Strategy

Strategy Interface

backtest_lib.strategy.Strategy

Callable strategy interface. A strategy receives some combination of:

• Current universe,

• The portfolio state,

• A market view with time-fenced data, and

• A context object.

Arguments are injected by parameter name (pytest-fixture style). A strategy may request any subset of universe, current_portfolio, market, and ctx.

Injected parameter types:

• universe: tuple[str, ...]

• current_portfolio: Portfolio

• market: MarketView

• ctx: StrategyContext

Examples:

def example_strategy(universe):
    return do_something_with(universe)

def rebalance(current_portfolio, market):
    return target_weights(
        some_portfolio_aware_computation(
            current_portfolio.holdings,
            market.prices.close,
        )
    )

def with_context(universe, ctx):
    security_to_buy = day_specific_computation(ctx.now)
    return trade("BUY", 1, security_to_buy)

Return type:

• Decision (a union of decision objects such as hold, trade, target weights/holdings, and reallocate decisions)

The functions that create Decision objects are documented in Decision.

alias of Callable[[…], HoldDecision | MakeTradeDecision | TargetWeightsDecision | TargetHoldingsDecision | ReallocateDecision | CompositeDecision]

Strategy Context

context.StrategyContext()