Python Backtesting library for trading strategies
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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
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.signaladd(bt.SIGNALLONG, 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.pywhich can be parametrized from the command line.
Live Trading and backtesting platform written in Python.
Live Data Feed and Trading with
IbPyand benefits greatly from an installed
pytz)
comtypesuntil a pull request is integrated in the release and benefits from
pytz)
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
pyfoliointegration (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)
The blog:
Blog_
Read the full documentation at:
Documentation_
List of built-in Indicators (122)
Indicators Reference_
Python >=
3.2
It also works with
pypyand
pypy3(no plotting -
matplotlibis not supported under pypy)
backtraderis self-contained with no external dependencies (except if you want to plot)
From pypi:
pip install backtrader
pip install backtrader[plotting]
If
matplotlibis 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:
IbPydoesn't seem to be in PyPi. Do either::
pip install git+https://github.com/blampe/IbPy.git
or (if
gitis 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:
X.Y.Z.I
numpy