Function test_backtest

src/environment/quickbacktest/backtest.py:92–120

Run backtest

(
        data: pd.DataFrame,
        code: Union[str, List[str]],
        strategy: BaseStrategy,
        signal: BaseSignal,
        strategy_kwargs: Dict = STRATEGY_PARAMS,
        commission_kwargs: Dict = COMMISSION,
        workdir: Path = None,
    )

def test_backtest(
        data: pd.DataFrame,
        code: Union[str, List[str]],
        strategy: BaseStrategy,
        signal: BaseSignal,
        strategy_kwargs: Dict = STRATEGY_PARAMS,
        commission_kwargs: Dict = COMMISSION,
        workdir: Path = None,
    ) -> Any:
        """Run backtest"""
        combo_data: pd.DataFrame = signal(data).fit(data)
        combo_data.set_index("trade_time", inplace=True)

        result = backtest_strategy(
            data=combo_data,
            code=code,
            strategy=strategy,
            strategy_kwargs=strategy_kwargs,
            commission_kwargs=commission_kwargs,
        )
        ax = plot_cumulative_return(result, title="Buy and Hold Strategy")
        plt.savefig(workdir / "cumulative_return.png") if workdir else None
        plt.close(ax.figure)
        return {
            "sharpe_ratio": get_strategy_sharpe_ratio(result),
            "cumulative_return (%)": get_strategy_cumulative_return(result).iloc[-1],
            "max_drawdown (%)": get_strategy_maxdrawdown(result),
            "picture_path": str(workdir / "cumulative_return.png") if workdir else None
        }