Event-Based Backtesting Factor Portfolios with Zipline Reloaded

Zipline Reloaded is an event-driven backtesting framework that processes market events sequentially, allowing for more realistic modeling of order execution and slippage. Unlike vector-based frameworks, it accounts for the temporal sequence of market events, making it suitable for complex strategies that involve conditional orders or asset interactions. While generally slower than vector-based approaches, event-based backtesting frameworks tend to better simulate market dynamics making them helpful for path-dependent strategies requiring intricate order logic, state management, and risk management.

Zipline Reloaded is well suited for backtesting large universes and complex portfolio construction techniques. The Pipeline API is designed for high-efficiency computation of factors among thousands of securities. We’ll use Zipline Reloaded to backtest portfolio factor strategies, the results of which can be analyzed...