lucit-backtesting 1.0.0

Backtest trading strategies in Python

lucit-backtesting - 'backtesting.py' maintained by LUCIT

Backtest trading strategies with Python.

Kudos to Zach Lûster for the original project kernc/backtesting.py which he built and maintained for 5 years.

We at LUCIT like to use backtesting.py with our customers in smaller projects. Unfortunately the project is missing important updates, and therefore we decided to fork the project and release new stable versions.

We are happy to maintain our forked repository and take care of code reviews, pull requests and releases and hope for good support from the community!

Installation

You can have either backtesting.py or lucit-backtesting installed, but not both!

$ pip uninstall backtesting
$ pip install lucit-backtesting

Usage

from backtesting import Backtest, Strategy
from backtesting.lib import crossover

from backtesting.test import SMA, GOOG


class SmaCross(Strategy):
    def init(self):
        price = self.data.Close
        self.ma1 = self.I(SMA, price, 10)
        self.ma2 = self.I(SMA, price, 20)

    def next(self):
        if crossover(self.ma1, self.ma2):
            self.buy()
        elif crossover(self.ma2, self.ma1):
            self.sell()


bt = Backtest(GOOG, SmaCross, commission=.002,
              exclusive_orders=True)
stats = bt.run()
bt.plot()

Results in:

Start                     2004-08-19 00:00:00
End                       2013-03-01 00:00:00
Duration                   3116 days 00:00:00
Exposure Time [%]                       94.27
Equity Final [$]                     68935.12
Equity Peak [$]                      68991.22
Return [%]                             589.35
Buy & Hold Return [%]                  703.46
Return (Ann.) [%]                       25.42
Volatility (Ann.) [%]                   38.43
Sharpe Ratio                             0.66
Sortino Ratio                            1.30
Calmar Ratio                             0.77
Max. Drawdown [%]                      -33.08
Avg. Drawdown [%]                       -5.58
Max. Drawdown Duration      688 days 00:00:00
Avg. Drawdown Duration       41 days 00:00:00
# Trades                                   93
Win Rate [%]                            53.76
Best Trade [%]                          57.12
Worst Trade [%]                        -16.63
Avg. Trade [%]                           1.96
Max. Trade Duration         121 days 00:00:00
Avg. Trade Duration          32 days 00:00:00
Profit Factor                            2.13
Expectancy [%]                           6.91
SQN                                      1.78
Kelly Criterion                        0.6134
_strategy              SmaCross(n1=10, n2=20)
_equity_curve                          Equ...
_trades                       Size  EntryB...
dtype: object

Features

• Simple, well-documented API
• Blazing fast execution
• Built-in optimizer
• Library of composable base strategies and utilities
• Indicator-library-agnostic
• Supports any financial instrument with candlestick data
• Detailed results
• Interactive visualizations

Bugs

Before reporting bugs or posting to the discussion board, please read contributing guidelines, particularly the section about crafting useful bug reports and ```-fencing your code. We thank you!