LQM Registry / backtesting
Signal Strategy Backtester
Lagged-signal strategy backtest with look-ahead guard, transaction costs, turnover, drawdown and risk-adjusted performance metrics.
Model key
lq.backtest.signal-strategyVersion1.0.0
Runtimepython-process
Model contract
Inputs are explicit.
{
"type": "object",
"required": [
"returns",
"signals"
]
}Output contract
Outputs are explicit.
{
"type": "object",
"required": [
"lookahead_guard",
"equity_curve",
"annualized_return",
"sharpe_ratio",
"max_drawdown",
"turnover"
]
}Default parameters
{
"signal_lag": 1,
"transaction_cost_bps": 5,
"periods_per_year": 252,
"max_abs_position": 1
}Example input
{
"returns": [
0.01000000000000000020816681711721685132943093776702880859375,
-0.0040000000000000000832667268468867405317723751068115234375,
0.00600000000000000012490009027033011079765856266021728515625,
0.0120000000000000002498001805406602215953171253204345703125,
-0.008000000000000000166533453693773481063544750213623046875,
0.003000000000000000062450045135165055398829281330108642578125,
0.005000000000000000104083408558608425664715468883514404296875,
-0.00899999999999999931998839741709161899052560329437255859375,
0.0109999999999999993616217608405349892564117908477783203125,
0.0040000000000000000832667268468867405317723751068115234375,
-0.00200000000000000004163336342344337026588618755340576171875,
0.007000000000000000145716771982051795930601656436920166015625
],
"signals": [
1,
1,
-1,
1,
1,
-1,
1,
-1,
1,
1,
0,
1
]
}