Michael Halls-Moore
84 lines
2.7 KiB
Python
84 lines
2.7 KiB
Python
from __future__ import print_function
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try:
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import Queue as queue
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except ImportError:
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import queue
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import time
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from qsforex import settings
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class Backtest(object):
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"""
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Enscapsulates the settings and components for carrying out
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an event-driven backtest on the foreign exchange markets.
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"""
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def __init__(
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self, pairs, data_handler, strategy,
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strategy_params, portfolio, execution,
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equity=100000.0, heartbeat=0.0,
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max_iters=100000000
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):
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"""
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Initialises the backtest.
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"""
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self.pairs = pairs
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self.events = queue.Queue()
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self.csv_dir = settings.CSV_DATA_DIR
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self.ticker = data_handler(self.pairs, self.events, self.csv_dir)
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self.strategy_params = strategy_params
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self.strategy = strategy(
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self.pairs, self.events, **self.strategy_params
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)
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self.equity = equity
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self.heartbeat = heartbeat
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self.max_iters = max_iters
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self.portfolio = portfolio(
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self.ticker, self.events, equity=self.equity, backtest=True
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)
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self.execution = execution()
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def _run_backtest(self):
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"""
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Carries out an infinite while loop that polls the
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events queue and directs each event to either the
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strategy component of the execution handler. The
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loop will then pause for "heartbeat" seconds and
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continue unti the maximum number of iterations is
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exceeded.
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"""
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print("Running Backtest...")
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iters = 0
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while iters < self.max_iters and self.ticker.continue_backtest:
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try:
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event = self.events.get(False)
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except queue.Empty:
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self.ticker.stream_next_tick()
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else:
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if event is not None:
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if event.type == 'TICK':
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self.strategy.calculate_signals(event)
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self.portfolio.update_portfolio(event)
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elif event.type == 'SIGNAL':
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self.portfolio.execute_signal(event)
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elif event.type == 'ORDER':
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self.execution.execute_order(event)
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time.sleep(self.heartbeat)
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iters += 1
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def _output_performance(self):
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"""
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Outputs the strategy performance from the backtest.
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"""
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print("Calculating Performance Metrics...")
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self.portfolio.output_results()
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def simulate_trading(self):
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"""
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Simulates the backtest and outputs portfolio performance.
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"""
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self._run_backtest()
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self._output_performance()
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print("Backtest complete.")
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