config.read('./config/config-excel.conf')
def create_handlers(config, event_queue):
"""
create data_handler, strategy, portfolio, execution
"""
data_handler = FileMDEngine(config, event_queue)
strategy = ExcelStrategy(config, event_queue, data_handler)
execution = ExcelExecution(config, event_queue, data_handler)
portfolio = ExcelPortfolio(config, event_queue, data_handler,
execution)
return data_handler, strategy, portfolio, execution
test = BackTest(config, create_handlers)
test.run_backtest()
metric = PerformanceMetric(test, config)
metric.multiplier = 10
metrics = metric.calculate_performance()
df1 = metrics.get('data')
columns = [
'close', 'position', 'tradepnl_wo_commission', 'cumpnl_wo_commission'
]
df1 = df1[columns]
df2 = load_excel_result()
df2.columns = columns
