mirror of
https://github.com/wassname/options_backtester.git
synced 2026-07-01 14:36:09 +08:00
Juan Pablo Amoroso
46 lines
1.1 KiB
Python
46 lines
1.1 KiB
Python
"""Event based backtester"""
|
|
|
|
from queue import Queue
|
|
from .datahandler import BalancedDataHandler
|
|
from .strategy import Balanced
|
|
from .portfolio import BalancedPortfolio
|
|
|
|
|
|
def run(data_path,
|
|
data_handler=BalancedDataHandler,
|
|
port_class=BalancedPortfolio,
|
|
strat_class=Balanced,
|
|
**strat_args):
|
|
events = Queue()
|
|
bars = data_handler(data_path, events)
|
|
|
|
weights = {
|
|
"VOO": 0.3,
|
|
"GLD": 0.1,
|
|
"VNQ": 0.05,
|
|
"VNQI": 0.05,
|
|
"TLT": 0.2,
|
|
"TIP": 0.1,
|
|
"BNDX": 0.1,
|
|
"RJI": 0.1
|
|
}
|
|
port = port_class(bars, events, weights=weights)
|
|
strat = strat_class(bars, events, **strat_args)
|
|
|
|
while True:
|
|
bars.update_bars()
|
|
if not bars.continue_backtest:
|
|
break
|
|
|
|
while True:
|
|
if events.empty():
|
|
break
|
|
event = events.get()
|
|
if event.type == "MARKET":
|
|
strat.generate_signals(event)
|
|
port.update_timeindex(event)
|
|
elif event.type == "SIGNAL":
|
|
port.update_signal(event)
|
|
|
|
return port
|