bitmex-backtest is a python library for backtest with bitmex fx trade rest api on Python 3.7 and above.
Project description
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
- Fork it
- Create your feature branch (
git checkout -b my-new-feature
) - Commit your changes (
git commit -am 'Add some feature'
) - Push to the branch (
git push origin my-new-feature
) - Create new Pull Request
Project details
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Source Distribution
bitmex-backtest-0.1.3.tar.gz
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