FINSABER

FINSABER is a backtesting framework and a benchmark built on top of it, asking whether LLM-based investing strategies hold up over decades rather than over a short window. It models the frictions that decide that question: the default execution timing is next_open rather than the same day’s close, so same-day look-ahead bias is excluded, and the trade config exposes per-share commission, minimum and maximum commission, slippage, a liquidity cap, and LLM cost accounted as a trade cost. Strategies plug in through documented interfaces — a TradingData loader, a Backtrader BaseStrategy subclass, or a BaseStrategyIso subclass with an on_data hook for LLM-style agents — and each run emits its config, metrics, equity curve, trades, orders, rejected orders and LLM costs as separate artifacts. Paper-specific FinMem, FinAgent, FinCon and FinRL integrations ship alongside the core package, with buy-and-hold as the reference strategy.

The repository is split across two branches that are not interchangeable: main carries the current framework paired with the FINSABER-V2-Data parquet release, while reproduce pins the original v1.0 framework and the legacy FINSABER-reproduce dataset. Results from one should not be attributed to the other. The primary dataset is a large download — 8.07 GB across 95 parquet files and roughly 7.9 million rows, covering 839 S&P 500 symbols with daily OHLC and adjusted close for 2000–2025, news items from 2009 onward, and 10-K and 10-Q filing texts. Its licensing differs from the code’s: the repository is Apache-2.0, but the FINSABER-V2-Data card declares its license as “other” and places responsibility on the user for complying with the underlying market, news and filing providers’ terms. Only the legacy reproduce dataset is tagged Apache-2.0.

The paper appeared in the KDD ‘26 proceedings, confirmed through the publisher’s own DOI registration (arXiv:2505.07078). The further claim that it was a Datasets and Benchmarks Track oral, and the accompanying selectivity figure, appear only in the authors’ own arXiv comment and README and are not independently verified here. The LICENSE file retains the unfilled Copyright [yyyy] [name of copyright owner] template line from the Apache appendix.