Backtest

1class MomentumStrategy(Strategy):
2    """Equal-weight momentum — buys top performers, rebalances monthly."""
3    name = "MomentumStrategy"
4    rebalance_frequency = "monthly"
5    max_positions = 4
6
7    def rebalance(self, state: PortfolioState) -> List[Order]:
8        # Rank tickers by recent return using bar_data
9        returns = {}
10        for ticker in state.prices.keys():
11            rows = state.bar_data[state.bar_data['ticker'] == ticker]['close'].values
12            if len(rows) >= 2 and rows[0] != 0:
13                returns[ticker] = (rows[-1] - rows[0]) / rows[0]
14
15        if not returns:
16            return []
17
18        # Select top N by momentum
19        ranked = sorted(returns.items(), key=lambda x: x[1], reverse=True)
20        top = [t for t, _ in ranked[:self.max_positions]]
21
22        # Equal weight allocation
23        weight = 0.95 / len(top)
24        weights = {t: weight for t in top}
25
26        return self.target_weights(weights, state)
27