5,000 academic strategies, every one runnable

import pwb_toolbox.backtest as pwb_bt
import pwb_toolbox.datasets as pwb_ds


class ValueSizeEurope(pwb_bt.BaseStrategy):
    """Annual Size and Book-to-Market sorts, long/short deciles."""

    params = (
        ("quantiles", 10),
        ("min_universe", 60),
        ("weighting", "equal"),
        ("gross_exposure", 0.9),
    )

    def __init__(self):
        super().__init__()
        self.last_rebalanced_year = None

    def next(self):
        # Form at July (year t), hold until next July (year t+1).
        dt = self.datas[0].datetime.date(0)
        if dt.month == 7 and self.last_rebalanced_year != dt.year:
            self.last_rebalanced_year = dt.year
            self.rebalance(dt)