nijigen-backtrader 1.10.1

BackTesting Engine - A feature-rich Python framework for backtesting and trading

nijigen-backtrader

A feature-rich Python framework for backtesting and trading.

Note: This is a maintained fork of the original backtrader project.

Quick Start

Here's a snippet of a Simple Moving Average CrossOver. It can be done in several different ways. Use the docs (and examples) Luke!

from datetime import datetime
import backtrader as bt

class SmaCross(bt.SignalStrategy):
    def __init__(self):
        sma1, sma2 = bt.ind.SMA(period=10), bt.ind.SMA(period=30)
        crossover = bt.ind.CrossOver(sma1, sma2)
        self.signal_add(bt.SIGNAL_LONG, crossover)

cerebro = bt.Cerebro()
cerebro.addstrategy(SmaCross)

data0 = bt.feeds.YahooFinanceData(dataname='MSFT', fromdate=datetime(2011, 1, 1),
                                  todate=datetime(2012, 12, 31))
cerebro.adddata(data0)

cerebro.run()
cerebro.plot()

Including a full featured chart. Give it a try! This is included in the samples as sigsmacross/sigsmacross2.py. Along it is sigsmacross.py which can be parametrized from the command line.

Features

Live Trading and backtesting platform written in Python.

• Live Data Feed and Trading with

  • Interactive Brokers (needs IbPy and benefits greatly from an installed pytz)
  • Visual Chart (needs a fork of comtypes until a pull request is integrated in the release and benefits from pytz)
  • Oanda (needs oandapy) (REST API Only - v20 did not support streaming when implemented)

• Data feeds from csv/files, online sources or from pandas and blaze

• Filters for datas, like breaking a daily bar into chunks to simulate intraday or working with Renko bricks

• Multiple data feeds and multiple strategies supported

• Multiple timeframes at once

• Integrated Resampling and Replaying

• Step by Step backtesting or at once (except in the evaluation of the Strategy)

• Integrated battery of indicators

• TA-Lib indicator support (needs python ta-lib / check the docs)

• Easy development of custom indicators

• Analyzers (for example: TimeReturn, Sharpe Ratio, SQN) and pyfolio integration (deprecated)

• Flexible definition of commission schemes

• Integrated broker simulation with Market, Close, Limit, Stop, StopLimit, StopTrail, StopTrailLimit and OCO orders, bracket order, slippage, volume filling strategies and continuous cash adjustment for future-like instruments

• Sizers for automated staking

• Cheat-on-Close and Cheat-on-Open modes

• Schedulers

• Trading Calendars

• Plotting (requires matplotlib)

Documentation

• Blog
• Documentation
• Indicators Reference (122 built-in indicators)

Python Support

• Python >= 3.9
• It also works with pypy and pypy3 (no plotting - matplotlib is not supported under pypy)

Installation

nijigen-backtrader is self-contained with no external dependencies (except if you want to plot)

From pypi:

pip install nijigen-backtrader

With plotting support:

pip install nijigen-backtrader[plotting]

Note: The minimum matplotlib version is 1.4.1

Optional Dependencies

An example for IB Data Feeds/Trading:

• IbPy doesn't seem to be in PyPi. Do either:

  pip install git+https://github.com/blampe/IbPy.git
  

  or (if git is not available in your system):

  pip install https://github.com/blampe/IbPy/archive/master.zip
  

For other functionalities like: Visual Chart, Oanda, TA-Lib, check the dependencies in the documentation.

From source:

• Place the backtrader directory found in the sources inside your project

Version Numbering

X.Y.Z

• X: Major version number. Should stay stable unless something big is changed like an overhaul to use numpy
• Y: Minor version number. To be changed upon adding a complete new feature or (god forbids) an incompatible API change.
• Z: Revision version number. To be changed for documentation updates, small changes, small bug fixes

License

GNU General Public License v3.0 or later (GPLv3+)