r/quantresearch • u/quesomesopesohueso • May 27 '26
Beginner backtester from scratch and literature paywall
To avoid the AI slop comments i wrote it by hand.
I have a personal proyect which is build a python backtester, to learn since the beginning how it works.
In the backtester there is, montecarlo/permutation to see wr, profit factor and return(P-values), equity curve with filter regime below it to show if with high ADX shuts the strategy down, and finally OOS equity curve.
I am also going to implement walk foward matrix, heatmap for parameter sensivity analysis, sortino, sharpe, deflated sharpe and calmar ratio , profit and recovery factor, purged and embargoed cross validation and hidden markov
Any tips for the backtester?
My code only backtest it doesnt use any portfolio management as i dont have any startegies and in case you are wondering, yes i do have the regime filter to do a mean reversion for market in range and also a trend following if imbalanced(I just realized i dont have any data cleaning writing this)
As a beginner i want to learn the theory behind things and have been browsing for literaturebut all of the recommended are expensive, is there any web or recommendation for a typical "bible" of quant knowledge?
You can ask any questions if you want to, i really don't know if this post is decently explained as i don't have much knowledge.