Vectorised Backtesting

Vectorised Backtesting is a compact, execution aware backtesting and portfolio optimisation toolkit for systematic strategies, spanning single asset positions, multi asset weights, trade and cash accounting, and constrained optimisation.

Core capabilities:

• single asset positions backtesting
• multi asset weights backtesting
• cash and share accounting backtesting
• optimiser tools

Quickstart

pip install -e .

Requires numpy and pandas. Optional constrained optimisation:

pip install "vectorised-backtesting[optim]"

from vectorised_backtesting import backtest_weights

result = backtest_weights(prices, target_weights, lag=1)

Documentation

See DOCS.md for the full reference and design notes.

Examples

See examples/examples.ipynb for the examples notebook.

Development

Run tests:

pytest