Concepts

Responsibility Boundary

bagelquant-bt has one job: evaluate a research output against daily prices.

It does not import bagelquant-core or bagelquant-data.

• bagelquant-core owns signal construction and research logic.
• bagelquant-data owns data access and storage.
• bagelquant-bt owns evaluation, transaction costs, summaries, and plots.

This keeps the backtester useful with any workflow that can produce a date-by-asset DataFrame.

DataFrame Shape

Prices, weights, and factor scores use the same date-by-asset shape:

index:   daily dates
columns: assets
values:  numeric prices, weights, or factor scores

Prices are interpreted as close prices.

For a weight backtest, values are portfolio weights. Negative weights are allowed.

For factor evaluation, values are cross-sectional scores. Higher scores are considered better for quantile and TOP N tests.

Timing Convention

The package uses a no-lookahead convention:

weight or factor at date t -> earns close-to-close return from t to t+1

This means the final price date cannot produce a realized forward return and is dropped from return calculations.

Alignment

bagelquant-bt aligns prices and signal values by intersecting dates and assets.

It rejects:

• duplicate dates
• duplicate assets
• nonnumeric values
• empty date overlap
• empty asset overlap
• non-DataFrame signal inputs