if y_signal is not None and x_signal is not None:
self.events.put(y_signal)
self.events.put(x_signal)
def calculate_signals(self, event):
if event.type == 'MARKET':
self.calculate_signals_for_pairs()
if __name__ == "__main__":
csv_dir = './datasets/'
symbol_list = ['BTC_ETC', 'BTC_LTC']
initial_capital = 1000.0
heartbeat = 0.0
start_date = datetime.datetime(2017, 4, 21, 0, 0, 1)
backtest = Backtest(
csv_dir,
symbol_list,
initial_capital,
heartbeat,
start_date,
HistoricCSVDataHandler,
SimulatedExecutionHandler,
NaivePortfolio,
IntradayOLSMRStrategy,
fields=['open', 'high', 'low', 'close'],
ticks_limit=2000
)
backtest.simulate_trading()
backtest.plot()
