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lsport's Introduction

LSPort

Required Packages

Name Pacakage File
Pandas Pandas All Files
Matplotlib Matplotlib LSPort.py
PuLP LSPair.py

Background

Long Short Pair Backtesting Tool (still in development) see testing.ipynb for example. Built on top of LSPair, future development will also develop streamlit-based downstream web-facing GUI like LSPair Streamlit Repo LSPair Streamlit link

Sample Test Runs

Long AAPL short AMZN benchmark QQQ rolling 120 day beta daily rebalance

Weighting and Beta Matching image Portfolio Beta exposure, comparative returns and portfolio cumulative returns image

Long Fallen Angels and Short HYG hedging beta via TLT (US 10y Treasury ETF)

The code's beta optimization may not be solvable within 100% fully funded (no leverage) positions and thus there is a 10% mininum holding per each name. We can see that happen when we run this pair. image image

Also this idea comes from some of my other work on Long Fallen Angels. You can find the repo here

lsport's People

Contributors

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Watchers

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Forkers

jingmouren

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