advanced-algorithmic-trading

430
IQFeedIntradayCsvBarPriceHandler
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 intraday_ml_strategy import \
IntradayMachineLearningPredictionStrategy
def run(config, testing, tickers, filename):
# Set up variables needed for backtest
events_queue = queue.Queue()
csv_dir = "/path/to/your/data/"
initial_equity = PriceParser.parse(500000.00)
# Use DTN IQFeed Intraday Bar Price Handler
start_date = datetime.datetime(2013, 1, 1)
price_handler = IQFeedIntradayCsvBarPriceHandler(
csv_dir, events_queue, tickers, start_date=start_date
)
# Use the IntradayMachineLearningPredictionStrategy
model_pickle_file = ’/path/to/your/ml_model_rf.pkl’
strategy = IntradayMachineLearningPredictionStrategy(
tickers, events_queue, model_pickle_file, lags=5
)
strategy = Strategies(strategy, DisplayStrategy())
# Use the Naive Position Sizer (suggested quantities are followed)
position_sizer = NaivePositionSizer()
# Use an example Risk Manager
risk_manager = ExampleRiskManager()
# Use the default Portfolio Handler
portfolio_handler = PortfolioHandler(
initial_equity, events_queue, price_handler,
position_sizer, risk_manager