bktest 2.0.0

bktest - A simple backtester by CrunchDAO

A small backtesting utility.

• Install
• Usage
  • Options
    • Exporters
      • Console
      • Dump
      • Influx
      • 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 the signal 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.
--auto-close-others		false		Should other position be closed after an ordering?
--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
--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.

Influx

Export the generated data to an Influx database.
Making it easier to plot the values using software like Grafana.

Option	Value	Default	Format	Description
--influx		false		Enable the influx exporter.
--influx-host	<host>	localhost	string	Specify the remote influx address.
--influx-port	<port>	8086	number	Specify the remote influx port.
--influx-database	<database>	backtest	string	Specify the influx database to use.
--influx-measurement	<measurement>	snapshots	string	Specify the table name to use.
--influx-key	<key>	test	string	Specify the unique key to use. Previous data with the same key will be deleted!

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.