This repo contains a python program for backtesting strategies using quantitative methods such as Monte-carlo permutation tests and Walk-forward optimisation.
Requirements for running the program is listed in requirements.txt.
Python 3.12.10 is the most recent version of Python that I have verified is stable.
- backtest_module.py: Contains the class Backtest we will use.
- usage_example.ipynb: Contains a notebook demonstrating how to use the class and conduct backtests.
- backtest_results.xlsx: Stores computational heavy results from Monte-carlo permutation tests.
Have fun testing!