psae-backtest

Event-driven backtesting engine for PSAE — analogous to Quantopian's Zipline.

Quick start

pip install psae-backtest

psae-backtest run \
  --start 2017-01-20 \
  --end 2021-01-20 \
  --signals data/signals.csv \
  --output results/v1.pkl

Strategy interface

from psae_backtest.strategy.base import BaseStrategy, SimulationContext
from psae.types.events import SentimentSignal

class MyStrategy(BaseStrategy):
    def initialize(self, context): ...
    def handle_signal(self, context, data, signal: SentimentSignal): ...
    def handle_data(self, context, data): ...

License

Apache 2.0