bktest 2.1.0

bktest - A simple backtester by CrunchDAO

A small backtesting utility.

• Install
• Usage
  • Options
    • Exporters
      • Console
      • Dump
      • QuantStats
      • PDF
      • Specific Return
    • Data Sources
      • Yahoo
      • CoinMarketCap
      • FactSet
      • File
        • .parquet

Install

pip install --upgrade bktest

Usage

bktest [OPTIONS]

Options

Option	Value	Default	Format	Description
--start	<start date>	orders' first date	date (ISO-8601)	The starting date of the backtesting. If the value is before the first ordering day, the value will be discarded.
--end	<end date>	orders' last date	date (ISO-8601)	The ending date of the backtesting. If the value is after today, the value will be discarded.
--offset-before-trading	<days>	1	int	Number of day to offset to push each date of the portfolio before trading it.
--offset-before-ending	<days>	0	int	Number of day to continue the backtest after every orders.
--order-file	<file>		path	The single order file to use. The file must contain symbol, quantity and date information.
--single-file-provider-column-date	<column>	date	string	Change the date column name to use.
--single-file-provider-column-symbol	<column>	symbol	string	Change the symbol column name to use.
--single-file-provider-column-quantity	<column>	quantity	string	Change the quantity column name to use.
--order-files	<directory>		path	The directory of order file to use. The filename must be a date. The file must contain symbol and quantity information.
--order-files-extension	<extension>	csv	[csv, parquet, json]	Change the file extension to use when listing for order files.
--initial-cash	<amount>	100_000	number	Change the initial cash to use for the backtesting.
--quantity-mode	<mode>	percent	[percent, share]	If the mode is share, all quantities will be interpreted as integers. If the mode is percent, all values will be multiplied by the current cash value.
--weekends		false		Enable ordering on weekends.
--holidays		false		Enable ordering on holidays.
--symbol-mapping	<mapping>		path (.json)	Specify a custom symbol mapping file enabling vendor-id translation.
--no-caching		false		Disable prices caching.
--fee-model	<model>		expression or constant	Specify a fee model to use. The value can be a constant. Or an expression that allow the usage of the price and quantity variable. Example: abs(price * quantity) * 0.1
--holiday-provider	<name>	nyse	[legacy, nyse]	Specify which holiday provider to use.
--rfr-file	<directory>		path	The directory of rfr file to use. The file must contain a column with date information and a column with the rfr information in %.
--rfr-file-column-date	<column>	date	string	Change the date column name to use.

Exporters

Multiple exporters can be enabled at one time.

Console

The console exporter allows a quick look at the backtest.

Option	Value	Default	Format	Description
--console		false		Enable the console exporter.
--console-format	<format>	text	[text, json]	Change the output format.
--console-file	<file>	out	[out, err]	Change the output file.
--console-hide-skips		false		Do not the skipped days.
--console-text-no-color		false		Disable colors in the output. (only if the format is text)

Dump

The dump exporter generate a dump of the portfolio at each day.

Option	Value	Default	Format	Description
--dump		false		Enable the dump exporter.
--dump-output-file	<file>	dump.csv	path	Specify the output file.
--dump-auto-delete		false		Automatically delete the previous dump file if it is present.

QuantStats

Generate a tearsheet from the backtest data.

Option	Value	Default	Format	Description
--quantstats		false		Enable the quantstats exporter.
--quantstats-output-file-html	<file>	report.html	path	Specify the output file containing the tearsheet.
--quantstats-output-file-csv	<file>	report.csv	path	Specify the output file containing raw returns.
--quantstats-benchmark-ticker	<ticker>	SPY	symbol	Specify the ticker to use as a benchmark in the tearsheet.
--quantstats-auto-delete		false		Automatically delete the previous report files if they are present.

PDF

Generate a tearsheet from a custom template.

Option	Value	Default	Format	Description
--pdf		false		Enable the pdf exporter.
--pdf-template	<file>	tearsheet.sketch	path	Specify the template file.
--pdf-output-file	<file>	report.pdf	path	Specify the output file.
--pdf-auto-delete		false		Automatically delete the previous report file if present.
--pdf-debug		false		Enable the pdf renderer's debugging tools.
--pdf-variable	[<key> <value>]	[]	string string	Add a custom variable.
--pdf-user-script	[<file>]	[]	path	Add a user script.

Specific Return

Generate a tearsheet from the specific return backtest data.

Option	Value	Default	Format	Description
--specific-return	<file>		path	Enable the specific return exporter by proving a file.
--specific-return-column-date	<column>	date	string	Specify the name of column containing the dates informations.
--specific-return-column-symbol	<column>	symbol	string	Specify the name of column containing the symbols informations.
--specific-return-column-value	<column>	specific_return	string	Specify the name of column containing the value informations.
--specific-return-output-file-html	<file>	sr-report.html	path	Specify the output file containing the tearsheet.
--specific-return-output-file-csv	<file>	sr-report.csv	path	Specify the output file containing raw returns.
--specific-return-auto-delete		false		Automatically delete the previous report files if they are present.

Data Sources

Only one data source can be used at once.

Yahoo

Option	Value	Default	Format	Description
--yahoo		false		Enable yahoo as the data source.

CoinMarketCap

Option	Value	Default	Format	Description
--coinmarketcap		false		Enable coinmarketcap as the data source.
--coinmarketcap-force-mapping-refresh		false		Force a mapping refresh. This is usually only done automatically the first time of using this data source.
--coinmarketcap-page-size	<size>	10_000	number	Specify the page size while building the mapping.

FactSet

Option	Value	Default	Format	Description
--factset		false		Enable factset as the data source.
--factset-username-serial		$FACTSET_USERNAME_SERIAL		Specify the factset's username serial to use.
--factset-api-key		$FACTSET_API_KEY		Specify the factset's api key to use.

File

Use a static file as a price data source.

If another data source is specified, files sources will be used first in a delegated data source. Meaning that if the data are not available in the file, the next data source will be used.

.parquet

Option	Value	Default	Format	Description
--file-parquet	<file>		path	Use a static .parquet file as a the data source.
--file-parquet-column-date	<column>	date	string	Specify the name of column containing the dates informations.
--file-parquet-column-symbol	<column>	symbol	string	Specify the name of column containing the symbols informations.
--file-parquet-column-price	<column>	price	string	Specify the name of column containing the prices informations.