comdty roll backtest

Author: letianzj

README.md

@@ -1,7 +1,6 @@
 # QuantResearch
 
 * [Backtest](./backtest)
-* [Data Downloader for Backtest](./backtest/hist_downloader.py)
 * [Machine Learning and Deep Reinforcement Learning](./ml) 
 * [Online Resources](./Resources.md)
 * [Live Trading Demo Video](https://youtu.be/CrsrTxqiXNY)

backtest/README.md

@@ -22,6 +22,7 @@ Test against daily bars between 2010 and 2019. It may not be fair to some intrad
 |9 |  [Turtle](./turtle.py)    |0.15 |
 |10 |  [Mebane Faber TAA](./mebane_faber_taa.py)    | 0.50|
 |11 |  [MinVar, MaxSharpe, MaxDiversified, RiskParity](./portfolio_optimization.py)    | 1.08, 0.66, 0.90, 0.81|
+|12 |  [Comdty Roll](./comdty_roll.py)    | pre-roll 0.55 vs last day -0.50 due to -$37.63 oil price|
 
 ```python
 

backtest/comdty_roll.py

@@ -103,7 +103,7 @@ def parameter_search(symbol, init_capital, sd, ed, df_data, params, target_name,
     init_capital = 100_000.0
     df_future = data_loader.load_futures_hist_prices(symbol)
     df_future.index = df_future.index.tz_localize('US/Eastern')
-    test_start_date = datetime(2021, 1, 1, 0, 0, 0, 0, pytz.timezone('US/Eastern'))
+    test_start_date = datetime(2019, 1, 1, 0, 0, 0, 0, pytz.timezone('US/Eastern'))
     test_end_date = datetime(2021, 12, 30, 0, 0, 0, 0, pytz.timezone('US/Eastern'))
 
     init_capital = 50.0