Version History

  • 16.0.57 - April 17, 2023
    • data
      • extend backfills for SPY, VGIT, SHV, GSY, GLD, IAU, DBC, PDBC, VNQ
    • simulator core v2
      • make SimDate, NextSimDate, IsFirstBar, and IsLastBar ThreadStatic, to avoid corruption when using Lambda
    • indicators
      • add Correlation, Covariance, Beta, and ZScore indicators
      • add family of indicators by John F. Ehlers
    • algorithms
      • implement Ehlers's SineTrend strategy
  • 16.0.24 - March 27, 2023
    • general
      • removed language resources other than English
      • removed installer project from MSVC solution
    • simulator core
      • add more indicators
  • 16.0 - March 23, 2023
    • general
      • update Nuget packages
      • update to .NET 6.0
      • update to WiX v4
    • application
      • improve init/upgrade of home directory
    • simulator core
      • implement new v2 simulator engine
      • add forward and backward compatibility features
      • fix issue w/ Norgate (v1) failing to load data
    • indicators
      • fix issue w/ WMA (v1) calculated incorrectly
    • algorithms
      • migrate Clenow's Stocks on the Loose to v2
      • implement Keller's BAA for v2
      • implement Keller's HAA for v2
      • migrate LI's Universal Investment Strategy to v2
      • migrate Livingston's Mama Bear to v2
    • data
      • add backfills for many common ETFs
  • 0.15 - September 8, 2022
    • data sources
      • fix issue parsing dates containing colons from time
      • add backfills for many assets
      • support additional universes
    • reports
      • new Monte-Carlo charts showing performance/ drawdowns over time
      • additional output options for TuringTrader.com
    • algorithms
      • add strategies from Connors/ TradingMarkets
      • add Heine and Zweig bond models
      • centralize definition of assets and backfills
      • add management fee to lazy portfolios
    • indicators
      • add run-up
      • add Ulcer index
    • simulator core
      • expand trading calendar to 2023
      • fix issue w/ options expiring one day early
  • 0.14 - July 8, 2021
    • data sources
      • fix URL of Yahoo API
      • add Stooq data source
      • fix CSV parsing issue on non-US systems
      • fix caching issue with Yahoo and Tiingo
      • remove symbol cleanup from Yahoo source
    • reports
      • added rolling returns & tracking to benchmark
      • add more timeframes to dashbaord
    • simulator core
      • create ISimulator interface as prerequisite for v2 engine
  • 0.13 - November 4, 2020
    • algorithms
      • breaking change: new interface for child algorithms
    • data sources
      • fix issue w/ child algorithms running one bar ahead of main
      • add methods to identify algorithm data sources
    • indicators
      • fix issue w/ some basic indicators ignoring parent cache id
    • optimizer
      • implement support for walk-forward-optimization
    • demos
      • implement demo for walk-forward-optimization
    • showcase strategies
      • add LogicalInvest's Universal Investment Strategy
    • indicators
      • fix issue w/ TrueRange series always returning last value
  • 0.12 - August 30, 2020
    • general
      • update to .Net Core 3.1
    • simulator core
      • make cache objects thread-local (except for data sources)
      • add simulator hooks: CheckParameters, FillModel, CalcNextSimTime, IsValidSimTime, IsValidBar
      • keep full time series for NetAssetValue
      • implement infrastructure for child algorithms
      • fix issue w/ instruments delisted one bar too early
      • make signature of AddDataSource(DataSource) consistent w/ AddDataSource(string)
    • optimizer
      • fix issue w/ optimizer hanging when algos throw exceptions
    • data sources
      • general
        • improve detecion of option contracts
      • fake options
        • interpolated volatility, based on 9d, 30d, 3m, 6m, and 12m vix
        • cache calculated option chain
      • CSV files
        • improve parsing of dates and floats
        • make delimiter configurable
        • fix issue w/ CSV delimiter not initialized properly
      • splicing souce
        • fix issue w/ missing last bar on 'master' instrument leading to data glitch
      • Norgate
        • fix issue w/ universes not loading correctly in optimizer
      • FRED
        • fix issue w/ regional settings not using '.' for decimals
    • indicators
      • new indicators for correlation and covariance
    • showcase strategies
      • update algorithms from Livingston's Muscular Portfolios to match book exactly
      • add SteadyOption's Anchor Trades portfolio
      • add Keller's Flexible Asset Allocation
      • add Keller's Lethargic Asset Allocation
    • renderer
      • fix issue w/ C# template skipping integer values on charts
    • reports
      • add average allocation
    • project
      • reorganize project files
    • documentation
      • add demo code for custom data sources
  • 0.11 - April 2020
    • simulator
      • add holiday calendar, to provide accurate NextSimTime on last bar
    • data sources
      • fix issue w/ splice data source using open price in all fields
    • loader
      • add feature to disable loading algorithms from DLLs
    • showcase algorithms
      • separate glue logic from algorithms
      • update algorithms from Bensdorp's 30-Minute Stock Trader to closer match the book
      • add leveraged variants to Keller's DAA
      • add lazy portfolios
      • add Connors' Alpha Formula
      • add Keller's Flexible Asset Allocation (FAA)
    • indicators
      • improve robustness of Markowitz CLA portfolios
  • 0.10
    • loader
      • allow loading algorithms from entry-assembly
    • simulator
      • remove PendingOrders duplicate from SimCore
    • indicators
      • fix calculation of R2 as part of LinearRegression
    • data sources
      • avoid exceptions to speed up FRED load
      • add splice data source
      • add universe functionality
      • AddDataSource returns newly created DataSource
    • native reports
      • improve reports rendering: nicer plot colors, improved table layout, add feature to save as PNG and CSV
      • add scatter plots to SimpleChart and SimpleReport
      • improve SimpleReport template: improved metrics, annual return bar chart, and Monte-Carlo simulation
      • fix issue where SimpleReport did not show metrics
      • add ability to render stacked chart for target allocation
    • documentation
      • add QSG article for SimpleReport
    • build environment
      • update to MSVC 16.3.0 Preview 2.0
      • add single-click build script
      • make sure XML documentation is installed for TuringTrader.Simulator.dll
    • miscellaneous
      • optional feature to pass algorithm parent into Plotter object
      • cleanup of showcase strategies
        • closer track the original sources
        • simplify customization
        • standardize assets
  • 0.9
    • 0.9b3 - August 02, 2019
      • fix issues on systems using non-U.S. localizations
      • fix incorrect data source descriptor for ‘fake options’
    • 0.9b2 - July 18, 2019
      • fix exceptions related to data caching
      • catch exceptions during optimization
      • simplify data source descriptors for SPX, VIX, 60/40
      • add the ability to do scatter plots
    • 0.9b1 - July 08, 2019
      • available as a binary distribution with standard Windows Setup
      • based on .NET Core 3
      • ability to run algorithms directly from source
      • C#-based output rendering
      • new data sources for FRED, Tiingo, and Yahoo
      • implicit data source descriptors
      • many UI improvements
      • rewritten quick start guide
  • milestone 15 - May 14, 2019