kronos-backtester 0.1.2

A backtesting framework for the trading strategies developed by Quant Illinois.

kronos_backtester

Installation

$ pip3 install kronos-backtester

Requirements

• Python >= 3.7.1
• Pandas >= 1.3.0
• YFinance

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Quick Start

from kronos_backtester import Backtester

# Example strategy to be backtested
def momentumStrategy(df, short_window=50, long_window=200, entry_threshold=0.02, exit_threshold=0.01):
    # Strategy code here
    # Inputs: Pandas Dataframe of price data, any relevant parameters for the strategy
        # The Dataframe will have columns 'Close', 'Open', 'High', 'Low', and 'Volume'
    # Output: Pandas Series of signals which are integers -1, 0, 1
        # -1 : Sell, 0 : Hold, 1 : Buy
        # Index of Series should be dates

# The wrapper should only take in a DataFrame and output a Series of signals
# This is essentially one version of the strategy with a specific set of parameters.
def testWrapper(df): 
    return momentumStrategy(df, long_window=100)

bt = Backtester(testWrapper)

# This backtests on a particular ticker with given start and end date
bt.testTickerReport('AAPL', '2010-01-01', '2020-01-01')

# You can also backtest on a custom DataFrame of price data
bt.testCustomReport(customDF)

Backtesting report output (dictionary)

Start 2010-01-01
End 2020-01-01
Duration 2516
Exposure Time 470.5
Net Worth [1000000, ... ,8166774.230371475]
Equity Final 8166774.230371475
Equity Peak 8166774.230371475
Return 7.166774230371475
Buy and Hold Return 10.038871419853216
Max Drawdown -0.1029208755830342
Avg Drawdown -0.09627259509420738
Max Drawdown Duration 19
Avg Drawdown Duration 8.857142857142858
# Trades 4
Win Rate 1.0
Best Trade 0.984095270845883
Worst Trade 0.48189821881601236
Max Trade Duration 669
Avg Trade Duration 470.5
Sharpe Ratio 33.99413578326285
Sortino Ratio nan
Calmar Ratio 69.11692296006356