yauber-backtester
Yet Another Universal Backtesting Engine Release (YAUBER) - Backtester
Description
yauber-backtester is bare-bone portfolio backtesting engine that:
- supports various portfolio management techniques: asset ranking, basket trading, portfolio rebalancing, etc.
- intended to work on large asset universes (like 2000-3000 US Stocks EOD), or small intraday asset universes (like futures or forex, 1h timeframe).
- supports meta-strategies, building and managing a portfolio of other trading strategies
- allows simulating capital allocations, costs, margin trading, etc.
Limitations
- This backtester is designed to trade only at regular prices, like close, next bar open, or next vwap price. This is a fundamental design principle, that allows fancy portfolio management logic, and simplifies trading strategy code.
- This backtester will remain bare-bone core without any advanced features like optimization, advanced reporting, data feeds and order management part. I don't have plans to open-source these modules. However, you can hire me and I can implement a customized version that fits your needs.
Examples and documentation
Please follow the documentation strings and comments in the code and notebooks.
You can use Jupyter notebooks to develop and backtest trading strategies, here some examples:
- Simple strategy (10 assets x 10 years x 1hr intraday)
- Simple strategy (1000 assets x 10 years x Daily)
- Meta-strategy of two Long and Short simple strategies
Author
Aleksandr Vedeneev 2018 i@alexveden.com
MIT Licence