Cross Sectional Factor Backtest

Overview

My project gathers the 12-month returns of assets using Yahoo Finance tickers and uses the returns to decide which assets to go long or go short on.

Dependencies

• Python 3.13+
• pandas
• numpy
• matplotlib
• yfinance
• jupyter

How to Run

• Activate the virtual environment with the required packages and run the script in the main.py file:

1. Activate the virtual environment.

source .venv/bin/activate

2. Install dependencies.

pip install -r requirements.txt

3. Run the full backtest.

python main.py

Output

• Plot of cumulative return at each date, with drawdowns filled in when the highest return seen at the date is higher than the current cumulative return.
• Performance metrics
  • Cumulative return
  • Sharpe ratio
  • Max drawdown
  • t-value