Backtest v2

"Magic formula", up to monthly rebalance, long only, desktop app

Business case

Next step in evolution of the backtest, after it turned out that web app form (v1) was too slow at frequencies higher than annual, with no offsetting benefit.

Key features (diffs vs v1)

• supported multiple rebalancing frequencies between one year and one month
• in addition to performance summary for entire backtest period, the app generated complete audit trail with comprehensive portfolio snapshots at every rebalancing period, including ranking scores.

Design highlights (diffs vs v1)

• all of Rails is gone, pure Ruby with CLI, ran on desktop
• instead of simply reading in CSV files, began to pre-process data as a step separate from the simulation and store it in serialized form, which was a precursor to later multi-dimensional database setup.