Conduct a strategy optimization
You have an SMA-based signal strategy to trade stocks. However, you are not sure what lookback period to use for calculating the SMA that can optimize the strategy performance. You plan to run multiple backtests on different input parameters. Also, you want the capability to assess the strategy on trading different stocks or based on different historical periods.
The bt package has been imported for you. Also, the historical price data of the Tesla stock has been preloaded in price_data.
Questo esercizio fa parte del corso
Financial Trading in Python
Esercizio pratico interattivo
Prova a risolvere questo esercizio completando il codice di esempio.
def signal_strategy(price_data, period, name):
# Calculate SMA
sma = price_data.____
# Define the signal-based Strategy
bt_strategy = bt.Strategy(name,
[____,
bt.algos.WeighEqually(),
bt.algos.Rebalance()])
# Return the backtest
return ____(bt_strategy, price_data)