WorldQuant BRAIN Simulator

Introduction

This is a simulator to help with backtesting your alphas offline for platform WorldQuant Brain

Demo

Some problems exist (data, expressions, procedure), so the results are still different from the platform's.

Project Structure

worldquant-brain-simulator/
|-- data
|   `-- stock_snowball_us.db
|-- docs
|-- LICENSE
|-- README.md
|-- requirements.txt
`-- src
    |-- alpha_pool
    |   |-- alpha101.py
    |   |-- alpha.py
    |   |-- expression.py
    |   `-- __init__.py
    |-- datasource
    |   |-- database.py
    |   |-- fetch.py
    |   `-- __init__.py
    |-- main.py
    `-- simulator
        |-- __init__.py
        |-- settings.yaml
        |-- simulate.py
        `-- util.py

References

• The fast expression and Alpha 101 implementation: WorldQuant_alpha101_code