bitmex-backtest

bitmex-backtest is a python library for backtest with bitmex fx trade rest api on Python 3.7 and above.

Installation

$ pip install bitmex-backtest

Usage

basic

from bitmex_backtest import Backtest

bt = Backtest()
bt.candles("XBTUSD")
fast_ma = bt.sma(period=5)
slow_ma = bt.sma(period=25)
bt.sell_exit = bt.buy_entry = (fast_ma > slow_ma) & (fast_ma.shift() <= slow_ma.shift())
bt.buy_exit = bt.sell_entry = (fast_ma < slow_ma) & (fast_ma.shift() >= slow_ma.shift())
bt.run()
bt.plot()

advanced

from bitmex_backtest import Backtest

bt = Backtest(test=True)
filepath = "xbtusd-60.csv"
if bt.exists(filepath):
    bt.read_csv(filepath)
else:
    params = {
        "resolution": "60",  # 1 hour candlesticks (default=1) 1,3,5,15,30,60,120,180,240,360,720,1D,3D,1W,2W,1M
        "count": "5000" # 5000 candlesticks (default=500)
    }
    bt.candles("XBTUSD", params)
    bt.to_csv(filepath)

fast_ma = bt.sma(period=10)
slow_ma = bt.sma(period=30)
exit_ma = bt.sma(period=5)
bt.buy_entry = (fast_ma > slow_ma) & (fast_ma.shift() <= slow_ma.shift())
bt.sell_entry = (fast_ma < slow_ma) & (fast_ma.shift() >= slow_ma.shift())
bt.buy_exit = (bt.C < exit_ma) & (bt.C.shift() >= exit_ma.shift())
bt.sell_exit = (bt.C > exit_ma) & (bt.C.shift() <= exit_ma.shift())

bt.quantity = 100 # default=1
bt.stop_loss = 200 # stop loss (default=0)
bt.take_profit = 1000 # take profit (default=0)

print(bt.run())
bt.plot("backtest.png")

total profit       -342200.000
total trades           162.000
win rate                32.716
profit factor            0.592
maximum drawdown    470950.000
recovery factor         -0.727
riskreward ratio         1.295
sharpe ratio            -0.127
average return         -20.325
stop loss               23.000
take profit              1.000

Supported indicators

• Simple Moving Average 'sma'
• Exponential Moving Average 'ema'
• Moving Average Convergence Divergence 'macd'
• Relative Strenght Index 'rsi'
• Bollinger Bands 'bband'
• Stochastic Oscillator 'stoch'
• Market Momentum 'mom'

Getting started

For help getting started with bitmex REST API, view our online documentation.

Contributing

1. Fork it
2. Create your feature branch (git checkout -b my-new-feature)
3. Commit your changes (git commit -am 'Add some feature')
4. Push to the branch (git push origin my-new-feature)
5. Create new Pull Request