finds.backtesting.backtesting

Utilities for backtesting

Copyright 2022, Terence Lim

MIT License

finds.backtesting.backtesting.bivariate_sorts(stocks: Stocks, label: str, signals: Signals, rebalbeg: int, rebalend: int, window: int = 0, pct: Tuple[float, float] = (30.0, 70.0), leverage: float = 1.0, months: List[int] = [], minobs: int = 100, minprc: float = 0.0, mincap: float = 0.0, maxdecile: int = 10) → Tuple[Dict, Dict, Dict][source]

Generate monthly time series of holdings by two-way sort procedure

Parameters:

  • stocks – Stocks object for accessing stock returns and price data

  • label – Name of signal to retrieve

  • signals – Call to extract cross section of values for the signal

  • rebalbeg – First rebalance date (YYYYMMDD)

  • rebalend – Last holding date (YYYYMMDD)

  • pct – Percentile breakpoints to sort high, medium and low buckets

  • window – No. of months to look back for signal values; 0 is exact month

  • months – Months (e.g. 6=June) to retrieve univ; empty for all months

  • maxdecile – Include largest stocks decile from 1 through maxdecile

  • mincap – Minimum market cap

  • minobs – Minimum required sample size with non-missing signal values

  • leverage – Multiplier for leverage or shorting

Returns

3-tuple of spread holdings, smb holdings, and subportfolio sizes

Notes:

  • Independent sort by median (NYSE) mkt cap and 30/70 (NYSE) HML percentiles

  • Subportfolios of the intersections are value-weighted;

  • Spread portfolios are equal-weighted of subportfolios

  • Portfolio are resorted every June; and other months’ holdings are adjusted by monthly realized retx (i.e. dividends not reinvested)

finds.backtesting.backtesting.univariate_sorts(stocks: Stocks, label: str, signals: Signals, rebalbeg: int, rebalend: int, window: int = 0, months: List[int] = [], pct: Tuple[float, float] = (20.0, 80.0), leverage: float = 1.0, minobs: int = 100, minprc: int = 0, mincap: int = 0, maxdecile: int = 10) → Dict[int, Series][source]

Monthly series of cap-weighted holdings of univariate spread portfolios

Parameters:

  • stocks – Stocks object for accessing stock returns and price data

  • label – Name of signal to retrieve

  • signals – Call to extract cross section of values for the signal

  • rebalbeg – First rebalance date (YYYYMMDD)

  • rebalend – Last holding date (YYYYMMDD)

  • pct – Percentile breakpoints to sort high, medium and low buckets

  • window – No. of months to look back for signal values; 0 is exact month

  • months – Months (e.g. 6=June) to retrieve univ; empty for all months

  • maxdecile – Include largest stocks decile from 1 through maxdecile

  • mincap – Minimum market cap

  • minobs – Minimum required sample size with non-missing signal values

  • leverage – Multiplier for leverage or shorting