def __init__(self, strategies, data_dir, start_automatically=True):
if not strategies:
raise ValueError("Empty strategies list in your algo file.")
# Single market object will be used for all backtesting instances
self.market = BacktestMarketData(
data_dir, #should come from script loader
strategies[0].SYMBOL_LIST,
date_from=getattr(strategies[0], 'DATE_FROM',
datetime.now() - timedelta(weeks=52)),
date_to=getattr(strategies[0], 'DATE_TO', datetime.now()),
normalize_prices=getattr(strategies[0], 'NORMALIZE_PRICES',
settings.NORMALIZE_PRICES),
normalize_volume=getattr(strategies[0], 'NORMALIZE_VOLUME',
settings.NORMALIZE_VOLUME),
round_decimals=getattr(strategies[0], 'ROUND_DECIMALS',
settings.ROUND_DECIMALS),
)
self.portfolios = []
for strategy in strategies:
port = BacktestPortfolio(self.market, strategy)
self.portfolios.append(port)
logging.info("Backtesting {} {} with {} symbols from {} to {}".format(
len(self.portfolios),
'strategies' if len(self.portfolios) > 1 else 'strategy',
len(self.market.symbol_list),
self.market.date_from.strftime('%Y-%m-%d'),
self.market.date_to.strftime('%Y-%m-%d'),
))
logging.info("Data load took {}".format(str(self.market.load_time)))
if start_automatically:
self.start()
self.calc_performance()
