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<li class="toctree-l2"><a class="reference internal" href="lifecycle_methods.summary.html">Summary</a></li>
<li class="toctree-l2"><a class="reference internal" href="lifecycle_methods.initialize.html">def initialize</a></li>
<li class="toctree-l2"><a class="reference internal" href="lifecycle_methods.on_trading_iteration.html">def on_trading_iteration</a></li>
<li class="toctree-l2"><a class="reference internal" href="lifecycle_methods.before_market_opens.html">def before_market_opens</a></li>
<li class="toctree-l2"><a class="reference internal" href="lifecycle_methods.before_starting_trading.html">def before_starting_trading</a></li>
<li class="toctree-l2"><a class="reference internal" href="lifecycle_methods.before_market_closes.html">def before_market_closes</a></li>
<li class="toctree-l2"><a class="reference internal" href="lifecycle_methods.after_market_closes.html">def after_market_closes</a></li>
<li class="toctree-l2"><a class="reference internal" href="lifecycle_methods.on_abrupt_closing.html">def on_abrupt_closing</a></li>
<li class="toctree-l2"><a class="reference internal" href="lifecycle_methods.on_bot_crash.html">def on_bot_crash</a></li>
<li class="toctree-l2"><a class="reference internal" href="lifecycle_methods.trace_stats.html">def trace_stats</a></li>
<li class="toctree-l2"><a class="reference internal" href="lifecycle_methods.on_new_order.html">def on_new_order</a></li>
<li class="toctree-l2"><a class="reference internal" href="lifecycle_methods.on_partially_filled_order.html">def on_partially_filled_order</a></li>
<li class="toctree-l2"><a class="reference internal" href="lifecycle_methods.on_filled_order.html">def on_filled_order</a></li>
<li class="toctree-l2"><a class="reference internal" href="lifecycle_methods.on_canceled_order.html">def on_canceled_order</a></li>
<li class="toctree-l2"><a class="reference internal" href="lifecycle_methods.on_parameters_updated.html">def on_parameters_updated</a></li>
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<li class="toctree-l3"><a class="reference internal" href="strategy_methods.orders/strategies.strategy.Strategy.create_order.html">self.create_order</a></li>
<li class="toctree-l3"><a class="reference internal" href="strategy_methods.orders/strategies.strategy.Strategy.submit_order.html">self.submit_order</a></li>
<li class="toctree-l3"><a class="reference internal" href="strategy_methods.orders/strategies.strategy.Strategy.submit_orders.html">self.submit_orders</a></li>
<li class="toctree-l3"><a class="reference internal" href="strategy_methods.orders/strategies.strategy.Strategy.cancel_order.html">self.cancel_order</a></li>
<li class="toctree-l3"><a class="reference internal" href="strategy_methods.orders/strategies.strategy.Strategy.cancel_orders.html">self.cancel_orders</a></li>
<li class="toctree-l3"><a class="reference internal" href="strategy_methods.orders/strategies.strategy.Strategy.cancel_open_orders.html">self.cancel_open_orders</a></li>
<li class="toctree-l3"><a class="reference internal" href="strategy_methods.orders/strategies.strategy.Strategy.get_selling_order.html">self.get_selling_order</a></li>
<li class="toctree-l3"><a class="reference internal" href="strategy_methods.orders/strategies.strategy.Strategy.sell_all.html">self.sell_all</a></li>
<li class="toctree-l3"><a class="reference internal" href="strategy_methods.orders/strategies.strategy.Strategy.get_order.html">self.get_order</a></li>
<li class="toctree-l3"><a class="reference internal" href="strategy_methods.orders/strategies.strategy.Strategy.get_orders.html">self.get_orders</a></li>
<li class="toctree-l3"><a class="reference internal" href="strategy_methods.orders/strategies.strategy.Strategy.get_asset_potential_total.html">self.get_asset_potential_total</a></li>
</ul>
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<li class="toctree-l2 has-children"><a class="reference internal" href="strategy_methods.account.html">Account Management</a><input class="toctree-checkbox" id="toctree-checkbox-4" name="toctree-checkbox-4" role="switch" type="checkbox"/><label for="toctree-checkbox-4"><div class="visually-hidden">Toggle navigation of Account Management</div><i class="icon"><svg><use href="#svg-arrow-right"></use></svg></i></label><ul>
<li class="toctree-l3"><a class="reference internal" href="strategy_methods.account/strategies.strategy.Strategy.get_portfolio_value.html">self.get_portfolio_value</a></li>
<li class="toctree-l3"><a class="reference internal" href="strategy_methods.account/strategies.strategy.Strategy.get_cash.html">self.get_cash</a></li>
<li class="toctree-l3"><a class="reference internal" href="strategy_methods.account/strategies.strategy.Strategy.get_position.html">self.get_position</a></li>
<li class="toctree-l3"><a class="reference internal" href="strategy_methods.account/strategies.strategy.Strategy.get_positions.html">self.get_positions</a></li>
</ul>
</li>
<li class="toctree-l2 has-children"><a class="reference internal" href="strategy_methods.data.html">Data</a><input class="toctree-checkbox" id="toctree-checkbox-5" name="toctree-checkbox-5" role="switch" type="checkbox"/><label for="toctree-checkbox-5"><div class="visually-hidden">Toggle navigation of Data</div><i class="icon"><svg><use href="#svg-arrow-right"></use></svg></i></label><ul>
<li class="toctree-l3"><a class="reference internal" href="strategy_methods.data/lumibot.strategies.strategy.Strategy.get_last_price.html">self.get_last_price</a></li>
<li class="toctree-l3"><a class="reference internal" href="strategy_methods.data/lumibot.strategies.strategy.Strategy.get_last_prices.html">self.get_last_prices</a></li>
<li class="toctree-l3"><a class="reference internal" href="strategy_methods.data/lumibot.strategies.strategy.Strategy.get_historical_prices.html">self.get_historical_prices</a></li>
<li class="toctree-l3"><a class="reference internal" href="strategy_methods.data/lumibot.strategies.strategy.Strategy.get_historical_prices_for_assets.html">self.get_historical_prices_for_assets</a></li>
<li class="toctree-l3"><a class="reference internal" href="strategy_methods.data/lumibot.strategies.strategy.Strategy.get_quote.html">self.get_quote</a></li>
<li class="toctree-l3"><a class="reference internal" href="strategy_methods.data/lumibot.strategies.strategy.Strategy.get_yesterday_dividend.html">self.get_yesterday_dividend</a></li>
<li class="toctree-l3"><a class="reference internal" href="strategy_methods.data/lumibot.strategies.strategy.Strategy.get_next_trading_day.html">self.get_next_trading_day</a></li>
</ul>
</li>
<li class="toctree-l2 has-children"><a class="reference internal" href="strategy_methods.chart.html">Chart Functions</a><input class="toctree-checkbox" id="toctree-checkbox-6" name="toctree-checkbox-6" role="switch" type="checkbox"/><label for="toctree-checkbox-6"><div class="visually-hidden">Toggle navigation of Chart Functions</div><i class="icon"><svg><use href="#svg-arrow-right"></use></svg></i></label><ul>
<li class="toctree-l3"><a class="reference internal" href="strategy_methods.chart/strategies.strategy.Strategy.add_marker.html">self.add_marker</a></li>
<li class="toctree-l3"><a class="reference internal" href="strategy_methods.chart/strategies.strategy.Strategy.add_line.html">self.add_line</a></li>
<li class="toctree-l3"><a class="reference internal" href="strategy_methods.chart/strategies.strategy.Strategy.get_markers_df.html">self.get_markers_df</a></li>
<li class="toctree-l3"><a class="reference internal" href="strategy_methods.chart/strategies.strategy.Strategy.get_lines_df.html">self.get_lines_df</a></li>
</ul>
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<section id="backtesting-function">
<h1>Backtesting Function<a class="headerlink" href="#backtesting-function" title="Link to this heading">#</a></h1>
<p>Here is a description of the backtest function and all of its parameters. This is true for any kind of backtesting that you will be doing.</p>
<dl class="py function">
<dt class="sig sig-object py" id="strategies.strategy.Strategy.backtest">
<span class="sig-prename descclassname"><span class="pre">strategies.strategy.Strategy.</span></span><span class="sig-name descname"><span class="pre">backtest</span></span><span class="sig-paren">(</span><em class="sig-param"><span class="o"><span class="pre">*</span></span><span class="n"><span class="pre">args</span></span></em>, <em class="sig-param"><span class="n"><span class="pre">minutes_before_closing</span></span><span class="o"><span class="pre">=</span></span><span class="default_value"><span class="pre">1</span></span></em>, <em class="sig-param"><span class="n"><span class="pre">minutes_before_opening</span></span><span class="o"><span class="pre">=</span></span><span class="default_value"><span class="pre">60</span></span></em>, <em class="sig-param"><span class="n"><span class="pre">sleeptime</span></span><span class="o"><span class="pre">=</span></span><span class="default_value"><span class="pre">1</span></span></em>, <em class="sig-param"><span class="n"><span class="pre">stats_file</span></span><span class="o"><span class="pre">=</span></span><span class="default_value"><span class="pre">None</span></span></em>, <em class="sig-param"><span class="n"><span class="pre">risk_free_rate</span></span><span class="o"><span class="pre">=</span></span><span class="default_value"><span class="pre">None</span></span></em>, <em class="sig-param"><span class="n"><span class="pre">logfile</span></span><span class="o"><span class="pre">=</span></span><span class="default_value"><span class="pre">None</span></span></em>, <em class="sig-param"><span class="n"><span class="pre">config</span></span><span class="o"><span class="pre">=</span></span><span class="default_value"><span class="pre">None</span></span></em>, <em class="sig-param"><span class="n"><span class="pre">auto_adjust</span></span><span class="o"><span class="pre">=</span></span><span class="default_value"><span class="pre">False</span></span></em>, <em class="sig-param"><span class="n"><span class="pre">name</span></span><span class="o"><span class="pre">=</span></span><span class="default_value"><span class="pre">None</span></span></em>, <em class="sig-param"><span class="n"><span class="pre">budget</span></span><span class="o"><span class="pre">=</span></span><span class="default_value"><span class="pre">None</span></span></em>, <em class="sig-param"><span class="n"><span class="pre">benchmark_asset</span></span><span class="o"><span class="pre">=</span></span><span class="default_value"><span class="pre">'SPY'</span></span></em>, <em class="sig-param"><span class="n"><span class="pre">plot_file_html</span></span><span class="o"><span class="pre">=</span></span><span class="default_value"><span class="pre">None</span></span></em>, <em class="sig-param"><span class="n"><span class="pre">trades_file</span></span><span class="o"><span class="pre">=</span></span><span class="default_value"><span class="pre">None</span></span></em>, <em class="sig-param"><span class="n"><span class="pre">settings_file</span></span><span class="o"><span class="pre">=</span></span><span class="default_value"><span class="pre">None</span></span></em>, <em class="sig-param"><span class="n"><span class="pre">pandas_data</span></span><span class="o"><span class="pre">=</span></span><span class="default_value"><span class="pre">None</span></span></em>, <em class="sig-param"><span class="n"><span class="pre">quote_asset</span></span><span class="o"><span class="pre">=</span></span><span class="default_value"><span class="pre">USD</span></span></em>, <em class="sig-param"><span class="n"><span class="pre">starting_positions</span></span><span class="o"><span class="pre">=</span></span><span class="default_value"><span class="pre">None</span></span></em>, <em class="sig-param"><span class="n"><span class="pre">show_plot</span></span><span class="o"><span class="pre">=</span></span><span class="default_value"><span class="pre">True</span></span></em>, <em class="sig-param"><span class="n"><span class="pre">tearsheet_file</span></span><span class="o"><span class="pre">=</span></span><span class="default_value"><span class="pre">None</span></span></em>, <em class="sig-param"><span class="n"><span class="pre">save_tearsheet</span></span><span class="o"><span class="pre">=</span></span><span class="default_value"><span class="pre">True</span></span></em>, <em class="sig-param"><span class="n"><span class="pre">show_tearsheet</span></span><span class="o"><span class="pre">=</span></span><span class="default_value"><span class="pre">True</span></span></em>, <em class="sig-param"><span class="n"><span class="pre">parameters</span></span><span class="o"><span class="pre">=</span></span><span class="default_value"><span class="pre">{}</span></span></em>, <em class="sig-param"><span class="n"><span class="pre">buy_trading_fees</span></span><span class="o"><span class="pre">=</span></span><span class="default_value"><span class="pre">[]</span></span></em>, <em class="sig-param"><span class="n"><span class="pre">sell_trading_fees</span></span><span class="o"><span class="pre">=</span></span><span class="default_value"><span class="pre">[]</span></span></em>, <em class="sig-param"><span class="n"><span class="pre">api_key</span></span><span class="o"><span class="pre">=</span></span><span class="default_value"><span class="pre">None</span></span></em>, <em class="sig-param"><span class="n"><span class="pre">polygon_api_key</span></span><span class="o"><span class="pre">=</span></span><span class="default_value"><span class="pre">None</span></span></em>, <em class="sig-param"><span class="n"><span class="pre">polygon_has_paid_subscription</span></span><span class="o"><span class="pre">=</span></span><span class="default_value"><span class="pre">None</span></span></em>, <em class="sig-param"><span class="n"><span class="pre">indicators_file</span></span><span class="o"><span class="pre">=</span></span><span class="default_value"><span class="pre">None</span></span></em>, <em class="sig-param"><span class="n"><span class="pre">show_indicators</span></span><span class="o"><span class="pre">=</span></span><span class="default_value"><span class="pre">True</span></span></em>, <em class="sig-param"><span class="n"><span class="pre">save_logfile</span></span><span class="o"><span class="pre">=</span></span><span class="default_value"><span class="pre">False</span></span></em>, <em class="sig-param"><span class="o"><span class="pre">**</span></span><span class="n"><span class="pre">kwargs</span></span></em><span class="sig-paren">)</span><a class="headerlink" href="#strategies.strategy.Strategy.backtest" title="Link to this definition">#</a></dt>
<dd><p>Backtest a strategy.</p>
<dl class="field-list simple">
<dt class="field-odd">Parameters<span class="colon">:</span></dt>
<dd class="field-odd"><ul class="simple">
<li><p><strong>datasource_class</strong> (<em>class</em>) – The datasource class to use. For example, if you want to use the yahoo finance datasource, then you
would pass YahooDataBacktesting as the datasource_class.</p></li>
<li><p><strong>backtesting_start</strong> (<em>datetime</em>) – The start date of the backtesting period.</p></li>
<li><p><strong>backtesting_end</strong> (<em>datetime</em>) – The end date of the backtesting period.</p></li>
<li><p><strong>minutes_before_closing</strong> (<em>int</em>) – The number of minutes before closing that the minutes_before_closing strategy method will be called.</p></li>
<li><p><strong>minutes_before_opening</strong> (<em>int</em>) – The number of minutes before opening that the minutes_before_opening strategy method will be called.</p></li>
<li><p><strong>sleeptime</strong> (<em>int</em>) – The number of seconds to sleep between each iteration of the backtest.</p></li>
<li><p><strong>stats_file</strong> (<em>str</em>) – The file to write the stats to.</p></li>
<li><p><strong>risk_free_rate</strong> (<em>float</em>) – The risk free rate to use.</p></li>
<li><p><strong>logfile</strong> (<em>str</em>) – The file to write the log to.</p></li>
<li><p><strong>config</strong> (<em>dict</em>) – The config to use to set up the brokers in live trading.</p></li>
<li><p><strong>auto_adjust</strong> (<em>bool</em>) – Whether or not to automatically adjust the strategy.</p></li>
<li><p><strong>name</strong> (<em>str</em>) – The name of the strategy.</p></li>
<li><p><strong>budget</strong> (<em>float</em>) – The initial budget to use for the backtest.</p></li>
<li><p><strong>benchmark_asset</strong> (<em>str</em><em> or </em><a class="reference internal" href="entities.asset.html#entities.asset.Asset" title="entities.asset.Asset"><em>Asset</em></a>) – The benchmark asset to use for the backtest to compare to. If it is a string then it will be converted
to a stock Asset object.</p></li>
<li><p><strong>plot_file_html</strong> (<em>str</em>) – The file to write the plot html to.</p></li>
<li><p><strong>trades_file</strong> (<em>str</em>) – The file to write the trades to.</p></li>
<li><p><strong>pandas_data</strong> (<em>list</em>) – A list of Data objects that are used when the datasource_class object is set to PandasDataBacktesting.
This contains all the data that will be used in backtesting.</p></li>
<li><p><strong>quote_asset</strong> (<a class="reference internal" href="entities.asset.html#entities.asset.Asset" title="entities.asset.Asset"><em>Asset</em></a><em> (</em><em>crypto</em><em>)</em>) – An Asset object for the crypto currency that will get used
as a valuation asset for measuring overall porfolio values.
Usually USDT, USD, USDC.</p></li>
<li><p><strong>starting_positions</strong> (<em>dict</em>) – A dictionary of starting positions for each asset. For example,
if you want to start with $100 of SPY, and $200 of AAPL, then you
would pass in starting_positions={‘SPY’: 100, ‘AAPL’: 200}.</p></li>
<li><p><strong>show_plot</strong> (<em>bool</em>) – Whether to show the plot.</p></li>
<li><p><strong>show_tearsheet</strong> (<em>bool</em>) – Whether to show the tearsheet.</p></li>
<li><p><strong>save_tearsheet</strong> (<em>bool</em>) – Whether to save the tearsheet.</p></li>
<li><p><strong>parameters</strong> (<em>dict</em>) – A dictionary of parameters to pass to the strategy. These parameters
must be set up within the initialize() method.</p></li>
<li><p><strong>buy_trading_fees</strong> (<em>list</em><em> of </em><em>TradingFee objects</em>) – A list of TradingFee objects to apply to the buy orders during backtests.</p></li>
<li><p><strong>sell_trading_fees</strong> (<em>list</em><em> of </em><em>TradingFee objects</em>) – A list of TradingFee objects to apply to the sell orders during backtests.</p></li>
<li><p><strong>api_key</strong> (<em>str</em>) – The polygon api key to use for polygon data. Only required if you are using PolygonDataBacktesting as
the datasource_class.</p></li>
<li><p><strong>polygon_api_key</strong> (<em>str</em>) – The polygon api key to use for polygon data. Only required if you are using PolygonDataBacktesting as
the datasource_class. Depricated, please use ‘api_key’ instead.</p></li>
<li><p><strong>indicators_file</strong> (<em>str</em>) – The file to write the indicators to.</p></li>
<li><p><strong>show_indicators</strong> (<em>bool</em>) – Whether to show the indicators plot.</p></li>
<li><p><strong>save_logfile</strong> (<em>bool</em>) – Whether to save the logs to a file. If True, the logs will be saved to the logs directory. Defaults to False.
Turning on this option will slow down the backtest.</p></li>
</ul>
</dd>
<dt class="field-even">Returns<span class="colon">:</span></dt>
<dd class="field-even"><p><strong>result</strong> – A dictionary of the backtest results. Eg.</p>
</dd>
<dt class="field-odd">Return type<span class="colon">:</span></dt>
<dd class="field-odd"><p>dict</p>
</dd>
</dl>
<p class="rubric">Examples</p>
<div class="doctest highlight-default notranslate"><div class="highlight"><pre><span></span><span class="gp">>>> </span><span class="kn">from</span> <span class="nn">datetime</span> <span class="kn">import</span> <span class="n">datetime</span>
<span class="gp">>>> </span><span class="kn">from</span> <span class="nn">lumibot.backtesting</span> <span class="kn">import</span> <span class="n">YahooDataBacktesting</span>
<span class="gp">>>> </span><span class="kn">from</span> <span class="nn">lumibot.strategies</span> <span class="kn">import</span> <span class="n">Strategy</span>
<span class="gp">>>></span>
<span class="gp">>>> </span><span class="c1"># A simple strategy that buys AAPL on the first day</span>
<span class="gp">>>> </span><span class="k">class</span> <span class="nc">MyStrategy</span><span class="p">(</span><span class="n">Strategy</span><span class="p">):</span>
<span class="gp">>>> </span> <span class="k">def</span> <span class="nf">on_trading_iteration</span><span class="p">(</span><span class="bp">self</span><span class="p">):</span>
<span class="gp">>>> </span> <span class="k">if</span> <span class="bp">self</span><span class="o">.</span><span class="n">first_iteration</span><span class="p">:</span>
<span class="gp">>>> </span> <span class="n">order</span> <span class="o">=</span> <span class="bp">self</span><span class="o">.</span><span class="n">create_order</span><span class="p">(</span><span class="s2">"AAPL"</span><span class="p">,</span> <span class="n">quantity</span><span class="o">=</span><span class="mi">1</span><span class="p">,</span> <span class="n">side</span><span class="o">=</span><span class="s2">"buy"</span><span class="p">)</span>
<span class="gp">>>> </span> <span class="bp">self</span><span class="o">.</span><span class="n">submit_order</span><span class="p">(</span><span class="n">order</span><span class="p">)</span>
<span class="gp">>>></span>
<span class="gp">>>> </span><span class="c1"># Create a backtest</span>
<span class="gp">>>> </span><span class="n">backtesting_start</span> <span class="o">=</span> <span class="n">datetime</span><span class="p">(</span><span class="mi">2018</span><span class="p">,</span> <span class="mi">1</span><span class="p">,</span> <span class="mi">1</span><span class="p">)</span>
<span class="gp">>>> </span><span class="n">backtesting_end</span> <span class="o">=</span> <span class="n">datetime</span><span class="p">(</span><span class="mi">2018</span><span class="p">,</span> <span class="mi">1</span><span class="p">,</span> <span class="mi">31</span><span class="p">)</span>
<span class="gp">>>></span>
<span class="gp">>>> </span><span class="c1"># The benchmark asset to use for the backtest to compare to</span>
<span class="gp">>>> </span><span class="n">benchmark_asset</span> <span class="o">=</span> <span class="n">Asset</span><span class="p">(</span><span class="n">symbol</span><span class="o">=</span><span class="s2">"QQQ"</span><span class="p">,</span> <span class="n">asset_type</span><span class="o">=</span><span class="s2">"stock"</span><span class="p">)</span>
<span class="gp">>>></span>
<span class="gp">>>> </span><span class="n">backtest</span> <span class="o">=</span> <span class="n">MyStrategy</span><span class="o">.</span><span class="n">backtest</span><span class="p">(</span>
<span class="gp">>>> </span> <span class="n">datasource_class</span><span class="o">=</span><span class="n">YahooDataBacktesting</span><span class="p">,</span>
<span class="gp">>>> </span> <span class="n">backtesting_start</span><span class="o">=</span><span class="n">backtesting_start</span><span class="p">,</span>
<span class="gp">>>> </span> <span class="n">backtesting_end</span><span class="o">=</span><span class="n">backtesting_end</span><span class="p">,</span>
<span class="gp">>>> </span> <span class="n">benchmark_asset</span><span class="o">=</span><span class="n">benchmark_asset</span><span class="p">,</span>
<span class="gp">>>> </span><span class="p">)</span>
</pre></div>
</div>
</dd></dl>
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<li><a class="reference internal" href="#">Backtesting Function</a><ul>
<li><a class="reference internal" href="#strategies.strategy.Strategy.backtest"><code class="docutils literal notranslate"><span class="pre">backtest()</span></code></a></li>
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