quantlab.backtest.engine_vectorbt#
vectorbt simulation engine for the backtest layer.
VectorBtBacktester implements the engine hooks of BaseBacktester on
top of vectorbt.Portfolio.from_orders: target-percent weights, a one-bar
delay between signal and fill, rejected orders, delisting settlements, and
the whole-window portfolio statistics a run directory records. It is the
only module in the package that imports vectorbt; concrete backtesters such
as quantlab.backtest.predefined.us_equity subclass it and supply the market
conventions and the signal rule. The module is named engine_vectorbt
rather than vectorbt so it cannot shadow the library it imports.
A panel is an xarray.Dataset indexed by timestamp and symbol.
A target-percent weight is the fraction of portfolio value a symbol should
hold after the order fills; a negative weight is a short position.
Classes
Abstract backtester that simulates target weights with vectorbt. |