Backtesting.py

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()

Start 2004年08月19日 00:00:00
End 2013年03月01日 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
Return (Ann.) [%] 25.42
Volatility (Ann.) [%] 38.43
CAGR [%] 16.80
Sharpe Ratio 0.66
Sortino Ratio 1.30
Calmar Ratio 0.77
Alpha [%] 450.62
Beta 0.02
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
Kelly Criterion 0.6134
_strategy SmaCross(n1=10, n2=20)
_equity_curve Equ...
_trades Size EntryB...
dtype: object

Features

Bugs

Alternatives