backtesting.py/CHANGELOG.md

What's New

These were the major changes contributing to each release:

0.x.x

0.3.3

(2021-12-13)

• Fix random generation with recent NumPy.
• Fix Pandas deprecation warnings.
• Replace Bokeh 3.0 deprecations.

0.3.2

(2021-08-03)

• New strategy performance method backtesting.lib.compute_stats (#281)
• Improve plotting speed (#329) and optimization performance (#295) on large datasets.
• Commission constraints now allow for market-maker's rebates.
• Backtest.plot now returns the bokeh figure object for further processing.
• Other small bugs and fixes.

0.3.1

(2021-01-25)

• Avoid some pandas.Index deprecations
• Fix Backtest.plot(show_legend=False) for recent Bokeh

0.3.0

(2020-11-24)

• Faster model-based optimization using scikit-optimize (#154)
• Optionally faster optimization by randomized grid search (#154)
• Annualized Return/Volatility/Sharpe/Sortino/Calmar stats (#156)
• Auto close open trades on backtest finish
• Add Backtest.plot(plot_return=), akin to plot_equity=
• Update Expectancy formula (#181)

0.2.4

(2020-10-27)

• Add lib.random_ohlc_data() OHLC data generator
• Aggregate Equity on 'last' when plot resampling
• Update stats calculation for Buy & Hold to be long-only (#152)

0.2.3

(2020-09-10)

• Link hover crosshairs across plots
• Clicking plot legend glyph toggles indicator visibility
• Fix Bokeh tooltip showing literal ' '

0.2.2

(2020-08-21)

0.2.1

(2020-08-03)

• Add Trade.entry_time/.exit_time
• Handle SL/TP hit on the same day the position was opened

0.2.0

(2020-07-15)

• New Order/Trade/Position API (#47)
• Add data pandas accessors .df and .s
• Add Backtest(..., exclusive_orders=) that closes previous trades on new orders
• Add Backtest(..., hedging=) that makes FIFO trade closing optional
• Add bt.plot(reverse_indicators=) param
• Add bt.plot(resample=) and auto-downsample large data
• Use geometric mean return in Sharpe/Sortino stats computation

0.1.8

(2020-07-14)

• Add Profit Factor statistic (#85)

0.1.7

(2020-03-23)

• Fix support for 2-D indicators
• Fix tooltip Date field formatting with Bokeh 2.0.0

0.1.6

(2020-03-09)

0.1.5

(2020-03-02)

0.1.4

(2020-02-25)

0.1.3

(2020-02-24)

• Show number of trades on OHLC plot legend
• Add parameter agg= to lib.resample_apply()
• Reset position price (etc.) after closing position
• Fix pandas insertion error on Windos

0.1.2

(2019-09-23)

• Make plot span 100% of browser width

0.1.1

(2019-09-23)

• Avoid multiprocessing trouble on Windos (#6)
• Add scatter plot indicators

0.1.0

(2019-01-15)

• Initial release