Base Strategy Class for Backtesting Framework
Date: 27-02-2024 & 01-04-2024
This documentation outlines the base class for all trading strategies in the Qlib framework. It provides a comprehensive suite of tools for data management, signal generation, risk management, and much more, facilitating rigorous and detailed backtesting of trading strategies.
Base Strategy Class
The BaseStrategy class is an abstract base class for all trading strategies, providing shared utilities and structure.
Constructor
Initializes the strategy with configuration and optional parameters.
| Parameter | Type | Description | Default |
|---|---|---|---|
| config_file_path | str | Path to the configuration JSON file. | None |
| **kwargs | dict | Optional keyword arguments for extra settings. | None |
Key Methods
strategy_load_state
Loads the strategy's state from a file.
| Parameter | Type | Description |
|---|---|---|
| file_name | str | The name of the file to load from. |
strategy_save_state
Saves the strategy's state to a file.
| Parameter | Type | Description |
|---|---|---|
| file_name | str | The name of the file to save to. |
run_simulation
Executes the trading strategy across a defined range of trading dates.
| Parameter | Type | Description |
|---|---|---|
| verbose | bool | Prints detailed logs if set to True. |
preprocess_data
Prepares data for the backtesting process by fetching market data, calculating returns, and more.
Components
The strategy class integrates multiple components from the QuantJP backtesting engine:
- DataManager: Manages data retrieval and preprocessing.
- SignalGenerator: Generates trading signals based on technical indicators.
- RiskManagement: Manages risk and adjusts trading positions accordingly.
- PortfolioOptimizer: Optimizes the portfolio to achieve the best performance based on given constraints.
- PerformanceAnalytics: Analyzes and reports on the performance of the strategy.
Unit Tests
| Test Case | Description |
|---|---|
IDENTIFY_REGIME |
Tests the market regime identification component. |
COMPUTE_INDICATORS |
Tests the computation of technical indicators. |
GENERATE_SIGNALS |
Tests the generation of trading signals. |
PREPROCESS_STRATEGIES |
Tests the preprocessing of strategy parameters. |
PREPROCESS_MARKET_REGIME |
Tests preprocessing of market regime data. |
GENERATE_DAILY_TRANSACTIONS |
Tests the generation of daily transactions. |
CALCULATE_TRANSACTION_COSTS |
Tests the calculation of transaction costs. |
RUN_SIMULATION |
Tests the complete simulation process. |
RUN_STRATEGY |
Tests the execution of the strategy with real data. |
Usage
To run a unit test for identifying the market regime:
```python unit_test = UnitTests.IDENTIFY_REGIME run_unit_test(unit_test)