Project: A minimalist backtesting program for event-driven strategies
Updated Date: 2022.04.16
Author: Sibo Liu
Description: This repository contions a program to illustrate the process of backtesting for event-driven stategies. This program is implemented in R with a minimal set of packages. A example and related sample files are provided in this repository.
- backtest.r: the main program to implement the backtesting for a specific event-driven stategy.
- func: some essential functions for figures and performance measures.
- table: data folder for the file for stock returns, the list of events, outputs, and transaction list.
Sibo Liu, BackTest, 2022, GitHub repository, https://github.com/siboso/BackTest