FSharp

Sometimes, when being interviewed for a job as a software developer, you’ll be asked a question such as “write a method that takes an integer as a parameter, and returns it’s factorial.”

For example, the factorial of 3 is represented as “3!”, which is calculated via 321, which equals 6. 4! is 432*1, which is 24, etc.

Putting aside whether these kinds of questions should be asked in an interview, if they’re asking you this, there’s a fairly high likelihood they’re asking for you to show that you understand recursion. If that’s the case, no problem, something like this will calculate the factorial:

let rec factorial n =
    match n with
    | 0 | 1 -> 1
    | n when n > 0 && n <= 12 -> n * factorial (n - 1)
    | _ -> failwith "Parameter n is out of the supported range. Must be between 0 and 12."

This can be run in the F# interactive shell via:

> factorial 3;;
val it : int = 6

But what if they want to find out whether you:

1. Understand recursion, and…
2. Know when you can avoid recursion, and just write simple methods instead.

When you want to visualize how a stock or portfolio has performed historically relative to the market as a whole, it is useful to create a comparison chart.

This blog shows how to create a line chart to compare two stocks with Deedle, FSharp Charting and F# Data.

In this example, the chart will show the perfomance of ANZ.AX relative to the ASX ALL ORDINARIES index (^AORD) over a three year period from 2011-1-1 to 2014-1-1.

This article is written for the intermediate F# audience who has a basic familiarity of stock trading and technical analysis, and is intended to show the basics of implementing a backtesting system in F#.

If you’re an F# beginner it may not take too long for you to get up to speed on the concepts if you check out a few resources. In particular:

• Try F#
• The CSV Type Provider
• Mastering F# Lists
• and Wikibooks F Sharp Programming/Recursion

The backtesting strategy which you will implement is a simple SMA crossover where the fast line is 10 bars and the slow one 25. When the fast line crosses above the slow line, a buy signal will be triggered, and when the fast line cross below the slow line, a sell signal will be triggered. Only one long position will exist at any time, so the system will not trigger another buy order until after the long position is sold.