btzoo

Introduction

A repository to create automated strategy and backtests.

Specify a simple yaml file and setup a directory structure for testing different variations of backtest parameters

Configuration

config.yaml file loads the configuration. The following options are provided

index_file

a HDF5 file with index name as keys. Each key must contain date and index constituents on that date as date and symbol columns

data_file

a HDF5 file with all data. The file must only have a single key (data source)

output_dir

output directory to save files. Separate files are generated for each of the indices

is_data

True if the data files are already created; False if not created. If False, the files are again created

parameters.yaml file

Parameters.yaml file contains the set of parameters to iterate. Define each parameter as a key and the possible set of values as values in the format parameter: [value1, value2]. In case of a single value, you can specify it as simple key-value pair parameter:value. In case of conditional parameters, where the a set of parameters are dependent upon the value of otherparameters, use a nested dictionary in the form

parameter1:
	value1:
		parameter2: [value1, value2]
	value2:
		parameter3: [value1, value2]

• The nested parameter should be the last declaration in the file
• Only one nested parameter is supported
• The nested parameter is only tested with the order argument