This project opts to simulate Contrarian and Momentum strategies over a specified period to examine the impact of transaction costs. In this implementation, transaction costs are calculated via Roll’s model.

The stock data are stored as a filesystem database created via a dataDownload.m matlab file.

1. datetime
2. argparse
3. backtrader
4. pandas
5. collections
6. random
7. shutil
8. matplotlib<=3.2.2

1. Make sure you have python 3 installed.
2. Cd to the project directory and execute pip install -r requirements.txt

The following files and folders should exist inside the working directory in order to execute:

1. LIBOR USD-3.csv
2. libor.py
3. myIndicators.py
4. mystrategies.py
5. Simulation.py
6. Database

To execute you can either modify the predefined example at Simulation.py and execute the file Simulation.py as a python script or Import Simulation.py as a module and create your own scenario.