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Advice Backtest

Hello everybody,

I would like to build my first backtest with python.
I would like to backtest a strategy (based on indicators ) of my portfolio composed of 20 index(I download the data on bloomberg).

Does someone know a package to do that ? I have seen some package but they are helpful only to backtest only one index.
If it doesen't exist a package, does somebody has a exemple of a code ?

Thanks you :)

1 response

I am not quite sure what you mean. Here is my algorithm that uses historical returns to create a ranking system. It then chooses the top 3 highest ranks every month and sell them. If the spy is below the 200 day average then it goes into 4 safe haven assets. What do you mean by 20 index?