def run():
""" Run the code that illustrates the pairs trading strategy """
data = make_data()
# Define the "entry" strategy of the trade. In this case, we give each asset unit weight and trade it
trade_entry = bt.AlgoStack( bt.algos.RunOnce(), WeighPair(1.), bt.algos.Rebalance() )
# Define the "exit" strategy of the trade. Here we exit when we cross either an upper/lower
# threshold on the price of the strategy, or hold it for a fixed length of time.
trade_exit = bt.AlgoStack(
bt.algos.Or( [PriceCompare( 96., is_greater=False ),
PriceCompare( 104., is_greater=True),
bt.algos.RunAfterDays( 5 ) ] ),
ClosePositions()
)
# Combine the entry, exit and debug algos for each trade
trade_algos = [ bt.algos.Or( [ trade_entry, trade_exit, DebugTradeLevel() ] )]
# Define the strategy for the master portfolio.
strategy_algos = [
PairsSignal( threshold = 4., indicator_name = 'my_indicator' ),
SetupPairsTrades( trade_algos ),
SizePairsTrades( pct_of_capital = 0.2 ),
DebugPortfolioLevel()
]
# Build and run the strategy
strategy = bt.Strategy( 'PairsStrategy', strategy_algos )
test = bt.Backtest( strategy, data, additional_data={'my_indicator':data} )
out = bt.run( test )
print(out.stats)
return out
def test_algo_stack():
algo1 = DummyAlgo(return_value=True)
algo2 = DummyAlgo(return_value=False)
algo3 = DummyAlgo(return_value=True)
target = mock.MagicMock()
stack = bt.AlgoStack(algo1, algo2, algo3)
actual = stack(target)
assert not actual
assert algo1.called
assert algo2.called
assert not algo3.called
