Overview
Research project focused on building a modular, event-driven backtesting system for evaluating trading strategies on historical financial data (Yahoo Finance and similar sources).The emphasis is on reproducible simulation, correct accounting of returns, and consistent evaluation methodology rather than strategy optimization.
Scope
- Market data pipeline — ingestion, cleaning, alignment, and normalization of time-series data
- Execution model — simplified event-driven simulation of orders, positions, and portfolio state
- Strategy layer — implementation of baseline strategies (momentum, moving average crossover) with modular interface
- Performance evaluation — PnL computation, returns distribution, volatility, drawdown, and risk-adjusted metrics
Constraints
- No live trading or brokerage integration
- Assumes frictionless or simplified execution model (configurable)
- Designed for research and experimentation, not production trading