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