Release Notes

The library is published on Clojars since version 1.1.2; see Get Started for how to add it to a project. The full history is in the repository.

1.1.3

2026-10-31. Fixes for the Yahoo Finance data source.

• latest-earnings and days-since-earnings return nil for a security without fundamentals, instead of throwing.
• yahoo-dataset! with :out-dir now loads the dataset it built. It used to load the input directory.
• An exchange rate series comes from the latest download that has prices, as securities already did, so a failed download of a rate no longer hides an earlier good one.
• A :start and :end range without any prices is an error, instead of writing an empty dataset.
• The value strategy worksheet sets its commission back afterwards, so the worksheets' outputs no longer depend on the order they run in.

1.1.2

2026-10-31. Real data, fundamentals and portfolio strategies.

On Clojars. com.github.clojure-finance/clojure-backtesting can now be added to any Leiningen or Clojure CLI project. The jar holds the sources and the sample data, and no longer any compiled classes.

Yahoo Finance data. download-yahoo! downloads prices, dividends, splits, financial statements and earnings dates for any ticker, through clj-yfinance, with no API key. build-yahoo-dataset! turns the downloads into a CRSP-style dataset with prices as traded, and load-yahoo-dataset loads it. Downloads are resumable and accumulate, and the build works offline. Synthetic snapshots in resources/sample-yahoo let you try it without a network connection. See Yahoo Finance Data.

Point-in-time fundamentals. The new namespace clojure-backtesting.fundamentals returns statement values as they were known on the backtest date, per share of that day and in the trading currency, with twelve-month figures, history, and ratios: market cap, P/E, earnings yield, book-to-market, EV/EBITDA, dividend yield, margins, returns on equity and assets, growth and the Piotroski F-score. Earnings announcements come with their surprise. FUNDAMENTALS-MAX-AGE-MONTHS (18) limits how old a value may be. See Fundamentals.

Strategy helpers. The new namespace clojure-backtesting.strategy has new-period?, rank-by, top-n, equal-weights, order-target-percent and rebalance. See Strategy Helpers.

Benchmark comparison. benchmark-stats compares a run with any security in the dataset: returns, beta, alpha, correlation, tracking error and information ratio.

New examples. yahoo_finance_data, value_strategy and quality_and_earnings, all running on the synthetic snapshots.

Fix. Loading a second main dataset, over other dates, could make a full data cache throw a NullPointerException, because the cache still held the old dataset's dates. It is now cleared.

Upgrading. The REPL's user namespace refers the three new namespaces. In your own namespaces, add clojure-backtesting.fundamentals, clojure-backtesting.strategy and clojure-backtesting.yahoo to the :require list if you use them. write-grouped-dataset moved from clojure-backtesting.sample-data to clojure-backtesting.data.

1.1.1

2026-10-25. Correctness fixes. The outputs of active strategies change, mostly their volatility and Sharpe ratio, so rerun results you compare against.

• Daily returns on fill days. On every day an order filled, the daily return was about 0, which made volatility and the Sharpe ratio wrong for strategies that trade often. It is now measured from the previous day's value.
• MACD signal line. It was an EMA of the price; it is now the 9-day EMA of the MACD line, as defined. MACD therefore returns nil until the 34th close with the default cycles.
• Gaps in prices. EMA, MACD and RSI hold their value through days without a price and take one step when trading resumes. They used to restart, or return nil.
• Restarting. init-portfolio drops orders still pending from the previous run; they used to fill in the new one.
• Profit per trade counts only the strategy's orders, not the ones end-order places to close positions, which roughly halved it in the final report row.
• The formatted maximum drawdown ends in %, like the volatility. add-aprc prints one progress line per year.

1.1.0

2026-09-14. A rewrite of the core, tested end to end, and the bundled sample dataset.

• Dollar accounting. Cash and holdings are valued in dollars at the traded price, with commissions on the dollar value. Dividends are reinvested by default, or paid to cash with (update-reinvest-dividends false).
• Margin for short sales. Short positions count as borrowing: they must meet the initial margin, and the maintenance margin check closes them. portfolio-exposure summarises cash, long and short value, equity, gross position and loan, and the portfolio record has a :short column.
• Trading rules. On each day, orders that reduce a position fill before those that add to one. Holdings without a price for MISSING-DAYS-LIMIT (10) trading days are booked as cash. Order and automation expiry count trading days.
• Compustat join. Each day uses, per security, the latest filing whose period end and report date (rdq) had both passed, up to MERGE-MAX-AGE-MONTHS (6) old.
• Indicators. RSI smoothing, the ATR's true range and parabolic-SAR (now Wilder's indicator, with a state map) are fixed; moving-avg and moving-sd return nil without a full window.
• Output files are written only when update-output-dir sets a directory.
• Sample dataset. resources/sample-data holds three made-up securities over January to March 1990, with a dividend, a split and a gap, plus Compustat-style filings, so every example runs without licensed data. The example worksheets were rewritten for it.
• Removed: Jupyter support (replaced by Gorilla REPL), dead code and several unused dependencies.

1.0

2021-03-13. The first release, with the day-stepping engine, the CRSP and Compustat data layout, technical indicators, automation, the evaluation report and plotting.