pybacktest

A package for strategy backtesting.

Author: Quants from CUFE (Jinkuo Cui, Shutong Zhang, Xinyi Liu, Zhe Wang, Zenan Zheng)

1-Data

1.1 Data format

1.2 Data import

1.3 Data visualize

2-Signal generation

2.1 Factor Analysis structure

2.2 Arbitrage structure

2.3 Market making structure and order book simulation

2.4 Signal generated by other method (from other repository API like sklearn, etc.)

2.5 Other signal structure

2.6 flexible expansion

3-Backtesting

3.1 Simple Backtesting

3.2 Leverage, transaction fee and other fee

3.3 Stop condition

3.4 Metrics

3.5 Backtesting graphs

3.6 flexible expansion

4-Systematic Backtesting (Integration of above)

5-UI or server