Momentum Strategy Example

This is an example strategy demonstrating explicit code capture using strategy.yaml.

Files

• my_strategy.py - Main strategy implementation
• utils/indicators.py - Technical indicators
• utils/risk.py - Risk management
• config/params.json - Strategy parameters
• strategy.yaml - Code capture configuration

How It Works

When you run a backtest with this strategy, RustyBT will:

1. Detect strategy.yaml in the strategy directory
2. Copy all files listed in strategy.yaml to the backtest output directory
3. Preserve the directory structure

The captured code will be stored in:

backtests/{backtest_id}/code/
├── my_strategy.py
├── utils/
│   ├── indicators.py
│   └── risk.py
├── config/
│   └── params.json
└── README.md

This ensures complete reproducibility of your backtest.