kernc/backtesting.py

Support for backtesting multi-assets strategy

sgc109 opened this issue · 4 comments

sgc109 commented

Expected Behavior

I want to backtest asset allocation strategies consisting of multiple assets such as HAA, VAA, BAA, ...

Actual Behavior

I seems like only supports backtesting individual asset at a time.

Steps to Reproduce

Additional info

BradKML commented

I wonder what kind of multi-asset strategies are out there? Other than that please also check #1105

s-kust commented

You may want to take a look at https://github.com/s-kust/python-backtesting-template/

You can easily run backtests of your strategy for several (or several dozen) tickers simultaneously. The results of these backtests are combined and saved in the output.xlsx file.

BradKML commented

@s-kust what about asset pair juggling, are there ways around it?

s-kust commented

are there ways around it?

Not yet