gs_quant.timeseries.backtesting.basket_series

basket_series(series, weights=None, costs=None, rebal_freq=RebalFreq.DAILY, return_type=ReturnType.EXCESS_RETURN)[source]

Calculates a basket return series.

Parameters:

  • series (list) – list of time series of instrument prices

  • weights (Optional[list]) – list of weights (defaults to evenly weight series)

  • costs (Optional[list]) – list of execution costs in decimal (defaults to costs of 0)

  • rebal_freq (RebalFreq) – rebalancing frequency - Daily, Weekly or Monthly (defaults to Daily)

  • return_type (ReturnType) – return type of underlying instruments - only excess return is supported

Return type:

Series

Returns:

time series of the resulting basket

Usage

Calculates a basket return series.

Examples

Generate price series and combine them in a basket (weights 70%/30%) which rebalances monthly and assumes execution costs 5bps and 10bps each time the constituents are traded.

>>> prices1 = generate_series(100)
>>> prices2 = generate_series(100)
>>> mybasket = basket_series([prices1, prices2], [0.7, 0.3], [0.0005, 0.001], monthly)

See also

prices()