Name		Name	Last commit message	Last commit date
parent directory ..
bt		bt
README.md		README.md
__init__.py		__init__.py
bollinger_bands.py		bollinger_bands.py
buy_hold.py		buy_hold.py
comdty_roll.py		comdty_roll.py
comdty_spread_roll.py		comdty_spread_roll.py
dual_thrust.py		dual_thrust.py
dynamic_breakout_ii.py		dynamic_breakout_ii.py
ghost_trader.py		ghost_trader.py
hist_downloader.py		hist_downloader.py
ma_cross.py		ma_cross.py
ma_double_cross.py		ma_double_cross.py
mebane_faber_taa.py		mebane_faber_taa.py
portfolio_optimization.py		portfolio_optimization.py
r_breaker.py		r_breaker.py
run_code_pyfolio.ipynb		run_code_pyfolio.ipynb
turtle.py		turtle.py
volume_factor_alphalens.ipynb		volume_factor_alphalens.ipynb

README.md

Backtest

Test against daily bars between 2010 and 2019. It may not be fair to some intraday strategies.

Index	Backtest	Sharpe
1	Buy and Hold	0.78
2	Moving Average cross	-0.27
3	Moving Average double cross	0.32
4	Bollinger Bands	0.60
5	Dual Thrust	-0.10
6	Ghost Trader	-0.14
7	R-Breaker	0.15
8	dynamic breakout ii	0.51
9	Turtle	0.15
10	Mebane Faber TAA	0.50
11	MinVar, MaxSharpe, MaxDiversified, RiskParity	1.08, 0.66, 0.90, 0.81
12	Comdty Roll	pre-roll 0.55 vs last day -0.50 due to -$37.63 oil price