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Backtest trading strategies in Python 0.2.0

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Backtest trading strategies with Python.
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Installation
$ pip install backtesting

Usage

from backtesting import Backtest, Strategy
from backtesting.lib import crossover

from backtesting.test import SMA, GOOG


class SmaCross(Strategy):
def init(self):
price = self.data.Close
self.ma1 = self.I(SMA, price, 10)
self.ma2 = self.I(SMA, price, 20)

def next(self):
if crossover(self.ma1, self.ma2):
self.buy()
elif crossover(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 00:00:00
End 2013-03-01 00:00:00
Duration 3116 days 00:00:00
Exposure Time [%] 94.27
Equity Final [$] 68935.12
Equity Peak [$] 68991.22
Return [%] 589.35
Buy & Hold Return [%] 703.46
Max. Drawdown [%] -33.08
Avg. Drawdown [%] -5.58
Max. Drawdown Duration 688 days 00:00:00
Avg. Drawdown Duration 41 days 00:00:00
# Trades 93
Win Rate [%] 53.76
Best Trade [%] 57.12
Worst Trade [%] -16.63
Avg. Trade [%] 1.96
Max. Trade Duration 121 days 00:00:00
Avg. Trade Duration 32 days 00:00:00
Profit Factor 2.13
Expectancy [%] 6.91
SQN 1.78
Sharpe Ratio 0.18
Sortino Ratio 0.44
Calmar Ratio 0.06
_strategy SmaCross(n1=10, n2=20)
_equity_curve Equ...
_trades Size EntryB...


1597950659730.png



Find more usage examples in the
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Features

  • Simple, well-documented API
  • Blazing fast execution
  • Built-in optimizer
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