BackTesting Engine
Project description
backtrader
==========
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**Yahoo API Note**:
[2018-11-16] After some testing it would seem that data downloads can be
again relied upon over the web interface (or API ``v7``)
**Tickets**
If it's **NOT an issue** (i.e.: bug), don't post it as an issue. It will be
automatically closed.
For **feedback/questions/...** use the `Community <https://community.backtrader.com>`_
Here a snippet of a Simple Moving Average CrossOver. It can be done in several
different ways. Use the docs (and examples) Luke!
::
from datetime import datetime
import backtrader as bt
class SmaCross(bt.SignalStrategy):
def __init__(self):
sma1, sma2 = bt.ind.SMA(period=10), bt.ind.SMA(period=30)
crossover = bt.ind.CrossOver(sma1, sma2)
self.signal_add(bt.SIGNAL_LONG, crossover)
cerebro = bt.Cerebro()
cerebro.addstrategy(SmaCross)
data0 = bt.feeds.YahooFinanceData(dataname='MSFT', fromdate=datetime(2011, 1, 1),
todate=datetime(2012, 12, 31))
cerebro.adddata(data0)
cerebro.run()
cerebro.plot()
Including a full featured chart. Give it a try! This is included in the samples
as ``sigsmacross/sigsmacross2.py``. Along it is ``sigsmacross.py`` which can be
parametrized from the command line.
Features:
=========
Live Trading and backtesting platform written in Python.
- Live Data Feed and Trading with
- Interactive Brokers (needs ``IbPy`` and benefits greatly from an
installed ``pytz``)
- *Visual Chart* (needs a fork of ``comtypes`` until a pull request is
integrated in the release and benefits from ``pytz``)
- *Oanda* (needs ``oandapy``) (REST API Only - v20 did not support
streaming when implemented)
- Data feeds from csv/files, online sources or from *pandas* and *blaze*
- Filters for datas, like breaking a daily bar into chunks to simulate
intraday or working with Renko bricks
- Multiple data feeds and multiple strategies supported
- Multiple timeframes at once
- Integrated Resampling and Replaying
- Step by Step backtesting or at once (except in the evaluation of the Strategy)
- Integrated battery of indicators
- *TA-Lib* indicator support (needs python *ta-lib* / check the docs)
- Easy development of custom indicators
- Analyzers (for example: TimeReturn, Sharpe Ratio, SQN) and ``pyfolio``
integration (**deprecated**)
- Flexible definition of commission schemes
- Integrated broker simulation with *Market*, *Close*, *Limit*, *Stop*,
*StopLimit*, *StopTrail*, *StopTrailLimit*and *OCO* orders, bracket order,
slippage, volume filling strategies and continuous cash adjustmet for
future-like instruments
- Sizers for automated staking
- Cheat-on-Close and Cheat-on-Open modes
- Schedulers
- Trading Calendars
- Plotting (requires matplotlib)
Documentation
=============
The blog:
- `Blog <http://www.backtrader.com/blog>`_
Read the full documentation at:
- `Documentation <http://www.backtrader.com/docu>`_
List of built-in Indicators (122)
- `Indicators Reference <http://www.backtrader.com/docu/indautoref.html>`_
Python 2/3 Support
==================
- Python ``2.7``
- Python ``3.2`` / ``3.3``/ ``3.4`` / ``3.5`` / ``3.6`` / ``3.7``
- It also works with ``pypy`` and ``pypy3`` (no plotting - ``matplotlib`` is
not supported under *pypy*)
Compatibility is tested during development with ``2.7`` and ``3.5``
The other versions are tested automatically with *Travis*.
Installation
============
``backtrader`` is self-contained with no external dependencies (except if you
want to plot)
From *pypi*:
- ``pip install backtrader``
- ``pip install backtrader[plotting]``
If ``matplotlib`` is not installed and you wish to do some plotting
.. note:: The minimum matplotlib version is ``1.4.1``
An example for *IB* Data Feeds/Trading:
- ``IbPy`` doesn't seem to be in PyPi. Do either::
pip install git+https://github.com/blampe/IbPy.git
or (if ``git`` is not available in your system)::
pip install https://github.com/blampe/IbPy/archive/master.zip
For other functionalities like: ``Visual Chart``, ``Oanda``, ``TA-Lib``, check
the dependencies in the documentation.
From source:
- Place the *backtrader* directory found in the sources inside your project
Version numbering
=================
X.Y.Z.I
- X: Major version number. Should stay stable unless something big is changed
like an overhaul to use ``numpy``
- Y: Minor version number. To be changed upon adding a complete new feature or
(god forbids) an incompatible API change.
- Z: Revision version number. To be changed for documentation updates, small
changes, small bug fixes
- I: Number of Indicators already built into the platform
Alternatives
============
If after seeing the docs and some samples (see the blog also) you feel this is
not your cup of tea, you can always have a look at similar Python platforms:
- `PyAlgoTrade <https://github.com/gbeced/pyalgotrade>`_
- `Zipline <https://github.com/quantopian/zipline>`_
- `Ultra-Finance <https://code.google.com/p/ultra-finance/>`_
- `ProfitPy <https://code.google.com/p/profitpy/>`_
- `pybacktest <https://github.com/ematvey/pybacktest>`_
- `prophet <https://github.com/Emsu/prophet>`_
- `quant <https://github.com/maihde/quant>`_
- `AlephNull <https://github.com/CarterBain/AlephNull>`_
- `Trading with Python <http://www.tradingwithpython.com/>`_
- `visualize-wealth <https://github.com/benjaminmgross/visualize-wealth>`_
- `tia: Toolkit for integration and analysis
<https://github.com/bpsmith/tia>`_
- `QuantSoftware Toolkit
<http://wiki.quantsoftware.org/index.php?title=QuantSoftware_ToolKit>`_
- `Pinkfish <http://fja05680.github.io/pinkfish/>`_
- `bt <http://pmorissette.github.io/bt/index.html>`_
``bt`` slightly pre-dates ``backtrader`` and has a completely different
approach but it is funny *bt* was also chosen as the abbreviation for
``backtrader`` during imports and that some of the methods have the same
naming (obvious naming anyhow): ``run``, ``plot`` ...
- `PyThalesians <https://github.com/thalesians/pythalesians>`_
- `QSTrader <https://github.com/mhallsmoore/qstrader/>`_
- `QSForex <https://github.com/mhallsmoore/qsforex>`_
- `pysystemtrade <https://github.com/robcarver17/pysystemtrade>`_
- `QTPyLib <https://github.com/ranaroussi/qtpylib>`_
- `RQalpha <https://github.com/ricequant/rqalpha>`_
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