yarro-s/portosim

PortoSim - a lightweight backtesting framework for Java

PortoSim - a lightweight backtesting framework for Java

PortoSim allows you to backtest asset portfolios with pre-built or custom strategies

Quickstart

Find the full sample here.

First load prices from a CSV file

var sp500GoldMonthlyCSV = "sp500_gold_3yr_monthly.csv";
var prices = new CSVPriceSource(new FileReader(sp500GoldMonthlyCSV));

Then define a fixed allocation 70% stocks / 30% gold portfolio

var fixedAlloc = new FixedAllocation(Map.of("SP500TR", 0.7, "GOLD", 0.3));

Build a backtest with a rebalancing period of one year

var result = Backtest.withStrategy(fixedAlloc)
                .setRebalancePeriod(ChronoUnit.YEARS)   // rebalance every year
                .run(prices);   // test on the historic prices

Get the total return (120.26%)

System.out.println("Total return is " + result.full().totalReturn());