feat(Reporting): added backtesting with vectorbt (#148)

* feat(Reporting): added vectorbt-based backtest

* fix(Reporting): added transaction costs

* feat(Reporting): added ability to rebalance only every n days

* feat(Dependencies): added pytorch

* fix(Dependencies): added pytorch-lightning

* feat(CI): added portfolio reporting step

* feat(Reporting): save weights as well

* fix(Reporting): start with less cash
This commit is contained in:
Mark Aron Szulyovszky
2022-01-11 09:34:08 +01:00
committed by GitHub
parent 18768c3925
commit 2c03959315
3 changed files with 103 additions and 75 deletions
+4
View File
@@ -23,6 +23,10 @@ jobs:
shell: bash -l {0}
run: |
python run_pipeline.py
- name: Run portfolio reporting
shell: bash -l {0}
run: |
python run_portfolio_reporting.py
- uses: actions/upload-artifact@v2
with:
name: artifacts