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https://kernc.github.io/backtesting.py/

:mag_right: :chart_with_upwards_trend: :snake: :moneybag: Backtest trading strategies in Python.
https://kernc.github.io/backtesting.py/

algo-trading algorithmic-trading backtesting backtesting-engine backtesting-frameworks backtesting-trading-strategies finance financial-markets forex forex-trading framework hacktoberfest investing investment investment-strategies stocks trading trading-algorithms trading-simulator trading-strategies

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:mag_right: :chart_with_upwards_trend: :snake: :moneybag: Backtest trading strategies in Python.

Host: GitHub
URL: https://kernc.github.io/backtesting.py/
Owner: kernc
License: agpl-3.0
Created: 2019-01-02T03:11:32.000Z (almost 6 years ago)
Default Branch: master
Last Pushed: 2024-07-17T16:29:56.000Z (4 months ago)
Last Synced: 2024-08-01T03:17:41.956Z (3 months ago)
Topics: algo-trading, algorithmic-trading, backtesting, backtesting-engine, backtesting-frameworks, backtesting-trading-strategies, finance, financial-markets, forex, forex-trading, framework, hacktoberfest, investing, investment, investment-strategies, stocks, trading, trading-algorithms, trading-simulator, trading-strategies
Language: Python
Homepage: https://kernc.github.io/backtesting.py/
Size: 8.67 MB
Stars: 5,172
Watchers: 115
Forks: 1,015
Open Issues: 169
Metadata Files:
- Readme: README.md
- Changelog: CHANGELOG.md
- Contributing: CONTRIBUTING.md
- Funding: .github/FUNDING.yml
- License: LICENSE.md

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awesome-quant - Backtesting.py - Backtest trading strategies in Python (Python / Trading & Backtesting)
awesome-quant - Backtesting.py - Backtest trading strategies in Python (Python / Trading & Backtesting)

README

        [![](https://i.imgur.com/E8Kj69Y.png)](https://kernc.github.io/backtesting.py/)

Backtesting.py

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

[![Build Status](https://img.shields.io/github/actions/workflow/status/kernc/backtesting.py/ci.yml?branch=master&style=for-the-badge)](https://github.com/kernc/backtesting.py/actions)

[![Code Coverage](https://img.shields.io/codecov/c/gh/kernc/backtesting.py.svg?style=for-the-badge)](https://codecov.io/gh/kernc/backtesting.py)

[![Backtesting on PyPI](https://img.shields.io/pypi/v/backtesting.svg?color=blue&style=for-the-badge)](https://pypi.org/project/backtesting)

[![PyPI downloads](https://img.shields.io/pypi/dd/backtesting.svg?color=skyblue&style=for-the-badge)](https://pypi.org/project/backtesting)

[![GitHub Sponsors](https://img.shields.io/github/sponsors/kernc?color=pink&style=for-the-badge)](https://github.com/sponsors/kernc)

Backtest trading strategies with Python.

[**Project website**](https://kernc.github.io/backtesting.py) + [Documentation]

[Documentation]: https://kernc.github.io/backtesting.py/doc/backtesting/

Installation

------------

    $ pip install backtesting

Usage

-----

```python

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:

```text

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

```

[![plot of trading simulation](https://i.imgur.com/xRFNHfg.png)](https://kernc.github.io/backtesting.py/#example)

Find more usage examples in the [documentation].

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

![xkcd.com/1570](https://imgs.xkcd.com/comics/engineer_syllogism.png)

Bugs

----

Before reporting bugs or posting to the

[discussion board](https://github.com/kernc/backtesting.py/discussions),

please read [contributing guidelines](CONTRIBUTING.md), particularly the section

about crafting useful bug reports and ```` ``` ````-fencing your code. We thank you!

Alternatives

------------

See [alternatives.md] for a list of alternative Python

backtesting frameworks and related packages.

[alternatives.md]: https://github.com/kernc/backtesting.py/blob/master/doc/alternatives.md