feat(backtest): add weekly/monthly rebalancing (W/M)#8
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ayushkrtiwari merged 7 commits intoOPCODE-Open-Spring-Fest:mainfrom Oct 27, 2025
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@ayushkrtiwari PLEASE review it and if correct merge it with labels |
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@saumya1317 please resolve the conflicts with the latest changes from main |
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@saumya1317 please resolve the conflicts so the PR could be merged. If you are facing any issues, do ask. |
- Update _should_rebalance to respect W and M frequencies - Refactor run method to use conditional rebalancing logic - Add comprehensive tests for D/W/M rebalancing - Document rebalance_freq parameter in README - All tests pass; daily default unchanged
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Summary
Add weekly/monthly rebalancing options to VectorizedBacktest via
rebalance_freqparameter. This allows users to configure rebalancing frequency as "D" (daily), "W" (weekly), or "M" (monthly), addressing issue #4.Changes
_should_rebalance()method to support W/M frequenciesrun()method using proper DataFrame broadcastingTesting
pytestpasses locally (9/9 tests passing)ruff,black)Technical Details
date.weekday() == 0(Mondays)date.day == 1(1st of month)ValueErrorfor invalid frequenciesRelated Issues
Fixes #4