backtesting.rst

backtesting

qf_lib.backtesting

alpha_model

qf_lib.backtesting.alpha_model

alpha_model.AlphaModel futures_model.FuturesModel

contract

qf_lib.backtesting.contract

contract_to_ticker_conversion.base.ContractTickerMapper contract_to_ticker_conversion.simulated_contract_ticker_mapper.SimulatedContractTickerMapper contract_to_ticker_conversion.ib_contract_ticker_mapper.IBContractTickerMapper

data_handler

qf_lib.backtesting.data_handler

data_handler.DataHandler daily_data_handler.DailyDataHandler intraday_data_handler.IntradayDataHandler

events

qf_lib.backtesting.events.time_event

time_event.TimeEvent regular_time_event.regular_time_event.RegularTimeEvent regular_time_event.daily_market_event.RegularMarketEvent regular_time_event.after_market_close_event.AfterMarketCloseEvent regular_time_event.before_market_open_event.BeforeMarketOpenEvent regular_time_event.market_close_event.MarketCloseEvent regular_time_event.market_open_event.MarketOpenEvent regular_time_event.calculate_and_place_orders_event.CalculateAndPlaceOrdersRegularEvent

execution_handler

commission_models

qf_lib.backtesting.execution_handler.commission_models

commission_model.CommissionModel fixed_commission_model.FixedCommissionModel bps_trade_value_commission_model.BpsTradeValueCommissionModel ib_commission_model.IBCommissionModel

slippage

qf_lib.backtesting.execution_handler.slippage

base.Slippage fixed_slippage.FixedSlippage price_based_slippage.PriceBasedSlippage square_root_market_impact_slippage.SquareRootMarketImpactSlippage

fast_alpha_model_tester

qf_lib.backtesting.fast_alpha_model_tester

backtest_summary.BacktestSummaryElement fast_alpha_models_tester.FastAlphaModelTester initial_risk_stats.InitialRiskStatsFactory scenarios_generator.ScenariosGenerator

monitoring

qf_lib.backtesting.monitoring

abstract_monitor.AbstractMonitor backtest_monitor.BacktestMonitor backtest_result.BacktestResult

order

qf_lib.backtesting.order

execution_style.ExecutionStyle execution_style.MarketOrder execution_style.MarketOnCloseOrder execution_style.StopOrder order_factory.OrderFactory order.Order time_in_force.TimeInForce

orders_filter

qf_lib.backtesting.orders_filter

orders_filter.OrdersFilter volume_orders_filter.VolumeOrdersFilter

portfolio

qf_lib.backtesting.portfolio

portfolio.Portfolio backtest_position.BacktestPosition backtest_equity_position.BacktestEquityPosition backtest_crypto_position.BacktestCryptoPosition backtest_future_position.BacktestFuturePosition trade.Trade transaction.Transaction

position_sizer

qf_lib.backtesting.position_sizer

position_sizer.PositionSizer simple_position_sizer.SimplePositionSizer initial_risk_position_sizer.InitialRiskPositionSizer initial_risk_with_volume_position_sizer.InitialRiskWithVolumePositionSizer fixed_portfolio_percentage_position_sizer.FixedPortfolioPercentagePositionSizer

signals

qf_lib.backtesting.signals

signal.Signal signals_register.SignalsRegister backtest_signals_register.BacktestSignalsRegister

strategies

qf_lib.backtesting.strategies

abstract_strategy.AbstractStrategy alpha_model_strategy.AlphaModelStrategy signal_generators.OnBeforeMarketOpenSignalGeneration

trading_session

qf_lib.backtesting.trading_session

trading_session.TradingSession backtest_trading_session.BacktestTradingSession backtest_trading_session_builder.BacktestTradingSessionBuilder