search

enzoampil / fastquant

fastquant — Backtest and optimize your ML trading strategies with only 3 lines of code!
MIT License
1.48k stars 236 forks source link

[FEATURE] Portfolio backtesting support #101

Open enzoampil opened 4 years ago

enzoampil commented 4 years ago

Currently, we only support backtesting for a specific stock over time. Much better for industry practitioners if we can backtest a whole portfolio with weights over time.

enzoampil commented 3 years ago

This should also be able to support strategies that automatically "shift weights", like Markowitz potfolio optimization (sample reference).

Basic Markowitz implementation here by @jpdeleon and @benjamincabalona1029 .

Multi-asset ranking and rebalancing approach to backtrader sample reference