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kitmonisit/backtrader

Python Backtesting library for trading strategies

backtrader

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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

If it's NOT an issue (i.e.: bug), don't post it as an issue. It will be
automatically closed.

For feedback/questions/... use the Community <https://community.backtrader.com>_

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, StopTrailLimitand 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 <http://www.backtrader.com/blog>_

Read the full documentation at:

  • Documentation <http://www.backtrader.com/docu>_

List of built-in Indicators (122)

  • Indicators Reference <http://www.backtrader.com/docu/indautoref.html>_

Python 2/3 Support

  • Python 2.7

  • Python 3.2 / 3.3/ 3.4 / 3.5 / 3.6 / 3.7

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

Compatibility is tested during development with 2.7 and 3.5

The other versions are tested automatically with Travis.

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:

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

Alternatives

If after seeing the docs and some samples (see the blog also) you feel this is
not your cup of tea, you can always have a look at similar Python platforms:

  • PyAlgoTrade <https://github.com/gbeced/pyalgotrade>_

  • Zipline <https://github.com/quantopian/zipline>_

  • Ultra-Finance <https://code.google.com/p/ultra-finance/>_

  • ProfitPy <https://code.google.com/p/profitpy/>_

  • pybacktest <https://github.com/ematvey/pybacktest>_

  • prophet <https://github.com/Emsu/prophet>_

  • quant <https://github.com/maihde/quant>_

  • AlephNull <https://github.com/CarterBain/AlephNull>_

  • Trading with Python <http://www.tradingwithpython.com/>_

  • visualize-wealth <https://github.com/benjaminmgross/visualize-wealth>_

  • tia: Toolkit for integration and analysis <https://github.com/bpsmith/tia>_

  • QuantSoftware Toolkit <http://wiki.quantsoftware.org/index.php?title=QuantSoftware_ToolKit>_

  • Pinkfish <http://fja05680.github.io/pinkfish/>_

  • bt <http://pmorissette.github.io/bt/index.html>_

    bt slightly pre-dates backtrader and has a completely different
    approach but it is funny bt was also chosen as the abbreviation for
    backtrader during imports and that some of the methods have the same
    naming (obvious naming anyhow): run, plot ...

  • PyThalesians <https://github.com/thalesians/pythalesians>_

  • QSTrader <https://github.com/mhallsmoore/qstrader/>_

  • QSForex <https://github.com/mhallsmoore/qsforex>_

  • pysystemtrade <https://github.com/robcarver17/pysystemtrade>_

  • QTPyLib <https://github.com/ranaroussi/qtpylib>_

  • RQalpha <https://github.com/ricequant/rqalpha>_

GNU General Public License v3.0
Created May 19, 2019
Updated January 4, 2020