A Haskell tool for constructing and backtesting custom weighted asset indices over historical price data.
To use, edit indexes.txt. Each line defines one index:
my_index, sp500 0.5, gold 0.5
conservative, bonds 0.7, sp500 0.3
everything, sp500 0.2, gold 0.2, bonds 0.2, nasdaq 0.2, vix 0.2
Here's the format for the sharpe ratio optimizer (lookback window, holding period in months):
aggressive sharpe 3 1
conservative sharpe 12 3
Please Note:
- Asset names must match the CSV filenames in
assets/(without.csv) - Weights should sum to 1.0
To run:
cabal runResults are written to results.csv.
Performance graph is written to performance.svg.
Progress reports are in \reports.
If you want to add more assets, feel free to mess around with and run yahoo_finance.py. Make sure you have yahoo finance installed:
pip install yfinance