BackTest (fynance.backtest)

Vectorized backtesting engine and result. Plotting/reporting lives in fynance.plot (tearsheet).

backtest(data, positions[, cost, capital, ...])	Run a vectorized backtest.
BacktestResult(equity, returns, ...[, ...])	Output of backtest.
ProportionalCost([fee, slippage])	Proportional transaction cost: (fee + slippage) * turnover.
MarketImpactCost([fee, impact, exponent])	Non-linear market-impact cost: linear fee + convex impact term.
HoldingCost([borrow, financing, cash_rate, ...])	Per-bar carry cost on the held book (not turnover).
CompositeCost(models)	Stack several cost models into one.
capacity_curve(weights, X, aums, cost_factory)	Sweep net performance across a book of AUM levels.
breakeven_fee(weights, X[, period, tol])	Proportional fee at which the net Sharpe ratio crosses zero.
set_text_stats(underly[, period, accur, ...])	Set a table as string with different indicators (accuracy, perf, vol and sharpe) for underlying and several strategies.
BacktestNeuralNet([figsize, loss_xlim, ...])