/sector-rotation

backtest engine

Primary LanguagePython

Backtest-Engine-in-progress

backtest engine designed to run fund selection / sector rotation

modules of the system

  • data_loader: clean the data source and store the result in the parquet format
  • factor: sort the selected fund based on some signals
  • market: response query with daily return value
  • strategy: primarily stop loss and stop gain
  • portfolio: data structure that hold funds data for a period of time
  • rebalance: call factor periodically to change the portfoilio holdings
  • backtest: iteratively call methods to update portfolio
  • analysis: draw result graph and output the metrics