📦 SQA::Backtest

Source Information

Defined in: lib/sqa/backtest.rb:7

Inherits from: Object

🔨 Instance Methods

#stock()

Returns the value of attribute stock.

Source Location

lib/sqa/backtest.rb:8

---

#strategy()

Returns the value of attribute strategy.

Source Location

lib/sqa/backtest.rb:8

---

#portfolio()

Returns the value of attribute portfolio.

Source Location

lib/sqa/backtest.rb:8

---

#results()

Returns the value of attribute results.

Source Location

lib/sqa/backtest.rb:8

---

#equity_curve()

Returns the value of attribute equity_curve.

Source Location

lib/sqa/backtest.rb:8

---

#initialize(stock:, strategy:, start_date: = nil, end_date: = nil, initial_capital: = 10_000.0, commission: = 0.0, position_size: = :all_cash)

Initialize a backtest

Parameters

Name	Type	Description
stock	SQA::Stock	Stock to backtest
strategy	SQA::Strategy, Proc	Strategy or callable that returns :buy, :sell, or :hold
start_date	Date, String	Start date for backtest
end_date	Date, String	End date for backtest
initial_capital	Float	Starting capital
commission	Float	Commission per trade
position_size	Symbol, Float	:all_cash or fraction of portfolio per trade

Returns

Type: Backtest

a new instance of Backtest

Source Location

lib/sqa/backtest.rb:85

---

#run()

Run the backtest

Returns

Type: Results

Backtest results

Usage Examples

stock = SQA::Stock.new(ticker: 'AAPL')
backtest = SQA::Backtest.new(
  stock: stock,
  strategy: SQA::Strategy::RSI,
  initial_capital: 10_000,
  commission: 1.0
)
results = backtest.run
puts results.summary
# => Total Return: 15.5%
#    Sharpe Ratio: 1.2
#    Max Drawdown: -8.3%
#    Win Rate: 65%

backtest = SQA::Backtest.new(
  stock: stock,
  strategy: SQA::Strategy::MACD,
  start_date: '2023-01-01',
  end_date: '2023-12-31'
)
results = backtest.run
results.total_return  # => 0.155 (15.5%)

results = backtest.run
backtest.equity_curve.each do |point|
  puts "#{point[:date]}: $#{point[:value]}"
end

Source Location

lib/sqa/backtest.rb:102

---

📝 Attributes

👁️ stock read-only

Returns the value of attribute stock.

👁️ strategy read-only

Returns the value of attribute strategy.

👁️ portfolio read-only

Returns the value of attribute portfolio.

👁️ results read-only

Returns the value of attribute results.

👁️ equity_curve read-only

Returns the value of attribute equity_curve.