backtesting¶

alpha_model¶

`alpha_model.AlphaModel`	Base class for all alpha models.
`futures_model.FuturesModel`	Type of alpha model, which can be easily integrated with any type of Tickers (plain Ticker objects, as well as FutureTickers).

`contract_to_ticker_conversion.base.ContractTickerMapper`
`contract_to_ticker_conversion.simulated_contract_ticker_mapper.SimulatedContractTickerMapper`	Simulated contract to ticker mapper, which should be used for backtesting purposes.
`contract_to_ticker_conversion.ib_contract_ticker_mapper.IBContractTickerMapper`	IB IBContract mapper that can be used for live trading.

`data_handler.DataHandler`	DataHandler is a wrapper which can be used with any AbstractPriceDataProvider in both live and backtest environment.
`daily_data_handler.DailyDataHandler`
`intraday_data_handler.IntradayDataHandler`

`time_event.TimeEvent`	Represents an event associated with certain date/time (e.g.
`regular_time_event.regular_time_event.RegularTimeEvent`	TimeEvent which occurs on regular basis (e.g.
`regular_time_event.after_market_close_event.AfterMarketCloseEvent`	Rule which is triggered every day after market closes.
`regular_time_event.market_close_event.MarketCloseEvent`	Rule which is triggered every day when the market closes.
`regular_time_event.market_open_event.MarketOpenEvent`	Rule which is triggered every day when the market opens.
`regular_time_event.calculate_and_place_orders_event.CalculateAndPlaceOrdersRegularEvent`	Class implementing the logic for all triggering regular calculation of signals and placing orders.

`commission_model.CommissionModel`
`fixed_commission_model.FixedCommissionModel`	Naive commission model which always charges the same commission.
`bps_trade_value_commission_model.BpsTradeValueCommissionModel`	Commission model which uses fixed bps rate for trade value.
`ib_commission_model.IBCommissionModel`	Interactive Brokers commission for a transaction.

`base.Slippage`	Base class for slippage models.
`fixed_slippage.FixedSlippage`	Slippage which always adds (or subtracts if short sale) certain absolute amount of money to the price.
`price_based_slippage.PriceBasedSlippage`	Calculates the slippage by using some fixed fraction of the current securities’ price (e.g.
`square_root_market_impact_slippage.SquareRootMarketImpactSlippage`	Slippage based on the square-root formula for market impact modelling.

`backtest_summary.BacktestSummaryElement`	Class containing a summary of the performed backtest.
`fast_alpha_models_tester.FastAlphaModelTester`	ModelTester in which portfolio construction is simulated by always following the suggested Exposures from AlphaModels.
`initial_risk_stats.InitialRiskStatsFactory`
`scenarios_generator.ScenariosGenerator`	Class used for generating different scenarios for Trades.

`abstract_monitor.AbstractMonitor`	AbstractMonitor is a class providing an interface for all inherited Monitor classes (live, historic, custom, etc).
`backtest_monitor.BacktestMonitor`	This Monitor will be used to monitor backtest run from the script.
`backtest_result.BacktestResult`	BacktestResult is a class providing simple data model containing information about the backtest: for example it contains a portfolio with its timeseries and trades.

`execution_style.ExecutionStyle`
`execution_style.MarketOrder`
`execution_style.MarketOnCloseOrder`
`execution_style.StopOrder`
`order_factory.OrderFactory`	Creates Orders.
`order.Order`	Order generated by a strategy, then processed by PositionSizer.
`time_in_force.TimeInForce`	An enumeration.

`orders_filter.OrdersFilter`	Adjusts final orders list to meet various requirements e.g.
`volume_orders_filter.VolumeOrdersFilter`	Verifies whether the orders sizes do not exceed the given volume limit.

`portfolio.Portfolio`
`backtest_position.BacktestPosition`
`backtest_equity_position.BacktestEquityPosition`
`backtest_crypto_position.BacktestCryptoPosition`
`backtest_future_position.BacktestFuturePosition`
`trade.Trade`	Trade is a logical unit representing getting exposure to the market (long or short) finished by closing the position.
`transaction.Transaction`	Encapsulates the notion of a filled Order, as returned from a Brokerage.

`position_sizer.PositionSizer`	The PositionSizer abstract class converts signals to orders with size specified.
`simple_position_sizer.SimplePositionSizer`	This SimplePositionSizer converts signals to orders which are the size of 100% of the current portfolio value
`initial_risk_position_sizer.InitialRiskPositionSizer`	This PositionSizer converts signals to orders using Initial Risk value that is predefined in the position sizer.
`initial_risk_with_volume_position_sizer.InitialRiskWithVolumePositionSizer`	Variant of initial risk position sizer, which additionally controls the target size based on the mean daily volume.
`fixed_portfolio_percentage_position_sizer.FixedPortfolioPercentagePositionSizer`	This PositionSizer converts signals to orders using Fixed Percentage value.

`signal.Signal`	Objects of this class are used in the portfolio construction process.
`signals_register.SignalsRegister`	Used to save signals processed by the Position Sizer and to be able to later to analyze all signals generated by the model and to present them in a readable form.
`backtest_signals_register.BacktestSignalsRegister`	In memory implementation of Signals Register.

`abstract_strategy.AbstractStrategy`	Basic interface used to create a generic strategy.
`alpha_model_strategy.AlphaModelStrategy`	Puts together models and all settings around it and generates orders on before market open.

`trading_session.TradingSession`	Base class for all Trading Sessions.
`backtest_trading_session.BacktestTradingSession`	Encapsulates the settings and components for carrying out a backtest session.
`backtest_trading_session_builder.BacktestTradingSessionBuilder`	Class used to build a Trading Session with all necessary elements, connections and dependencies.