ART Investment-Strategy-Backtester:

Introduction

Welcome to Investment-Strategy-Backtester, a robust open-source library designed to aid in the crafting and evaluation of investment strategies. Built, maintained and used by Alpha Rho Technologies LLC.

Features

• Versatility: Backtest any investment strategy, whether traditional or unconventional.
• Flexibility: Test across a range of timeframes, from intraday to multi-year spans.
• Precision: Incorporate transaction costs for realistic and accurate simulation results.

Setup

1. Prerequisites:

   • Python 3.6 or higher.

   pip install pandas
   pip install datetime
   pip install numpy

2. Clone the Repository:

   git clone https://github.com/Alpha-Rho-Technologies/invbt
   

3. Navigate to the cloned directory:

   cd path_to_directory

How to use:

Step 1: Obtain Asset Price Data in CSV Format

• File Structure: Ensure your downloaded data is structured in a table with with dates utilized as the index column and respective asset prices presented in subsequent columns.
• Content: The table should encapsulate the historical price data for all portfolio assets, facilitating accurate and comprehensive backtesting.

Note: Ensure the data frequency (e.g., daily, monthly) aligns with your backtesting objectives.

Step 2: Create a Weightings CSV

• File Structure: Construct a CSV file wherein the first column enumerates the assets and subsequent columns represent rebalance dates.
• Content: Populate the table cells with the corresponding asset weight on each rebalance date.

Note: If needed, refer to the sample files located within the repository's files folder, for further guidance.

Step 3: Organize Repository Files

• Place the prepared files into the files folder within the repository, adhering to the following naming conventions:
  • Portfolio asset data: apd.csv
  • Portfolio weightings at rebalance dates: portfolios.csv

Step 4: Execute the Backtest Script

• Initiate the backtesting process by running example.ipynb using a Jupyter Notebook interface.

Note: Ensure your working directory is set to the repository location to avoid file path issues.

Support

For any queries or issues, please raise an issue in this repository or contact contact@alpharhotech.com.