Module areixio.orchestrators.backtest

Classes

class BackTest (feeds: Union[List[areixio.datafeed.DataFeed], areixio.datafeed.DataFeed], StrategyClass: Strategy, benchmark: areixio.datafeed.DataFeed = None, logger: Any = None, trade_history: list = [], transfer_history: list = [], position_history: list = [], store_path: str = '', broker: areixio.broker.Broker = None, skip_datafeed: bool = False, backtest_mode: str = 'bar', do_print: bool = True, in_daily_basis: bool = False, resample_rule: str = '', hist_trade_skip_checking: bool = False, upload_to_s3: bool = False, debug: bool = False, **kwargs)

Orchestrator for conducting backtesting

Args

feeds : Union[List[DataFeed], DataFeed]

data feeds

StrategyClass : Strategy

Strategy Class

benchmark : DataFeed, optional

benchmark. Defaults to None.

logger : Any, optional

logger. Defaults to None.

trade_history : list, optional

trade history. Defaults to []. example: [ { 'symbol':'BTC/USDT', 'datetime': datetime(2021, 3, 30, 20, 58, 8), 'quantity':0.003, 'price':30304, 'side':'BUY', 'assrt_type':'SPOT', 'leverage':10 }, .... ]

position_history : list, optional

position history. Defaults to [].

broker : Broker, optional

broker. Defaults to None.

skip_datafeed : bool, optional

skip_datafeed. Defaults to False.

backtest_mode : str, optional

backtest_mode. Defaults to "bar". ['bar', 'tick', 'bar_tick']

do_print : bool, optional

do_print. Defaults to True.

in_daily_basis : bool, optional

in_daily_basis. Defaults to False.

resample_rule : str, optional

resample_rule. Defaults to ''.

Ancestors

• areixio.orchestra.Orchestrator

Methods

def optimize(self, maximize: Union[str, Callable[[pandas.core.series.Series], float]] = 'sqn', constraint: Callable[[dict], bool] = None, return_heatmap: bool = False, return_mean_value: bool = False, method: str = 'grid', max_tries: Union[int, float] = None, random_state: int = None, return_optimization: bool = False, **kwargs) ‑> Union[pandas.core.series.Series, Tuple[pandas.core.series.Series, pandas.core.series.Series]]

def start(self)

The function to kick start the backtesting process

Raises

ValueError

[description]