advanced-algorithmic-trading

416
)
self.events_queue.put(
SignalEvent(
self.tickers[0],
"SLD", self.cur_hedge_qty
)
)
self.invested = None
# kalman_qstrader_backtest.py
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 import Strategies, DisplayStrategy
from qstrader.position_sizer.naive import NaivePositionSizer
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
from kalman_qstrader_strategy import KalmanPairsTradingStrategy
def run(config, testing, tickers, filename):
# Set up variables needed for backtest
events_queue = queue.Queue()
csv_dir = config.CSV_DATA_DIR
initial_equity = PriceParser.parse(100000.00)
# Use Yahoo Daily Price Handler
price_handler = YahooDailyCsvBarPriceHandler(
csv_dir, events_queue, tickers
)
# Use the KalmanPairsTrading Strategy
strategy = KalmanPairsTradingStrategy(tickers, events_queue)