quantlab.backtest.predefined.us_equity.USEquityApproximateBacktest#

class quantlab.backtest.predefined.us_equity.USEquityApproximateBacktest(config)[source]#

Bases: ApproximateBacktest

The approximate backtest of daily US equities: ApproximateBacktest on US_EQUITY_MARKET.

Fills at the adjusted open, values at the adjusted close, as USEquityCrossectionSelectStockVectorBt does, so the same rule and predictions can be confirmed with a backtest run.

Examples

>>> from quantlab.backtest.config import ApproximateBacktestConfig
>>> backtest = USEquityApproximateBacktest(
...     ApproximateBacktestConfig(
...         price_dataset=prices, start_date="2024-03-25", end_date="2024-06-26",
...         rebalance_periods=5,
...     )
... )
>>> backtest.MARKET.fill_price_column
'adjOpen'

MARKET = MarketSpec(fill_price_column='adjOpen', valuation_price_column='adjClose', trading_days_per_year=252, session_minutes_per_day=390)#: The market’s price columns and annualisation; set by a concrete class.