portfolio-backtest 0.1.0

portfolio-backtest is a python library for backtest portfolio asset allocation on Python 3.7 and above.

portfolio-backtest

portfolio-backtest is a python library for backtest portfolio asset allocation on Python 3.7 and above.

Installation

$ pip install portfolio-backtest

Usage

basic run

from portfolio_backtest import Backtest

Backtest(tickers=["VTI", "AGG", "GLD"]).run()

advanced run

from portfolio_backtest import Backtest

Backtest(
    tickers={
        "VTI": 0.6,
        "AGG": 0.25,
        "GLD": 0.15,
    },
    target_return=0.1,
    target_cvar=0.025,
    data_dir="data",
    start="2011-04-10",
    end="2021-04-10",
).run()

Supported Portfolio

• Your Portfolio
• Hierarchical Risk Parity (HRP) Portfolio
• Tangency Portfolio
• Minimum Variance Portfolio
• Minimum CVaR Portfolio
• Semi Variance Portfolio
• Return Maximize CVaR Portfolio