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121 lines
4.1 KiB
Markdown
121 lines
4.1 KiB
Markdown
[](https://kernc.github.io/backtesting.py/)
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Backtesting.py
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==============
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[](https://github.com/kernc/backtesting.py/actions)
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[](https://codecov.io/gh/kernc/backtesting.py)
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[](https://pypi.org/project/backtesting)
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[](https://pypi.org/project/backtesting)
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[](https://github.com/sponsors/kernc)
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Backtest trading strategies with Python.
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[**Project website**](https://kernc.github.io/backtesting.py) + [Documentation]
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[Documentation]: https://kernc.github.io/backtesting.py/doc/backtesting/
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Installation
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------------
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$ pip install backtesting
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Usage
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-----
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```python
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from backtesting import Backtest, Strategy
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from backtesting.lib import crossover
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from backtesting.test import SMA, GOOG
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class SmaCross(Strategy):
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def init(self):
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price = self.data.Close
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self.ma1 = self.I(SMA, price, 10)
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self.ma2 = self.I(SMA, price, 20)
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def next(self):
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if crossover(self.ma1, self.ma2):
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self.buy()
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elif crossover(self.ma2, self.ma1):
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self.sell()
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bt = Backtest(GOOG, SmaCross, commission=.002,
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exclusive_orders=True)
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stats = bt.run()
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bt.plot()
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```
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Results in:
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```text
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Start 2004-08-19 00:00:00
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End 2013-03-01 00:00:00
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Duration 3116 days 00:00:00
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Exposure Time [%] 94.27
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Equity Final [$] 68935.12
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Equity Peak [$] 68991.22
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Return [%] 589.35
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Buy & Hold Return [%] 703.46
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Return (Ann.) [%] 25.42
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Volatility (Ann.) [%] 38.43
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Sharpe Ratio 0.66
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Sortino Ratio 1.30
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Calmar Ratio 0.77
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Max. Drawdown [%] -33.08
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Avg. Drawdown [%] -5.58
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Max. Drawdown Duration 688 days 00:00:00
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Avg. Drawdown Duration 41 days 00:00:00
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# Trades 93
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Win Rate [%] 53.76
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Best Trade [%] 57.12
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Worst Trade [%] -16.63
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Avg. Trade [%] 1.96
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Max. Trade Duration 121 days 00:00:00
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Avg. Trade Duration 32 days 00:00:00
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Profit Factor 2.13
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Expectancy [%] 6.91
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SQN 1.78
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Kelly Criterion 0.6134
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_strategy SmaCross(n1=10, n2=20)
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_equity_curve Equ...
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_trades Size EntryB...
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dtype: object
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```
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[](https://kernc.github.io/backtesting.py/#example)
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Find more usage examples in the [documentation].
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Features
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--------
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* Simple, well-documented API
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* Blazing fast execution
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* Built-in optimizer
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* Library of composable base strategies and utilities
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* Indicator-library-agnostic
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* Supports _any_ financial instrument with candlestick data
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* Detailed results
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* Interactive visualizations
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Bugs
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----
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Before reporting bugs or posting to the
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[discussion board](https://github.com/kernc/backtesting.py/discussions),
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please read [contributing guidelines](CONTRIBUTING.md), particularly the section
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about crafting useful bug reports and ```` ``` ````-fencing your code. We thank you!
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Alternatives
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------------
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See [alternatives.md] for a list of alternative Python
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backtesting frameworks and related packages.
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[alternatives.md]: https://github.com/kernc/backtesting.py/blob/master/doc/alternatives.md
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