Function backtest_strategy

src/environment/quickbacktest/backtest.py:51–87

(
    data: pd.DataFrame,
    code: str,
    strategy: bt.Strategy,
    strategy_kwargs: Dict = {},
    commission_kwargs: Dict = {},
)

def backtest_strategy(
    data: pd.DataFrame,
    code: str,
    strategy: bt.Strategy,
    strategy_kwargs: Dict = {},
    commission_kwargs: Dict = {},
):
    commission_kwargs: Dict = update_params(COMMISSION, commission_kwargs)
    strategy_kwargs: Dict = update_params(STRATEGY_PARAMS, strategy_kwargs)
    assert commission_kwargs["leverage"] == strategy_kwargs["leverage"], "leverage must be same in both strategy and commission settings"

    if isinstance(code, str):

        df: pd.DataFrame = data.query("code == @code").copy()

    elif isinstance(code, list):

        df: pd.DataFrame = data.query("code in @code").copy()
        strategy_kwargs["hold_num"] = len(code)

    df: pd.DataFrame = df.dropna(subset=["close","factor1","factor2","signal","vwap"])
    bt_engine = BackTesting(**commission_kwargs)
    bt_engine.load_data(
        df,
        datafeed_cls=CryptoDataFeed,
    )
    print(strategy_kwargs)
    bt_engine.add_strategy(strategy, **strategy_kwargs)
    bt_engine.cerebro.addanalyzer(
        bt.analyzers.TimeReturn, _name="time_return", timeframe=bt.TimeFrame.Days
    )
    bt_engine.cerebro.addanalyzer(bt.analyzers.TradeAnalyzer, _name='trades')
    bt_engine.cerebro.addanalyzer(TotalCommission, _name="total_commission")

    result = bt_engine.cerebro.run()[0]

    return result