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Backtesting.py

Backtest trading strategies with Python.

Project website +Documentation | YouTube

Installation

$ pip install backtesting

Usage

frombacktestingimportBacktest,Strategyfrombacktesting.libimportcrossoverfrombacktesting.testimportSMA,GOOGclassSmaCross(Strategy):definit(self):price=self.data.Closeself.ma1=self.I(SMA,price,10)self.ma2=self.I(SMA,price,20)defnext(self):ifcrossover(self.ma1,self.ma2):self.buy()elifcrossover(self.ma2,self.ma1):self.sell()bt=Backtest(GOOG,SmaCross,commission=.002,exclusive_orders=True)stats=bt.run()bt.plot()

Results in:

Start                     2004-08-19 00:00:00End                       2013-03-01 00:00:00Duration                   3116 days 00:00:00Exposure Time [%]                       94.27Equity Final [$]                     68935.12Equity Peak [$]                      68991.22Return [%]                             589.35Buy & Hold Return [%]                  703.46Return (Ann.) [%]                       25.42Volatility (Ann.) [%]                   38.43CAGR [%]                                16.80Sharpe Ratio                             0.66Sortino Ratio                            1.30Calmar Ratio                             0.77Alpha [%]                              450.62Beta                                     0.02Max. Drawdown [%]                      -33.08Avg. Drawdown [%]                       -5.58Max. Drawdown Duration      688 days 00:00:00Avg. Drawdown Duration       41 days 00:00:00# Trades                                   93Win Rate [%]                            53.76Best Trade [%]                          57.12Worst Trade [%]                        -16.63Avg. Trade [%]                           1.96Max. Trade Duration         121 days 00:00:00Avg. Trade Duration          32 days 00:00:00Profit Factor                            2.13Expectancy [%]                           6.91SQN                                      1.78Kelly Criterion                        0.6134_strategy              SmaCross(n1=10, n2=20)_equity_curve                          Equ..._trades                       Size  EntryB...dtype: object

Find more usage examples in thedocumentation.

Features

Simple, well-documented API
Blazing fast execution
Built-in optimizer
Library of composable base strategies and utilities
Indicator-library-agnostic
Supportsany financial instrument with candlestick data
Detailed results
Interactive visualizations

Bugs

Before reporting bugs or posting to thediscussion board,please readcontributing guidelines, particularly the sectionabout crafting useful bug reports and```-fencing your code. We thank you!