projectm2-hermine-delamaire 0.7.3

Create, analyze, and compare backtesting strategies for financial portfolios. Stores backtest results securely on a blockchain.

pybacktestchain

Tool for creating, analyzing, and comparing backtesting strategies for financial portfolios. Stores backtest results securely on a blockchain.

Features

• Backtest Multiple Strategies: Includes Momentum, Mean Reversion, Equal Weight, and First Two Moments.
• Customizable Settings: Adjust rebalancing frequencies (daily, weekly, monthly) and define custom universes of assets.
• Performance Metrics: Evaluate portfolios with metrics like Annualized Returns, Volatility, Sharpe Ratio, and Max Drawdown.
• User-Friendly CLI: Easily execute backtests through the command-line interface.
• Extensible Framework: Add new strategies, metrics, or features with minimal effort.
• Secure Blockchain Storage: Store and verify your backtests using blockchain technology.

Installation

$ pip install pybacktestchain

Usage

• Run backtest via CLI
• Add your custom strategy; extend the framework by:
  1. Creating a new class inheriting from {Information}.
  2. Implementing the {compute_portfolio} and {compute_information} methods.
  3. Registering your strategy in the CLI's {strategy_map}.

Know Issues

• While the framework supports multiple strategies (e.g., Momentum, Mean Reversion), not all strategies produced valid backtest results.
• Data inconsistencies or edge cases in the portfolio allocation logic may be the reason behind.
• Future improvements could address these by debugging specific strategy implementation.

Contributing

Interested in contributing? Check out the contributing guidelines. Please note that this project is released with a Code of Conduct. By contributing to this project, you agree to abide by its terms.

License

pybacktestchain was created by Juan F. Imbet. It is licensed under the terms of the MIT license.

Credits

pybacktestchain was created with cookiecutter and the py-pkgs-cookiecutter template.