Uses of Package
com.quantfinlib.backtest
Packages that use com.quantfinlib.backtest
Package
Description
Cross-sectional alpha research: signal generation, evaluation,
validation, execution-aware backtesting, portfolio construction and
reporting, each a separate step.
Bar-based backtesting engines, execution models and performance analytics.
Multi-asset portfolio backtesting with point-in-time universes and
financing.
Validation tools that test a backtest for overfitting.
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Classes in com.quantfinlib.backtest used by com.quantfinlib.alphaClassDescriptionWhen an order decided on bar
tis filled.Strategy performance analytics. -
Classes in com.quantfinlib.backtest used by com.quantfinlib.backtestClassDescriptionBacktest execution parameters.A segment's result and the state it ended in.Book state carried between segments.Result of a backtest run: full equity curve (one point per bar), completed trade history, and derived performance metrics.Strategy statistics relative to a benchmark.One peak-to-recovery episode.Drawdown statistics of an equity curve.Execution simulation settings.The TCA-style verdict for one parent worked over one session.Result of an execution-aware backtest: the standard
BacktestResult(equity curve, trades, performance metrics) plus the full parent-order / child-fill history, with one-call TCA per parent order.How parent orders turn into fills in an execution-aware backtest (ExecutionAwareBacktester).When an order decided on bartis filled.Baseline execution model: the full quantity fills at the bar close with commission and slippage folded into the all-in price — equivalent to the classicBacktesterfill assumption.One parent order worked by theExecutionAwareBacktester: the signal that created it, the arrival price (close at signal time — the TCA benchmark), and the child fills with the bar index each filled on.Strategy performance analytics.Trading signal emitted by a strategy for a single bar.One venue's fee, liquidity share and lit or dark status.A completed round-trip trade.Trade-level statistics.A pluggable per-trade cost model — the one definition of "what a trade costs" shared by the backtest engines, so an execution-aware number and a survivorship-aware number can come out of the same run:TradeCostModel.flat(double)— a fixed all-in bps (the classic commission assumption, and the exact equivalent of the legacycommissionRateconfigs);TradeCostModel.institutional(double, double, double, int): commission + half-spread + slippage + square-root market impact, with per-symbol ADV/vol estimated from the trailing bars viaMarketImpactModel.estimate(BarSeries, int, int).A bar-driven trading strategy. -
Classes in com.quantfinlib.backtest used by com.quantfinlib.backtest.portfolioClassDescriptionWhen an order decided on bar
tis filled.Strategy performance analytics.A pluggable per-trade cost model — the one definition of "what a trade costs" shared by the backtest engines, so an execution-aware number and a survivorship-aware number can come out of the same run:TradeCostModel.flat(double)— a fixed all-in bps (the classic commission assumption, and the exact equivalent of the legacycommissionRateconfigs);TradeCostModel.institutional(double, double, double, int): commission + half-spread + slippage + square-root market impact, with per-symbol ADV/vol estimated from the trailing bars viaMarketImpactModel.estimate(BarSeries, int, int). -
Classes in com.quantfinlib.backtest used by com.quantfinlib.backtest.validationClassDescriptionBacktest execution parameters.Strategy performance analytics.A completed round-trip trade.A bar-driven trading strategy.