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https://github.com/mementum/backtrader

Python Backtesting library for trading strategies
https://github.com/mementum/backtrader

backtesting metaclass python trading

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Python Backtesting library for trading strategies

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README 

        
backtrader

==========



.. image:: https://img.shields.io/pypi/v/backtrader.svg

   :alt: PyPi Version

   :scale: 100%

   :target: https://pypi.python.org/pypi/backtrader/



..  .. image:: https://img.shields.io/pypi/dm/backtrader.svg

       :alt: PyPi Monthly Donwloads

       :scale: 100%

       :target: https://pypi.python.org/pypi/backtrader/



.. image:: https://img.shields.io/pypi/l/backtrader.svg

   :alt: License

   :scale: 100%

   :target: https://github.com/backtrader/backtrader/blob/master/LICENSE

.. image:: https://travis-ci.org/backtrader/backtrader.png?branch=master

   :alt: Travis-ci Build Status

   :scale: 100%

   :target: https://travis-ci.org/backtrader/backtrader

.. image:: https://img.shields.io/pypi/pyversions/backtrader.svg

   :alt: Python versions

   :scale: 100%

   :target: https://pypi.python.org/pypi/backtrader/



**Yahoo API Note**:



  [2018-11-16] After some testing it would seem that data downloads can be

  again relied upon over the web interface (or API ``v7``)



**Tickets**



  The ticket system is (was, actually) more often than not abused to ask for

  advice about samples.



For **feedback/questions/...** use the `Community `_



Here 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 adjustmet for

    future-like instruments

  - Sizers for automated staking

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

  - Schedulers

  - Trading Calendars

  - Plotting (requires matplotlib)



Documentation

=============



The blog:



  - `Blog `_



Read the full documentation at:



  - `Documentation `_



List of built-in Indicators (122)



  - `Indicators Reference `_



Python 2/3 Support

==================



  - Python >= ``3.2``



  - It also works with ``pypy`` and ``pypy3`` (no plotting - ``matplotlib`` is

    not supported under *pypy*)



Installation

============



``backtrader`` is self-contained with no external dependencies (except if you

want to plot)



From *pypi*:



  - ``pip install backtrader``



  - ``pip install backtrader[plotting]``



    If ``matplotlib`` is not installed and you wish to do some plotting



.. note:: The minimum matplotlib version is ``1.4.1``



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.I



  - 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

  - I: Number of Indicators already built into the platform