advanced-algorithmic-trading

487
)
csv_dir, events_queue, tickers,
start_date=start_date, end_date=end_date,
calc_adj_returns=True
# Use the Moving Average Crossover trading strategy
base_quantity = 10000
strategy = MovingAverageCrossStrategy(
tickers, events_queue, base_quantity,
short_window=10, long_window=30
)
strategy = Strategies(strategy, DisplayStrategy())
# Use the Naive Position Sizer
# where suggested quantities are followed
position_sizer = NaivePositionSizer()
# Use regime detection HMM risk manager
hmm_model = pickle.load(open(pickle_path, "rb"))
risk_manager = RegimeHMMRiskManager(hmm_model)
# 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
)
# 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
title = ["Trend Following Regime Detection with HMM"]
statistics = TearsheetStatistics(
config, portfolio_handler, title,
benchmark="SPY"
)
# Set up the backtest