advanced-algorithmic-trading

365
25.6 Full Code
# monthly_rebalance_run.py
import datetime
import click
from qstrader import settings
from qstrader.compat import queue
from qstrader.price_parser import PriceParser
from qstrader.price_handler.yahoo_daily_csv_bar import \
YahooDailyCsvBarPriceHandler
from qstrader.strategy.monthly_liquidate_rebalance_strategy import \
MonthlyLiquidateRebalanceStrategy
from qstrader.strategy import Strategies, DisplayStrategy
from qstrader.position_sizer.rebalance import \
LiquidateRebalancePositionSizer
from qstrader.risk_manager.example import ExampleRiskManager
from qstrader.portfolio_handler import PortfolioHandler
from qstrader.compliance.example import ExampleCompliance
from qstrader.execution_handler.ib_simulated import \
IBSimulatedExecutionHandler
from qstrader.statistics.tearsheet import TearsheetStatistics
from qstrader.trading_session.backtest import Backtest
def run_monthly_rebalance(
config, testing, filename,
benchmark, ticker_weights, title_str,
start_date, end_date, equity
):
config = settings.from_file(config, testing)
tickers = [t for t in ticker_weights.keys()]
# Set up variables needed for backtest
events_queue = queue.Queue()
csv_dir = config.CSV_DATA_DIR
initial_equity = PriceParser.parse(equity)
# Use Yahoo Daily Price Handler
price_handler = YahooDailyCsvBarPriceHandler(
csv_dir, events_queue, tickers,
start_date=start_date, end_date=end_date
)