VMOT Backtest¶
Now we're ready to run the full VMOT backtest. (This assumes you've already installed QVAL and QMOM.)
We'll run the strategy without leverage, allocating 25% of capital to QVAL, 25% to QMOM, and reserving 50% for the trend strategy, allowing the portfolio to be fully hedged if needed. The backtest period will cover two bear markets.
In [1]:
from quantrocket.moonshot import backtest
backtest(["qval", "qmom", "vmot-trend"],
allocations={"qval":0.25, "qmom":0.25, "vmot-trend":0.5},
start_date="1999-01-01",
end_date="2010-01-01",
segment="A",
filepath_or_buffer="vmot_backtest_results.csv")
The tear sheet reveals that the trend strategy offsets declines in QVAL and QMOM during the bear markets:
In [2]:
from moonchart import Tearsheet
Tearsheet.from_moonshot_csv("vmot_backtest_results.csv")
