yuzhucu / quant-automatic-backtesting-platform Goto Github PK

Event-driven backtesting platform for quantitative financial trading strategy research

Each time-stamp generate Market event, calculating signal event---->order event------>fill event

1. event.py:    build event class

2. data.py:     Read data from CSV to pandas.dataframe

                Yield every time-stamp data point by using generator

3. portfolio.py Handle the signal event generated by strategy

                Update portfolio in every time-stamp

                Generate order invent

4.execution.py  generate fill event from order event

5.performance.py
                Calculating Sharp ratio/Drawdowm


6.strategy.py   Build strategy event class