp
Report.hpp
ReturnFactors.cpp
ReturnFactors.hpp
SeriesFactor.cpp
SeriesFactor.hpp
SeriesFactorSet.cpp
SeriesFactorSet.hpp
ShortPosition.cpp
ShortPosition.hpp
StdAfx.cpp
StdAfx.h
StrategyPosition.cpp
StrategyPosition.hpp
StrategyPositionPtr.hpp
StrategyTrader.cpp
StrategyTrader.hpp
TA.cpp
TA.hpp
Trader.cpp
Trader.hpp
WeekPrice.hpp
YahooDriver.cpp
YahooDriver.hpp
db
DFSCX.csv
DJC.csv
EAFE.csv
MSCI
NAREIT
._NAREIT_All.csv
NAREIT_All.csv
NDX.csv
OEX.csv
README
RUT.csv
SOURCES
SPX.csv
TNX.csv
VIX.csv
VXN.csv
VXO.csv
