README.markdown

README

Description

This project implements a simple event-driven backtester described by Michael Halls-Moore, founder of QuantStart. The reading list is as following,

1. Event-Driven Backtesting with Python - Part I
2. Event-Driven Backtesting with Python - Part II
3. Event-Driven Backtesting with Python - Part III
4. Event-Driven Backtesting with Python - Part IV
5. Event-Driven Backtesting with Python - Part V
6. Event-Driven Backtesting with Python - Part VI
7. Event-Driven Backtesting with Python - Part VII
8. Event-Driven Backtesting with Python - Part VIII

Part VIII is more about using Interactive Brokers to implement more live trading system. This is not the focus of this project at this moment.

Building a backtester manually is a good learning experience for quant trading starters. Some references are listed:

• denhartog/quantstart-backtester
  • Code does not work and has bugs
• JavierGarciaD/AlgoRepo
  • A SQLite/SQLAlchemy data handler implementation
  • A backtest main class to handle the loop
• quantopian/zipline
  • A mature backtesting framework

This project is associated with virtual environment backtest-env. Code is not directly copied from QuantStart or any reference, some modifications have been made to make it work.

Structure

• fundamental_layer module contains the basic classes for the backtester implementation.
• strategies module contains all the trading strategies for backtesting.