QuantCode

Quant research and backtesting system

Installation

Requires pandas, numpy, and matplotlib

Source setup in every new session

source setup.sh

Run a backtest

1. Define backtest in config file, e.g. backtests/buynhold/buynhold_cfg.py

2. Choose symbols, date start and end, trading frequency, price to trade on (open or close)

3. Define a Strategy, Portfolio, and Analyser to backtest on and run with:

python buynhold_cfg.py

Create your own backtest modules

• Strategy class generates signals

  +1 long, -1 short, 0 cash

• Portfolio class generates positions and compute returns

  e.g. define in dollar amount the fractions (weights) of total capital invested in each asset

• Analyser class analyses the performnance of the backtest

  e.g. equity curve, Sharpe ratio, etc.