Skip to content

Latest commit

 

History

History
35 lines (23 loc) · 885 Bytes

README.md

File metadata and controls

35 lines (23 loc) · 885 Bytes
Raw

strategy-backtesting

This is a simple framework to backtest different investment strategies.

Currently, it supports 4 strategies:

  1. Simple rebalancing
  2. Moving average crossover
  3. Mean reversion
  4. Pair trading

The detailed explanations of each algorithm is included in the code.

How to use

This backtesting program utilizes command line options.

5 options are required:

  • s : strategy (currently supports rebalance, meanreversion, movingaveragecrossover, pairtrading)
  • f : date from
  • t : date to
  • b : initial balance
  • i : tickers

For more information, use -h (help) option.

Example

If I want to backtest pair trading strategy on ExxonMobil(XOM) and Shell(SHEL) from 2022-01-01 to 2022-12-31 with initial the balance of $100,000,000, the command should be:

./strategy_backtesting -s pairtrading -f 2022-01-01 -t 2022-12-31 -b 100000000.0 -i XOM SHEL