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Order/Trade/Position API #47

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merged 12 commits into from
Jul 15, 2020
Merged

Order/Trade/Position API #47

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dffd424
ENH: New Order/Trade/Position API
kernc Feb 3, 2020
80c66f9
REF: Backwards-incompatibly revise lib.SignalStrategy
kernc Mar 2, 2020
16ce64e
TST: Make tests pass the new Order/Trade/Position API
kernc Mar 2, 2020
ac293b4
ENH: Add pandas accessors `.df` and `.s`
kernc Mar 5, 2020
8adca72
TST: Add a more precise, well-known test for stop/limit
kernc Mar 6, 2020
7027bfc
REF: Remove useless `Backtest.plot(omit_missing=)` parameter
kernc Mar 6, 2020
1219913
ENH: Add `bt.plot(resample=)` and auto-downsample large data
kernc Mar 8, 2020
086247f
ENH: Add `bt.plot(reverse_indicators=)` param
kernc Mar 23, 2020
e56f758
REF: Use geometric mean return in Sharpe/Sortino stats computation
kernc May 27, 2020
e03f55f
ENH: Add `Backtest(..., hedging=)` that makes FIFO trade closing opti…
kernc Jul 5, 2020
3dfa0c9
ENH: Add `Backtest(..., exclusive_orders=)` that closes prev trades o…
kernc Jul 13, 2020
a95b259
DOC: Update docs and examples
kernc Mar 5, 2020
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47 changes: 25 additions & 22 deletions README.md
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Original file line number Diff line number Diff line change
Expand Up @@ -33,9 +33,9 @@ from backtesting.test import SMA, GOOG

class SmaCross(Strategy):
def init(self):
Close = self.data.Close
self.ma1 = self.I(SMA, Close, 10)
self.ma2 = self.I(SMA, Close, 20)
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):
Expand All @@ -44,8 +44,8 @@ class SmaCross(Strategy):
self.sell()


bt = Backtest(GOOG, SmaCross,
cash=10000, commission=.002)
bt = Backtest(GOOG, SmaCross, commission=.002,
exclusive_orders=True)
bt.run()
bt.plot()
```
Expand All @@ -56,30 +56,33 @@ Results in:
Start 2004-08-19 00:00:00
End 2013-03-01 00:00:00
Duration 3116 days 00:00:00
Exposure [%] 94.29
Equity Final [$] 69665.12
Equity Peak [$] 69722.15
Return [%] 596.65
Exposure Time [%] 94.27
Equity Final [$] 68935.12
Equity Peak [$] 68991.22
Return [%] 589.35
Buy & Hold Return [%] 703.46
Max. Drawdown [%] -33.61
Avg. Drawdown [%] -5.68
Max. Drawdown Duration 689 days 00:00:00
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 [%] 56.98
Worst Trade [%] -17.03
Avg. Trade [%] 2.44
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
Expectancy [%] 6.92
SQN 1.77
Sharpe Ratio 0.22
Sortino Ratio 0.54
Calmar Ratio 0.07
_strategy SmaCross
Profit Factor 2.13
Expectancy [%] 6.91
SQN 1.78
Sharpe Ratio 0.18
Sortino Ratio 0.44
Calmar Ratio 0.06
_strategy SmaCross(n1=10, n2=20)
_equity_curve Equ...
_trades Size EntryB...
```
[![plot of trading simulation](https://i.imgur.com/q6OSQD8.png)](https://kernc.github.io/backtesting.py/#example)
[![plot of trading simulation](https://i.imgur.com/xRFNHfg.png)](https://kernc.github.io/backtesting.py/#example)

Find more usage examples in the [documentation].

Expand Down
14 changes: 12 additions & 2 deletions backtesting/__init__.py
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Original file line number Diff line number Diff line change
@@ -1,6 +1,11 @@
"""
# Backtesting.py Documentation
.. warning:: v0.2.0 breaking changes
Version 0.2.0 introduced some **breaking API changes**. For quick ways to
migrate existing 0.1.x code, see the implementing
[pull request](https://github.com/kernc/backtesting.py/pull/47/).
## Manuals
* [**Quick Start User Guide**](../examples/Quick Start User Guide.html)
Expand All @@ -11,7 +16,7 @@
* [Multiple Time Frames](../examples/Multiple Time Frames.html)
* [Parameter Heatmap](../examples/Parameter Heatmap.html)
These tutorials are also available as live notebooks:
These tutorials are also available to test as live Jupyter notebooks:
[![Binder](https://mybinder.org/badge_logo.svg)][binder]
[binder]: \
Expand All @@ -22,6 +27,11 @@
* (contributions welcome)
## FAQ
Potentially outdated answers to popular questions can be found on the
[issue tracker](https://github.com/kernc/backtesting.py/issues?q=label%3Aquestion).
## License
This software is licensed under the terms of [AGPL 3.0]{: rel=license},
Expand All @@ -39,6 +49,6 @@
except ImportError:
pass # Package not installed

from .backtesting import Backtest, Strategy, Orders, Position # noqa: F401
from .backtesting import Backtest, Strategy # noqa: F401
from . import lib # noqa: F401
from ._plotting import set_bokeh_output # noqa: F401
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