backtest
Run cross-sectional strategy simulations with point-in-time data, transaction costs, and purged cross-validation for deflated Sharpe metrics.
Instructions
Run a cross-sectional backtest. Point-in-time and costed by construction.
At each rebalance the engine sees only data knowable strictly before that date. Costs are always charged on turnover; there is no zero-cost mode.
The validation block leads with purged cross-validation across every
held-out combination of blocks. Its multiple_testing sub-block carries
the deflated Sharpe and the count of specs run since the last reset. That
correction assumes the specs were attempts at one question; if this run
starts an unrelated line of enquiry, pass reset_trials=True to zero the
count first.
Signals: momentum_12_1, momentum_6_1, reversal_1m, low_volatility, trend_200d.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| end | No | ||
| start | No | ||
| signal | No | momentum_12_1 | |
| cost_bps | No | ||
| long_pct | No | ||
| universe | Yes | ||
| rebalance | No | ME | |
| short_pct | No | ||
| reset_trials | No |
Output Schema
| Name | Required | Description | Default |
|---|---|---|---|
| result | Yes |