was deployed to Heroku, decommissioned as of 2019

Backtest v1

"Magic formula", annual rebalance, long only, web app

Business case

Full replication of Joel Greenblatt's "Magic Formula" strategy, built over several weekends as a hobby project.

And from another angle, this was my first crack at OOP.

Key features

• high-fidelity implementation of the strategy since 1994
• true portfolio simulation with buy/sell transactions, granular accounting for all positions and cash, and proper handling of takeouts/delistings
• annual rebalancing
• user could select market cap interval, concentration and test period
• dataset encompassing 9,931 stocks, accounting for survivorship bias.

Design highlights

(for readers unfamiliar with Rails, business code that I wrote is in app/models, tests are in spec, and views in app/views; most of the rest is generic Rails infrastructure)

• highly developed object-oriented abstraction of stock selection and trading process
• in retrospect, this was of course very suboptimal from performance viewpoint, but it was tolerable for annual rebalance, and learning OOP was a much higher priority than speed
• full test coverage, including fabricators for stock prices.