profitable-expert-advisor/strategy-tester

Factor Strategy Tester (MT5-style workflow)

Python app scaffold that mirrors the MT5 Strategy Tester flow for factor investing:

• Single run backtest
• Parameter optimization (grid search)
• Inputs panel + report panel
• Custom factor expressions with safe operators
• Pluggable strategy engines

Quick start

cd strategy-tester
python -m venv .venv
.venv\Scripts\activate
pip install -r requirements.txt
streamlit run app.py

Current capabilities

• Upload CSV with at least:
  • date
  • asset
  • close
  • feature columns (e.g. pe, momentum_12m, quality)
• Define factor score expression, e.g.:
  • (z(momentum_12m) + z(quality) - z(volatility_20d)) / 3
• Rebalance by period and choose top/bottom quantiles
• Long-only or long-short portfolio simulation
• Optimize selected parameters and rank by Sharpe/Return/Drawdown

Expression language

Supported:

• Arithmetic: + - * / **
• Comparisons: > >= < <= == !=
• Boolean: and or not
• Parentheses
• Functions:
  • abs(x), log(x), sqrt(x)
  • z(x) (cross-sectional z-score per date)
  • rank(x) (cross-sectional percentile rank per date)
  • clip(x, lo, hi)

The parser is AST-validated (no raw eval).

Architecture

• factor_tester/expressions.py: safe expression compiler/evaluator
• factor_tester/engine.py: backtest engine API + default cross-sectional factor engine
• factor_tester/optimize.py: optimization runner
• factor_tester/data.py: CSV loading and validation
• app.py: Streamlit UI

Next steps

• Walk-forward optimization
• Transaction costs/slippage model
• Multi-factor blend templates (value/size/momentum/quality/low-vol)
• Job queue / parallel optimization workers