/backest-portfolio

Jupyter Python notebook to backtest a portfolio, with option to rebalance yearly

Primary LanguageJupyter NotebookMIT LicenseMIT

Portfolio Backtester

Simple backtesting of portfolio with option to rebalance holdings yearly

Description

A Jupyter Notebook that allows you to define a stock portfolio, assigning percentages to each holding. Backtests the portfolio and compares with a benchmark. Optionally re-balance the holdings yearly.

Getting Started

Dependencies

  • Python 3.x
  • Jupyter (jupyter-core: 4.6.1+ / jupyter-notebook: 6.0.3+ / jupyter-lab: 1.2.6)
    • pandas 1.0.1+
    • pandas-datareader 0.8.1+

Installing

  • Clone this project locally

  • With Anaconda

    • Install Anaconda 3.8+ (anaconda.org)
      • Install pandas-datareader. From the Terminal:
        • conda install pandas-datareader

  • Alternatively, without Anaconda

    • Install Python 3.x
    • python -m pip install --user pipenv # Install virtualenv

Executing program

  • With Anaconda

    • Launch "Anaconda-Navigator"
    • Launch "JupyterLab" from the Anaconda Navigator front page.
    • Open Backtest.ipynb
    • Run All Cells

  • Without Anaconda

    • python -m pipenv run jupyter notebook Backtest.ipynb # Activate virtualenv
    • Run All Cells

Help

  • Modify the portfolio and date range to customize
  • If a stock is not avalable on Yahoo Finance, will get an exception

Authors

  • ajitn

Version History

  • 0.1
    • Initial Release

License

This project is licensed under the MIT License - see the LICENSE file for details

Acknowledgments

  • Uses Yahoo Finance to get historical data