BacktestSetup

API documentation for tradeexecutor.backtest.backtest_runner.BacktestSetup Python class in Trading Strategy framework.

class BacktestSetup

Bases: object

Describe backtest setup, ready to run.

__init__(start_at, end_at, universe_options, cycle_duration, universe, wallet, state, pricing_model, routing_model, execution_model, sync_model, trading_strategy_engine_version, trade_routing, reserve_currency, decide_trades, create_trading_universe, create_indicators=None, indicator_combinations=None, indicator_storage=None, data_preload=True, name='backtest', minimum_data_lookback_range=None, pair_configurator=None, parameters=None, grid_search=False, mode=ExecutionMode.backtesting, max_workers=8)

Parameters:

• start_at (datetime.datetime | None) –

• end_at (datetime.datetime | None) –

• universe_options (UniverseOptions) –

• cycle_duration (Optional[CycleDuration]) –

• universe (Optional[TradingStrategyUniverse]) –

• wallet (SimulatedWallet) –

• state (State) –

• pricing_model (Optional[BacktestPricing]) –

• routing_model (Optional[BacktestRoutingModel]) –

• execution_model (BacktestExecution) –

• sync_model (BacktestSyncModel) –

• trading_strategy_engine_version (str) –

• trade_routing (TradeRouting) –

• reserve_currency (ReserveCurrency) –

• decide_trades (DecideTradesProtocol) –

• create_trading_universe (Optional[CreateTradingUniverseProtocol]) –

• create_indicators (Optional[CreateIndicatorsProtocolV1]) –

• indicator_combinations (Optional[set[tradeexecutor.strategy.pandas_trader.indicator.IndicatorKey]]) –

• indicator_storage (Optional[DiskIndicatorStorage]) –

• data_preload (bool) –

• name (str) –

• minimum_data_lookback_range (Optional[timedelta]) –

• pair_configurator (Optional[EthereumBacktestPairConfigurator]) –

• parameters (tradeexecutor.strategy.parameters.StrategyParameters | None) –

• grid_search (bool) –

• mode (ExecutionMode) –

• max_workers (int) –

Return type:

None

Methods

__init__(start_at, end_at, universe_options, ...)
backtest_static_universe_strategy_factory(...)	Create a strategy description and runner based on backtest parameters in this setup.
load_indicators()	Load indicators for this backtest.
prepare_indicators(execution_context)	Prepare indicators for this backtest run.

Attributes

create_indicators
data_preload
grid_search	Is this backtest part a grid saerch
indicator_combinations
indicator_storage
max_workers	How many workers to use for indicator calculation
minimum_data_lookback_range
mode	What's the execution mode of this backtest run
name	Name for this backtest
pair_configurator
parameters	Backtest/grid parameters
start_at	Test start
end_at	Test end
universe_options	Override trading_strategy_cycle from strategy module
cycle_duration	Override trading_strategy_cycle from strategy module
universe
wallet
state
pricing_model
routing_model
execution_model
sync_model
trading_strategy_engine_version
trade_routing
reserve_currency
decide_trades
create_trading_universe

start_at: datetime.datetime | None

Test start

Legacy. Use UniverseOptions.

end_at: datetime.datetime | None

Test end

Legacy. Use UniverseOptions.

universe_options: UniverseOptions

Override trading_strategy_cycle from strategy module

cycle_duration: Optional[CycleDuration]

Override trading_strategy_cycle from strategy module

name: str = 'backtest'

Name for this backtest

parameters: tradeexecutor.strategy.parameters.StrategyParameters | None = None

Backtest/grid parameters

When trading_strategy_engine_version >= 0.4

grid_search: bool = False

Is this backtest part a grid saerch

mode: ExecutionMode = 'backtesting'

What’s the execution mode of this backtest run

max_workers: int = 8

How many workers to use for indicator calculation

backtest_static_universe_strategy_factory(*ignore, execution_model, execution_context, sync_model, pricing_model_factory, valuation_model_factory, client, timed_task_context_manager, approval_model, **kwargs)

Create a strategy description and runner based on backtest parameters in this setup.

Parameters:

• execution_model (BacktestExecution) –

• execution_context (ExecutionContext) –

• sync_model (BacktestSyncModel) –

• pricing_model_factory (Callable) –

• valuation_model_factory (Callable) –

• client (Client) –

• timed_task_context_manager (AbstractContextManager) –

• approval_model (ApprovalModel) –

Return type:

StrategyExecutionDescription

prepare_indicators(execution_context)

Prepare indicators for this backtest run.

• Calculate and cache the indicator results

• Display TQDM progress bar about reading cached results and calculating new indicators

Parameters:

execution_context (ExecutionContext) –

Return type:

StrategyInputIndicators

load_indicators()

Load indicators for this backtest.

• Applies for grid search execution path

• All indicators must be precalculated in cache warm up

Return type:

StrategyInputIndicators

__init__(start_at, end_at, universe_options, cycle_duration, universe, wallet, state, pricing_model, routing_model, execution_model, sync_model, trading_strategy_engine_version, trade_routing, reserve_currency, decide_trades, create_trading_universe, create_indicators=None, indicator_combinations=None, indicator_storage=None, data_preload=True, name='backtest', minimum_data_lookback_range=None, pair_configurator=None, parameters=None, grid_search=False, mode=ExecutionMode.backtesting, max_workers=8)

Parameters:

• start_at (datetime.datetime | None) –

• end_at (datetime.datetime | None) –

• universe_options (UniverseOptions) –

• cycle_duration (Optional[CycleDuration]) –

• universe (Optional[TradingStrategyUniverse]) –

• wallet (SimulatedWallet) –

• state (State) –

• pricing_model (Optional[BacktestPricing]) –

• routing_model (Optional[BacktestRoutingModel]) –

• execution_model (BacktestExecution) –

• sync_model (BacktestSyncModel) –

• trading_strategy_engine_version (str) –

• trade_routing (TradeRouting) –

• reserve_currency (ReserveCurrency) –

• decide_trades (DecideTradesProtocol) –

• create_trading_universe (Optional[CreateTradingUniverseProtocol]) –

• create_indicators (Optional[CreateIndicatorsProtocolV1]) –

• indicator_combinations (Optional[set[tradeexecutor.strategy.pandas_trader.indicator.IndicatorKey]]) –

• indicator_storage (Optional[DiskIndicatorStorage]) –

• data_preload (bool) –

• name (str) –

• minimum_data_lookback_range (Optional[timedelta]) –

• pair_configurator (Optional[EthereumBacktestPairConfigurator]) –

• parameters (tradeexecutor.strategy.parameters.StrategyParameters | None) –

• grid_search (bool) –

• mode (ExecutionMode) –

• max_workers (int) –

Return type:

None