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Event-Based Backtesting Factor Portfolios with Zipline Reloaded
Zipline Reloaded is an event-driven backtesting framework that processes market events sequentially, allowing for more realistic modeling of order execution and slippage. Unlike vector-based frameworks, it accounts for the temporal sequence of market events, making it suitable for complex strategies that involve conditional orders or asset interactions. While generally slower than vector-based approaches, event-based backtesting frameworks tend to better simulate market dynamics making them helpful for path-dependent strategies requiring intricate order logic, state management, and risk management.
Zipline Reloaded is well suited for backtesting large universes and complex portfolio ...
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