Public API

The stable public API is exported from bagelquant_bt.

Entry Points

from bagelquant_bt import run_backtest, run_factor_evaluation, run_weight_backtest

• run_backtest(signal, prices, *, kind, config=None): dispatch by kind.
• run_weight_backtest(weights, prices, *, config): evaluate portfolio weights.
• run_factor_evaluation(factor, prices, *, config): evaluate factor scores.

Configuration

from bagelquant_bt import BacktestConfig, TransactionCostConfig

config = BacktestConfig(
    initial_capital=1_000_000,
    transaction_cost=TransactionCostConfig(rate=0.00015, min_fee=5.0),
    annualization=252,
    ic_method="spearman",
    quantiles=5,
    top_n=50,
)

• initial_capital must be positive.
• ic_method may be "spearman" or "pearson".
• quantiles controls factor bucket count.
• top_n controls the top-N factor portfolio.

Results

BacktestResult exposes:

• weights
• asset_returns
• gross_returns
• net_returns
• gross_cumulative_returns
• net_cumulative_returns
• gross_value
• net_value
• turnover
• transaction_costs
• summary

FactorEvaluationResult exposes:

• factor
• forward_returns
• ic
• ic_mean
• ic_std
• icir
• quantile_returns
• quantile_cumulative_returns
• top_minus_bottom
• top_n_weights
• top_n_backtest

Exceptions

• BagelQuantBacktestError: base package error.
• BacktestConfigError: invalid configuration.
• InputValidationError: invalid or incompatible input frames.