-

main.py

@@ -0,0 +1,46 @@
+from typing import List
+
+from internal_types.types import Instrument, Position, SecurityType
+from strategy.buy_and_hold import BuyAndHold
+from strategy.strategy import Strategy
+from strategy.turtle_system_1 import TurtleSystem1
+from trading_gateway.trading_gateway import BacktestGateway, TradingGateway
+from utils.utils import log_sharpe_ratio, simple_sharpe_ratio
+
+
+def main():
+  trading_gateway: TradingGateway = \
+    BacktestGateway('./csv/qqq_2023_02_01_15_min.csv', '2024-01-01', '2025-01-01')
+  instr = Instrument('QQQ', SecurityType.EQUITY, 1)
+  initial_balance = 1_000_000
+  # strategy: Strategy = BuyAndHold(initial_balance, instr)
+  strategy: Strategy = TurtleSystem1(initial_balance, instr)
+  balance_history: List[float] = []
+
+  # todo: use asyncio to run multiple strategies concurrently
+  for quote in trading_gateway.next_quote():
+    balance = strategy.net_liquid_value(quote.close)
+    balance_history.append(balance)
+
+    if balance <= 0:
+      break
+
+    strategy.process_quote(quote)
+
+    # todo: handle strategy that trades multiple symbols
+    pos_diff = strategy.desired_position() - strategy.curr_position()
+
+    if pos_diff:
+      # todo: order should be filled async
+      # trading_gateway.submit_order(pos_diff)
+      strategy.order_filled(Position(instr, quantity=pos_diff, price=quote.close))
+
+  interval_sec = 15 * 60  # 15 minutes
+  print(round(simple_sharpe_ratio(balance_history, interval_sec), 4))
+  print(round(log_sharpe_ratio(balance_history, interval_sec), 4))
+  print(round(balance_history[-1] / initial_balance - 1, 4) * 100, '%')
+
+
+if __name__ == '__main__':
+  # todo: asyncio
+  main()