pyalloq-backtest
pyalloq-backtest provides zero-lookahead historical simulation engines, rolling window splitters, transaction cost modeling, and quantitative performance metrics for PyAlloq.
Key Modules
BacktestEngine: Executes walk-forward strategy evaluation with periodic rebalancing, transaction cost deduction, and turnover tracking.splitters: Provides time-series train/test splitters and expanding/rolling window generators for cross-validation.costs: Transaction cost functions (linear bps costs, fixed fee per trade, slippage models).metrics: Comprehensive performance metrics including Sharpe ratio, Sortino ratio, Max Drawdown, CAGR, Annualized Volatility, and Turnover.
Quick Example
from pyalloq_backtest.engine import BacktestEngine
from pyalloq_backtest.costs import linear_cost
# Initialize zero-lookahead backtest engine
engine = BacktestEngine(
rebalance_frequency=21, # Monthly rebalancing (21 trading days)
cost_model=linear_cost(bps=10.0) # 10 bps transaction cost
)
# Run historical simulation on MarketData and StrategyPipeline
# results = engine.run(market_data, strategy_pipeline)
1 maintainer
Metadata
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Release files for pyalloq-backtest 0.1.19
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