📊 Momentum-Based Portfolio Backtest

A comprehensive backtesting system for a momentum-based portfolio strategy using NIFTYBEES and GOLDBEES ETFs.

🎯 Strategy Overview

• Initial Allocation: 70% NIFTYBEES, 30% GOLDBEES
• Rebalancing Rule: If NIFTYBEES 3-month return < 2%, switch to 30% NIFTYBEES, 70% GOLDBEES
• Rebalancing Frequency: Monthly (first trading day of each month)
• Transaction Cost: 0.05% per trade

🚀 Quick Start

Method 1: UV Package Manager (Recommended)

# Install UV (if not already installed)
curl -LsSf https://astral.sh/uv/install.sh | sh

# Install dependencies
uv sync

# Run backtest
uv run python script.py --from 2024-01-01

# Or use helper script
./uv_run.sh backtest --from 2024-01-01

Method 2: Traditional pip/venv

# Create virtual environment
python -m venv venv
source venv/bin/activate  # On Windows: venv\Scripts\activate

# Install dependencies
pip install pandas yfinance numpy python-dateutil holidays

# Run backtest
python script.py --from 2024-01-01

Method 3: Interactive Mode

python run_backtest.py

📋 Command Line Options

python script.py [OPTIONS]

Options:
  --from, --start DATE    Start date in YYYY-MM-DD format
  --to, --end DATE        End date in YYYY-MM-DD format
  --list-examples         Show example date ranges
  --help                  Show help message

Examples:
  python script.py --from 2020-01-01
  python script.py --from 2018-01-01 --to 2023-12-31
  python script.py --list-examples

📅 Common Date Ranges

Period	Command	Description
Full Period	python script.py	2017-09-05 to 2025-07-15 (Default)
COVID Period	python script.py --from 2020-01-01 --to 2021-12-31	Market volatility period
Post-COVID	python script.py --from 2022-01-01	Recovery and recent performance
Recent Period	python script.py --from 2024-01-01	Latest performance

📊 Sample Results

Initial Capital: ₹100,000.00
Final Portfolio Value: ₹341,498.96
Total Return: 241.50%
CAGR: 16.92%
Maximum Drawdown: 92.64%

Strategy Comparison:
- Dynamic Portfolio CAGR: 16.92%
- NIFTYBEES Buy & Hold CAGR: 13.84%
- GOLDBEES Buy & Hold CAGR: 15.10%
- Static 70/30 Portfolio CAGR: 14.22%

🎨 Customization

Edit configuration in script.py:

INITIAL_CAPITAL = 100000
NIFTYBEES_INITIAL_ALLOCATION = 0.70  # 70%
GOLDBEES_INITIAL_ALLOCATION = 0.30   # 30%
TRANSACTION_COST_PERCENT = 0.0005    # 0.05%

📁 File Structure

├── script.py           # Main backtesting script
├── run_backtest.py     # Interactive wrapper
├── uv_run.sh          # UV helper script (Linux/Mac)
├── pyproject.toml     # Project configuration
├── uv.lock           # Dependency lock file
└── README.md         # This file

⚠️ Disclaimer

This is for educational and research purposes only. Past performance does not guarantee future results. Always consult with financial advisors before making investment decisions.