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

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

sigsmacross.py

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 

  _

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

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

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