def __init__(self):
self.logger = LoggerManager().getLogger(__name__)
self.fxconv = FXConv()
if Constants().default_time_series_factory == 'lighttimeseriesfactory':
self.time_series_factory = LightTimeSeriesFactory()
else:
self.time_series_factory = CachedTimeSeriesFactory()
return
# for signal generation
from pythalesians.timeseries.techind.techindicator import TechIndicator
from pythalesians.timeseries.techind.techparams import TechParams
# for plotting
from pythalesians.graphics.graphs.graphproperties import GraphProperties
from pythalesians.graphics.graphs.plotfactory import PlotFactory
logger = LoggerManager().getLogger(__name__)
import datetime
cash_backtest = CashBacktest()
br = BacktestRequest()
fxconv = FXConv()
# get all asset data
br.start_date = "02 Jan 1990"
br.finish_date = datetime.datetime.utcnow()
br.spot_tc_bp = 2.5 # 2.5 bps bid/ask spread
br.ann_factor = 252
# have vol target for each signal
br.signal_vol_adjust = True
br.signal_vol_target = 0.05
br.signal_vol_max_leverage = 3
br.signal_vol_periods = 60
br.signal_vol_obs_in_year = 252
br.signal_vol_rebalance_freq = 'BM'
