How to use the finmarketpy.backtest.backtestengine.Backtest function in finmarketpy

To help you get started, we’ve selected a few finmarketpy examples, based on popular ways it is used in public projects.

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cuemacro / finmarketpy / finmarketpy / backtest / backtestengine.py View on Github

spot_df2 : pandas.DataFrame
            Secondary Market time series for generated signals (can be of different frequency)

        tech_params : TechParams
            Parameters for generating signals

        contract_value_df : pandas.DataFrame
            Dataframe with the contract sizes for each asset

        Returns
        -------
        portfolio_cum : pandas.DataFrame
        backtest : Backtest
        """
        backtest = Backtest()

        logger = LoggerManager().getLogger(__name__)

        logger.info("Calculating trading signals for " + key + "...")

        signal = self.construct_signal(spot_df, spot_df2, tech_params, br, run_in_parallel=run_in_parallel)

        logger.info("Calculated trading signals for " + key)

        backtest.calculate_trading_PnL(br, asset_df, signal,
                                       contract_value_df,
                                       run_in_parallel)  # calculate P&L (and adjust signals for vol etc)

        if br.write_csv: backtest.pnl_cum().to_csv(self.DUMP_CSV + key + ".csv")

        if br.calc_stats:

How to use the finmarketpy.backtest.backtestengine.Backtest function in finmarketpy

To help you get started, we’ve selected a few finmarketpy examples, based on popular ways it is used in public projects.

finmarketpy

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