BacktestTradingSessionBuilder

class qf_lib.backtesting.trading_session.backtest_trading_session_builder.BacktestTradingSessionBuilder(settings: Settings, pdf_exporter: PDFExporter, excel_exporter: ExcelExporter)

Bases: object

Class used to build a Trading Session with all necessary elements, connections and dependencies. By default it uses the following settings:

• backtest name is set to “Backtest Results”

• initial cash is set to 10000000

• SimulatedContractTickerMapper is used to map contracts to tickers

• no commissions are introduced (FixedCommissionModel(0.0))

• no slippage is introduced (PriceBasedSlippage(0.0))

• SimplePositionSizer is used

Parameters:

• settings (Settings) – object containing all necessary settings, used for example for connection purposes

• pdf_exporter (PDFExporter) – used to export all trading statistics to PDF

• excel_exporter (ExcelExporter) – used to export trading data to Excel

Methods:

build(start_date, end_date)	Builds a backtest trading session.
set_benchmark_tms(benchmark_tms)	Sets the benchmark timeseries.

build(start_date: datetime, end_date: datetime) → BacktestTradingSession

Builds a backtest trading session.

Parameters:

• start_date (datetime) – starting date of the backtest

• end_date (datetime) – last date of the backtest

Returns:

trading session containing all the necessary parameters

Return type:

BacktestTradingSession

set_benchmark_tms(benchmark_tms: QFSeries)

Sets the benchmark timeseries. If set, the TearsheetWithBenchamrk will be generated.

Parameters:

benchmark_tms (QFSeries) – timeseries of the benchmark