def setUp(self):
"""
Set up the PortfolioHandler object supplying it with
$500,000.00 USD in initial cash.
"""
initial_cash = Decimal("500000.00")
events_queue = queue.Queue()
price_handler = PriceHandlerMock()
position_sizer = PositionSizerMock()
risk_manager = RiskManagerMock()
# Create the PortfolioHandler object from the rest
self.portfolio_handler = PortfolioHandler(initial_cash, events_queue,
price_handler,
position_sizer, risk_manager)
price_handler = HistoricCSVPriceHandler(
csv_dir, events_queue, tickers
)
# Use the Test Strategy
strategy = TestStrategy( tickers, events_queue )
# Use an example Position Sizer
position_sizer = TestPositionSizer()
# Use an example Risk Manager
risk_manager = TestRiskManager()
# Use the default Portfolio Handler
portfolio_handler = PortfolioHandler(
initial_equity, events_queue, price_handler,
position_sizer, risk_manager
)
# Use a simulated IB Execution Handler
execution_handler = IBSimulatedExecutionHandler(
events_queue, price_handler
)
# Use the default Statistics
statistics = SimpleStatistics(portfolio_handler)
# Set up the backtest
backtest = Backtest(
tickers, price_handler,
strategy, portfolio_handler,
execution_handler,