Class PortfolioBacktester

java.lang.Object

com.quantfinlib.backtest.portfolio.PortfolioBacktester

public final class PortfolioBacktester
extends Object

Multi-asset, long/short portfolio backtester: rebalances positions (possibly fractional and negative) toward the strategy's target weights at a configurable cadence, charging commission on traded notional. This is where the optimization package meets the backtester — feed optimizer weights, vol-target overlays, or momentum rankings straight in.

The survivorship-aware overload additionally consumes a PointInTimeUniverse and per-symbol cash dividends, closing the engine-side gaps that make naive backtests survivorship-biased:

• Delistings terminate positions at lastClose × (1 + delistingReturn) on the event bar — a bankruptcy really costs −100%, instead of a forward-filled flat line;
• Mergers convert positions to cash and/or acquirer shares at the recorded deal terms;
• Index drops (membership ends, security lives on) force a sale at that bar's close — non-members are untradeable thereafter;
• Cash dividends credit position × amount on the ex-date (shorts pay), so unadjusted price series carry the full total return and cash drag is real.

Feed this overload unadjusted prices (dividends are cash here — adjusted prices would double-count them) aligned via SeriesAligner.unionForwardFill; the forward-filled ghost bars of a dead symbol are harmless because its position terminates at the event. The engine cannot remove the bias in the data: the universe and delisting returns must come from a point-in-time dataset that includes dead tickers.

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static final record	PortfolioBacktester.Config	costModel, when set, supersedes the flat commissionRate for every trade (rebalances and forced index-drop sales alike) — the shared TradeCostModel seam that makes a run simultaneously survivorship-aware AND execution-aware.
static final record	PortfolioBacktester.Result	dividendCashCredited and lifecycleEventsApplied are populated by the survivorship-aware overload (zero otherwise).

Method Summary

Modifier and Type	Method	Description
static PortfolioBacktester.Result	run(PortfolioStrategy strategy, Map<String, BarSeries> data, PortfolioBacktester.Config config)	Classic run: every supplied symbol is tradeable on every bar.
static PortfolioBacktester.Result	run(PortfolioStrategy strategy, Map<String, BarSeries> data, PortfolioBacktester.Config config, PointInTimeUniverse universe, Map<String, List<CorporateActions.CorporateAction>> cashDividends)	Survivorship-aware run (see the class doc for semantics).

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Method Details

run

public static PortfolioBacktester.Result run(PortfolioStrategy strategy,
 Map<String, BarSeries> data,
 PortfolioBacktester.Config config)

Classic run: every supplied symbol is tradeable on every bar.

run

public static PortfolioBacktester.Result run(PortfolioStrategy strategy,
 Map<String, BarSeries> data,
 PortfolioBacktester.Config config,
 PointInTimeUniverse universe,
 Map<String, List<CorporateActions.CorporateAction>> cashDividends)

Survivorship-aware run (see the class doc for semantics).

Parameters:

universe - point-in-time membership and terminal events; null behaves like the classic overload

cashDividends - per-symbol CASH_DIVIDEND actions applied as cash on the ex-date (other action types are ignored here — apply splits to the price series via CorporateActions.adjust(com.quantfinlib.core.BarSeries, java.util.List<com.quantfinlib.data.CorporateActions.CorporateAction>) instead)