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A minimalist backtesting program for event-driven strategies

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BackTest

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.

Files

  • 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.

Citation

Sibo Liu, BackTest, 2022, GitHub repository, https://github.com/siboso/BackTest

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