replaybt 1.1.0

Realistic backtesting engine for algo traders & AI agents

replaybt

Realistic backtesting engine for algo traders and AI agents.

The engine owns execution — your strategy only emits signals. No look-ahead bias by default. Gap protection, adverse slippage, and fees are built in, not bolted on.

Install

pip install replaybt

Quick Start

from replaybt import BacktestEngine, CSVProvider, Strategy, MarketOrder, Side


class EMACrossover(Strategy):
    def configure(self, config):
        self._prev_fast = self._prev_slow = None

    def on_bar(self, bar, indicators, positions):
        fast = indicators.get("ema_fast")
        slow = indicators.get("ema_slow")
        if fast is None or slow is None or self._prev_fast is None:
            self._prev_fast, self._prev_slow = fast, slow
            return None

        crossed_up = fast > slow and self._prev_fast <= self._prev_slow
        self._prev_fast, self._prev_slow = fast, slow

        if not positions and crossed_up:
            return MarketOrder(side=Side.LONG, take_profit_pct=0.05, stop_loss_pct=0.03)
        return None


engine = BacktestEngine(
    strategy=EMACrossover(),
    data=CSVProvider("ETH_1m.csv", symbol_name="ETH"),
    config={
        "initial_equity": 10_000,
        "indicators": {
            "ema_fast": {"type": "ema", "period": 15, "source": "close"},
            "ema_slow": {"type": "ema", "period": 35, "source": "close"},
        },
    },
)
results = engine.run()
print(results.summary())

Key Features

• Signals at T, fills at T+1 — no look-ahead bias
• Gap protection — open gaps past stops fill at the open, not the stop level
• 11 built-in indicators with automatic multi-timeframe resampling
• Limit orders, scale-in, breakeven stops, trailing stops, partial TP
• Multi-asset — time-synchronized portfolio backtest
• RL-ready — StepEngine with gym-like step() / reset()
• Declarative strategies — JSON config, no Python class needed
• Validation — static bias auditor, delay test, OOS split
• Optimization — parallel parameter sweep, walk-forward, Monte Carlo

Documentation

Full documentation: sirmoremoney.github.io/replaybt

• Getting Started — first backtest tutorial
• Concepts — execution loop, signal timing, gap protection
• Cookbook — working recipes for common patterns
• API Reference — every class, method, and parameter

License

MIT