advanced-algorithmic-trading

431
)
# Use the ExampleCompliance component
compliance = ExampleCompliance(config)
# Use a simulated IB Execution Handler
execution_handler = IBSimulatedExecutionHandler(
events_queue, price_handler, compliance
)
# Use the Tearsheet Statistics
statistics = TearsheetStatistics(
config, portfolio_handler,
title=["Intraday AREX Machine Learning Prediction Strategy"],
periods=int(252*6.5*60) # Minutely periods
)
# Set up the backtest
backtest = Backtest(
price_handler, strategy,
portfolio_handler, execution_handler,
position_sizer, risk_manager,
statistics, initial_equity
)
results = backtest.simulate_trading(testing=testing)
statistics.save(filename)
return results
@click.command()
@click.option(
’--config’,
default=settings.DEFAULT_CONFIG_FILENAME, help=’Config filename’
)
@click.option(
’--testing/--no-testing’,
default=False,
help=’Enable testing mode’
)
@click.option(
’--tickers’,
default=’SP500TR’,
help=’Tickers (use comma)’
)
@click.option(