shadab4150/backtest_notebooks

backtest-reference-code

This is the repository that contains the code for model backtesting and validation.

Key Features

• The Futures data of SP500 is used for the backtest.
• Rolling statistics are included to measure the robustness of the returns.
• Includes Stop Loss statistics: percentage hit and consecutive SL hits.

Repository structure

The file structure of this repository is as follows:

backtest-reference-code
│   README.md
│   requirements.txt
│   sample_backtest.ipynb
|   sample_strategy_ibs.ipynb
└───utils
    │   backtest_utils.py