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

🔎 📈 🐍 💰 Backtest trading strategies in Python.

Science Score: 36.0%

This score indicates how likely this project is to be science-related based on various indicators:

○
CITATION.cff file
✓
codemeta.json file
Found codemeta.json file
✓
.zenodo.json file
Found .zenodo.json file
○
DOI references
○
Academic publication links
✓
Committers with academic emails
1 of 35 committers (2.9%) from academic institutions
○
Institutional organization owner
○
JOSS paper metadata
○
Scientific vocabulary similarity
Low similarity (9.4%) to scientific vocabulary

Keywords

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

Last synced: 5 months ago · JSON representation

Repository

🔎 📈 🐍 💰 Backtest trading strategies in Python.

Basic Info

Host: GitHub
Owner: kernc
License: agpl-3.0
Language: Python
Default Branch: master
Homepage: https://kernc.github.io/backtesting.py/
Size: 13.2 MB

Statistics

Stars: 7,084
Watchers: 126
Forks: 1,276
Open Issues: 52
Releases: 0

Topics

Created about 7 years ago · Last pushed 7 months ago

Metadata Files

Readme Changelog Contributing Funding License

README.md

Backtesting.py

Backtest trading strategies with Python.

Project website + Documentation | YouTube

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 CAGR [%] 16.80 Sharpe Ratio 0.66 Sortino Ratio 1.30 Calmar Ratio 0.77 Alpha [%] 450.62 Beta 0.02 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) _equitycurve Equ... _trades Size EntryB... dtype: object ```

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

Bugs

Before reporting bugs or posting to the discussion board, please read contributing guidelines, 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.

Owner

Login: kernc
Kind: user

Repositories: 145
Profile: https://github.com/kernc

Committers

Last synced: 9 months ago

All Time

Total Commits: 410
Total Committers: 35
Avg Commits per committer: 11.714
Development Distribution Score (DDS): 0.1

Past Year

Commits: 132
Committers: 17
Avg Commits per committer: 7.765
Development Distribution Score (DDS): 0.144

Top Committers

Name	Email	Commits
Kernc	k**e@g**m	369
Billy Cao	a**o@g**m	2
Eric Ervin	e**n@r**m	2
Ivan Vaigult	i**t@g**m	2
NEMi	t**k@g**m	2
TankorSmash	t**b@g**m	2
crazy25000	c****0	2
jensnesten	4****n	2
Diego Lovison	d**n@g**m	1
CtrlX	7****x	1
Chuan	c**i@g**m	1
Bénouare	2****e	1
Andrew Schwartz	a**w@m**m	1
Andrew	q****e	1
Andre Miras	A****s	1
Ali Gheshlaghi	a**7@g**m	1
tani3010	t**0@g**m	1
Jack McPherson	j**b@g**m	1
t	t**s@t**m	1
paklong	p**6@g**m	1
lachyn21	7****1	1
arkershaw	a****w	1
Zeel Patel	z****l	1
Valentin Mikhaylenko	v**o@g**m	1
Tony	3****n	1
Tomasz Łakota	4****a	1
Syed Kawish Qayyum	8****m	1
Sean Kernitsman	s**l@g**m	1
S. Alexander Zaman	a**n@c**m	1
Murat Saglam	4****m	1
and 5 more...

Committer Domains (Top 20 + Academic)

johnmason.io: 1 compass.com: 1 tmdcgroup.com: 1 mk-dir.com: 1 realityshares.com: 1

Issues and Pull Requests

Last synced: 6 months ago

All Time

Total issues: 275
Total pull requests: 114
Average time to close issues: about 1 year
Average time to close pull requests: 11 months
Total issue authors: 213
Total pull request authors: 54
Average comments per issue: 2.57
Average comments per pull request: 1.17
Merged pull requests: 45
Bot issues: 0
Bot pull requests: 0

Past Year

Issues: 56
Pull requests: 38
Average time to close issues: 13 days
Average time to close pull requests: 20 days
Issue authors: 42
Pull request authors: 15
Average comments per issue: 0.75
Average comments per pull request: 0.74
Merged pull requests: 18
Bot issues: 0
Bot pull requests: 0

View more stats

Top Authors

Issue Authors

ironhak (8)
bravegag (6)
kernc (6)
rusty-peilin (4)
zeshansari (4)
ck0099 (4)
trueToastedCode (4)
vladiscripts (3)
kbs-code (3)
gypsyzz (3)
jsulopzs (3)
zha0yangchen (3)
Ish2K (2)
efeint01 (2)
eromoe (2)

Pull Request Authors

kernc (10)
jensnesten (6)
zlpatel (6)
abhirathmahipal (5)
ivaigult (4)
tani3010 (4)
gitctrlx (2)
lachyn21 (2)
themantalope (2)
abd1rahmane (2)
arkershaw (2)
jmcph4 (2)
Benouare (2)
diegolovison (2)
IperGiove (2)

Top Labels

Issue Labels

bug (42) invalid (39) question (34) enhancement (22) duplicate (17) help wanted (9) wontfix (7) Hacktoberfest (7) top-choice (6) good first issue (6) upstream (4) API (2)

Pull Request Labels

good first issue (1) Hacktoberfest (1)

Packages

Total packages: 6
Total downloads:
- pypi 78,830 last-month

Total dependent packages: 2
(may contain duplicates)
Total dependent repositories: 22
(may contain duplicates)
Total versions: 59
Total maintainers: 4

pypi.org: backtesting

Backtest trading strategies in Python

Homepage: https://kernc.github.io/backtesting.py/
Documentation: https://kernc.github.io/backtesting.py/doc/backtesting/
License: AGPL-3.0
Latest release: 0.6.5
published 7 months ago

Versions: 26
Dependent Packages: 2
Dependent Repositories: 21
Downloads: 77,982 Last month

Rankings

Stargazers count: 1.1%

Forks count: 1.5%

Downloads: 2.6%

Average: 2.6%

Dependent repos count: 3.2%

Dependent packages count: 4.7%

Maintainers (1)

kernc

Last synced: 6 months ago

pypi.org: foxbt

Backtest trading strategies in Python

Homepage: https://kernc.github.io/backtesting.py/
Documentation: https://kernc.github.io/backtesting.py/doc/backtesting/
License: AGPL-3.0
Latest release: 0.2.9
published over 4 years ago

Versions: 11
Dependent Packages: 0
Dependent Repositories: 1
Downloads: 17 Last month

Rankings

Dependent packages count: 10.0%

Dependent repos count: 21.7%

Average: 25.8%

Downloads: 28.5%

Forks count: 29.8%

Stargazers count: 38.8%

Maintainers (1)

theonlyfoxy

Last synced: 5 months ago

pypi.org: multibacktesting2

Backtest trading strategies in Python

Homepage: https://kernc.github.io/backtesting.py/
Documentation: https://kernc.github.io/backtesting.py/doc/backtesting/
License: AGPL-3.0
Latest release: 0.1.4
published over 1 year ago

Versions: 5
Dependent Packages: 0
Dependent Repositories: 0
Downloads: 42 Last month

Rankings

Dependent packages count: 10.3%

Average: 34.3%

Dependent repos count: 58.2%

Maintainers (1)

scottman625

Last synced: 6 months ago

pypi.org: multiplebacktesting2

Backtest trading strategies in Python

Homepage: https://kernc.github.io/backtesting.py/
Documentation: https://kernc.github.io/backtesting.py/doc/backtesting/
License: AGPL-3.0

Versions: 11
Dependent Packages: 0
Dependent Repositories: 0
Downloads: 751 Last month

Rankings

Dependent packages count: 10.5%

Average: 34.7%

Dependent repos count: 59.0%

Maintainers (1)

scottman625

Last synced: about 1 year ago

pypi.org: multiple-backtesting

Backtest trading strategies in Python

Homepage: https://kernc.github.io/backtesting.py/
Documentation: https://kernc.github.io/backtesting.py/doc/backtesting/
License: AGPL-3.0
Latest release: 0.0.3
published over 1 year ago

Versions: 2
Dependent Packages: 0
Dependent Repositories: 0
Downloads: 15 Last month

Rankings

Dependent packages count: 10.7%

Average: 35.4%

Dependent repos count: 60.1%

Maintainers (1)

scottman608

Last synced: 5 months ago

pypi.org: multibacktesting

Backtest trading strategies in Python

Homepage: https://kernc.github.io/backtesting.py/
Documentation: https://kernc.github.io/backtesting.py/doc/backtesting/
License: AGPL-3.0
Latest release: 0.0.7
published over 1 year ago

Versions: 4
Dependent Packages: 0
Dependent Repositories: 0
Downloads: 23 Last month

Rankings

Dependent packages count: 10.7%

Average: 35.4%

Dependent repos count: 60.1%

Maintainers (1)

scottman608

Last synced: 6 months ago

Dependencies

setup.py pypi

bokeh *
numpy *
pandas *

.github/workflows/ci.yml actions

actions/cache v3 composite
actions/checkout v3 composite
actions/setup-python v4 composite

.github/workflows/deploy-docs.yml actions

actions/cache v2 composite
actions/checkout v2 composite
actions/setup-python v2 composite

pyproject.toml pypi

requirements.txt pypi