Python for Algorithmic Trading Cookbook

6

Vector-Based Backtesting with VectorBT

Now that we’ve touched on the fundamental Python tools for algorithmic trading, we’ll move to the next phase of the workflow: backtesting. Since most strategies will not consistently make money, and those that do may only make money for a short time, quickly iterating through ideas is critical. This chapter demonstrates how to use vector-based backtesting for the simulation and optimization of trading strategies.

VectorBT is a high-performance, vector-based backtesting framework that allows for efficient evaluation of trading strategies by processing entire time-series data arrays at once, rather than one data point at a time. This method significantly speeds up backtesting operations, making it ideal ...