compare_strategy_backtest_to_multiple_assets#

API documentation for tradeexecutor.analysis.multi_asset_benchmark.compare_strategy_backtest_to_multiple_assets Python function.

compare_strategy_backtest_to_multiple_assets(state, strategy_universe, returns=None, display=False, asset_count=3, verbose=True, interesting_assets=('BTC', 'WBTC', 'WBTC.e', 'cbBTC', 'ETH', 'WETH', 'WETH.e', 'WMATIC', 'MATIC', 'ARB', 'WARB', 'SOL', 'WSOL', 'WAVAX', 'WBNB'), clip_to_trades=False)[source]#

Backtest comparison of strategy against buy and hold assets.

  • Benchmark start is set to the timestamp when the strategy marked itself being ready, see State.mark_ready().

Parameters:

  • state (tradeexecutor.state.state.State | None) – Needed to extract the trust decidable backtesting range

  • clip_to_trades – Remove any periods of backtesting at start and end when trades were not made

  • strategy_universe (TradingStrategyUniverse) –

  • returns (pandas.core.series.Series | None) –

Returns:

DataFrame with QuantStats results.

One column for strategy and for each benchmark asset we have loaded in the strategy universe.

Return type:

DataFrame