crypto-backtester-binance 1.0.0

A backtesting framework for cryptocurrency trading strategies on Binance

Crypto Backtester

A backtesting framework for cryptocurrency trading strategies on Binance. Supports spot and perpetual futures markets with risk management, position sizing, and performance analytics.

Features

• Historical Data Collection: Automated collection and caching of OHLCV, trades, funding rates, and open interest data
• Strategy Backtesting: Run strategies over historical data with configurable time steps
• Risk Management: User-defined position manager for custom risk screening and position sizing
• OMS Simulation: Order management system that tracks positions, balances, and trade history
• Performance Metrics: Returns, Sharpe ratio, drawdown, and permutation testing
• Multiple Market Types: Support for both spot and perpetual futures markets

Prerequisites

• Python 3.11 or higher
• pip or uv package manager

Installation

From PyPI (recommended)

pip install crypto-backtester-binance

From Source

git clone https://github.com/LevRoz630/crypto-backtester.git
cd crypto-backtester
pip install -e .

With development dependencies:

pip install -e ".[dev,test,docs]"

Data Directory

The framework will automatically download and cache historical data. You can specify a custom path when initializing the Backtester, or it defaults to ./historical_data.

Project Structure

crypto-backtester-binance/
├── src/crypto_backtester_binance/  # Core library
│   ├── backtester.py               # Main backtest orchestrator
│   ├── oms_simulation.py           # Order management system
│   ├── hist_data.py                # Historical data collector
│   └── utils.py                    # Utility functions
├── examples/                       # Example scripts
│   ├── position_manager.py         # Reference position manager (user-defined)
│   ├── 01_simple_backtest.py       # Buy-and-hold strategy
│   ├── 02_momentum_strategy.py     # SMA crossover strategy
│   └── 03_long_short_strategy.py   # Long BTC / Short Alts
├── tests/                          # Test suite
├── docs/                           # Documentation
└── historical_data/                # Cached data (created on first run)

Quick Start

Running Your First Backtest

from datetime import datetime, timedelta, UTC
from typing import Any

from crypto_backtester_binance.backtester import Backtester
from crypto_backtester_binance.hist_data import HistoricalDataCollector
from crypto_backtester_binance.oms_simulation import OMSClient


# Define a simple strategy
class HoldStrategy:
    def __init__(self, symbols: list[str], lookback_days: int = 0):
        self.symbols = symbols
        self.lookback_days = lookback_days
        self.has_bought = False

    def run_strategy(self, oms_client: OMSClient, data_manager: HistoricalDataCollector):
        orders = []
        if not self.has_bought:
            for symbol in self.symbols:
                orders.append({"symbol": symbol, "instrument_type": "future", "side": "LONG"})
            self.has_bought = True
        return orders


# Define a position manager (user-defined risk management)
class SimplePositionManager:
    def filter_orders(
        self, orders: list[dict[str, Any]], oms_client: Any, data_manager: HistoricalDataCollector
    ) -> list[dict[str, Any]] | None:
        """Add position sizing to orders. Must return orders with 'value' field."""
        if not orders:
            return None
        # Simple equal-weight allocation: 10% of balance per order
        budget = oms_client.balance["USDT"] * 0.1 / len(orders)
        return [{**order, "value": budget} for order in orders]


# Initialize backtester
backtester = Backtester(historical_data_dir="./historical_data")

# Create strategy and position manager
strategy = HoldStrategy(symbols=["BTC-USDT", "ETH-USDT", "SOL-USDT"])
position_manager = SimplePositionManager()

# Set backtest period
start_date = datetime.now(UTC) - timedelta(days=50)
end_date = datetime.now(UTC) - timedelta(days=1)

# Run backtest
results = backtester.run_backtest(
    strategy=strategy,
    position_manager=position_manager,
    start_date=start_date,
    end_date=end_date,
    time_step=timedelta(days=1),
    market_type="futures",
)

# View results
print(f"Total Return: {results['total_return']:.2%}")
print(f"Sharpe Ratio: {results['sharpe_ratio']:.2f}")
print(f"Max Drawdown: {results['max_drawdown']:.2%}")

# Generate plots
backtester.plot_portfolio_value()
backtester.plot_positions(results)

The first run will download historical data automatically. Subsequent runs use cached data.

Running Example Scripts

# Simple buy-and-hold
python examples/01_simple_backtest.py

# Momentum strategy (SMA crossover)
python examples/02_momentum_strategy.py

# Long BTC / Short Alts
python examples/03_long_short_strategy.py

Creating Custom Strategies

A strategy must implement the run_strategy method that returns a list of order dictionaries:

from datetime import timedelta

from crypto_backtester_binance.hist_data import HistoricalDataCollector
from crypto_backtester_binance.oms_simulation import OMSClient


class MyStrategy:
    def __init__(self, symbols: list[str], lookback_days: int):
        self.symbols = symbols
        self.lookback_days = lookback_days

    def run_strategy(
        self,
        oms_client: OMSClient,
        data_manager: HistoricalDataCollector,
    ) -> list[dict]:
        """
        Generate trading orders based on strategy logic.

        Returns:
            List of order dictionaries with keys:
            - symbol: str (e.g., "BTC-USDT")
            - instrument_type: str ("spot" or "future")
            - side: str ("LONG", "SHORT", or "CLOSE")
            - value: float (optional, USDT notional)
        """
        orders = []

        for symbol in self.symbols:
            # Load historical data
            data = data_manager.load_data_period(
                symbol=symbol,
                timeframe="1h",
                data_type="mark_ohlcv_futures",
                start_date=oms_client.current_time - timedelta(days=self.lookback_days),
                end_date=oms_client.current_time,
            )

            # Your strategy logic here...

            orders.append({
                "symbol": symbol,
                "instrument_type": "future",
                "side": "LONG",  # or "SHORT" or "CLOSE"
            })

        return orders

Configuration

Market Types

• "futures": Uses perpetual futures data with margin-based positions

Time Steps

Supported time deltas map to data timeframes:

• timedelta(minutes=1) → "1m"
• timedelta(minutes=5) → "5m"
• timedelta(minutes=15) → "15m" (default)
• timedelta(minutes=30) → "30m"
• timedelta(hours=1) → "1h"

Position Manager

The position manager is user-defined - you create it to match your risk management needs. It must implement a filter_orders method with this signature:

def filter_orders(
    self,
    orders: list[dict],
    oms_client: OMSClient,
    data_manager: HistoricalDataCollector
) -> list[dict] | None:
    """
    Process orders from strategy before execution.

    Args:
        orders: Raw orders from strategy
        oms_client: Access to balance, positions, current time
        data_manager: Access to historical data

    Returns:
        List of orders with 'value' field set, or None to skip
    """

See examples/position_manager.py for a reference implementation with:

• Volatility-based risk screening
• Inverse-volatility position sizing
• Budget enforcement

Documentation

Building Documentation

If you installed with [docs]:

# Build static HTML
mkdocs build

# Serve locally for preview
mkdocs serve

Then open http://127.0.0.1:8000 in your browser.

Documentation Structure

• Overview: Architecture and data flow (docs/overview.md)
• API Reference: Auto-generated from docstrings (docs/api/)
• Examples: Strategy implementations (examples/)

Permutation Testing

Test strategy significance using randomized returns:

results = backtester.run_permutation_backtest(
    strategy=strategy,
    position_manager=position_manager,
    start_date=start_date,
    end_date=end_date,
    time_step=timedelta(days=1),
    market_type="futures",
    permutations=100,  # Number of random permutations
)

print(f"P-value: {results['p_value']:.4f}")
print(f"Observed Sharpe: {results['sharpe_ratio']:.2f}")

Troubleshooting

Data Download Issues

• Ensure you have internet connectivity for first-time data collection
• Check that the historical_data directory is writable
• Data is cached in Parquet format for fast subsequent loads

Import Errors

If you see import errors, ensure the package is installed:

pip install crypto-backtester-binance

Or for development:

pip install -e .

Memory Issues

For large backtests:

• Reduce lookback_days in your strategy
• Use longer time_step intervals
• Process data in chunks

License

See LICENSE file for details.

Contributing

1. Fork the repository
2. Create a feature branch
3. Make your changes
4. Submit a pull request

Support

For issues and questions, please open an issue on the repository.