PositionSizer

class qf_lib.backtesting.position_sizer.position_sizer.PositionSizer(broker: qf_lib.backtesting.broker.broker.Broker, data_provider: qf_lib.data_providers.data_provider.DataProvider, order_factory: qf_lib.backtesting.order.order_factory.OrderFactory, signals_register: qf_lib.backtesting.signals.signals_register.SignalsRegister)[source]

Bases: object

The PositionSizer abstract class converts signals to orders with size specified.

Methods

size_signals(signals, use_stop_losses, …)

Based on the signals provided, creates a list of Orders where proper sizing has been applied
size_signals(signals: List[qf_lib.backtesting.signals.signal.Signal], use_stop_losses: bool = True, time_in_force: qf_lib.backtesting.order.time_in_force.TimeInForce = <TimeInForce.OPG: 3>, frequency: qf_lib.common.enums.frequency.Frequency = None) → List[qf_lib.backtesting.order.order.Order][source]

Based on the signals provided, creates a list of Orders where proper sizing has been applied

Parameters

  • signals (List[Signal]) – list of signals, based on which the orders will be created

  • use_stop_losses (bool) – if true, for each MarketOrder generated for a signal, additionally a StopOrder will be created

  • time_in_force (TimeInForce) – time in force, which will be used to create the Orders based on the provided Signals

  • frequency (Frequency) – frequency of trading, further used to create Orders

  • details (StopOrders) –

  • ------------------- –

  • each Market Order a Stop Order is generated if and only if the quantity in Market Order + position quantity (For) –

  • this ticker != 0. This means that StopOrders are not generated if the MarketOrder should completely close (for) –

  • position for the ticker. (the) –