Futures Backtesting Engine

A production-quality Python backtesting engine for futures trading with zero lookahead bias and zero survivorship bias.

Architecture

backtesting/
  data_feed.py       — Bar type + strict chronological iterator
  order.py           — Order dataclass (MARKET / LIMIT / STOP / STOP_LIMIT)
  order_manager.py   — Order book with next-bar fill logic
  position.py        — Position + Trade records
  portfolio.py       — Cash, margin, equity curve
  engine.py          — Central event loop
  analytics.py       — Sharpe, drawdown, win-rate, etc.
  strategy.py        — Strategy base class

strategies/
  ema_crossover.py        — Dual-EMA crossover
  rsi_mean_reversion.py   — RSI overbought/oversold
  breakout.py             — Donchian channel breakout
  trend_following.py      — EMA trend + ATR sizing

Zero Lookahead Guarantees

Rule	Enforcement
Market orders fill at next bar's open	OrderManager.process_bar() fills pending orders first, before on_bar()
Limit/stop orders use the bar's own range	_check_limit_stop() uses bar.low/high of the bar being processed
history(n) only returns closed bars	DataFeed._cursor is advanced by the engine; strategies read _cursor via public API only
DataFeed rejects non-chronological data	Constructor validates strict ascending timestamps
Strategies cannot advance the feed	DataFeed._advance() is package-private; strategies call current_bar() / history() only
Slippage applied after bar closes	Portfolio applies slippage inside execute_fill(), not visible to strategy

Quick Start

from backtesting.data_feed import DataFeed
from backtesting.engine import BacktestEngine
from backtesting.portfolio import Portfolio, MarginSpec
from strategies.ema_crossover import EMACrossoverStrategy

# Load data
feed = DataFeed.from_csv("data/ES_daily.csv", symbol="ES", contract_multiplier=50.0)

# Configure portfolio
portfolio = Portfolio(
    initial_cash=500_000,
    margin_specs={
        "ES": MarginSpec("ES", initial_margin_per_contract=12_000,
                         maintenance_margin_per_contract=10_900,
                         contract_multiplier=50.0)
    },
    commission_per_contract=2.0,
    slippage_ticks=1,
    tick_size=0.25,
)

# Run
strategy = EMACrossoverStrategy(fast_period=9, slow_period=21)
engine = BacktestEngine(feed, portfolio, [strategy])
result = engine.run()
result.print_summary()

Writing Your Own Strategy

from backtesting.strategy import Strategy
from backtesting.data_feed import Bar
from backtesting.order import OrderType

class MyStrategy(Strategy):
    def on_start(self):
        self.period = 20      # set parameters here

    def on_bar(self, bar: Bar) -> None:
        if self.bars_available < self.period:
            return            # not enough history yet

        # Safe — all closed bars, zero lookahead
        hist = self.history(self.period)
        closes = [b.close for b in hist]
        sma = self.sma(closes, self.period)

        pos = self.position(bar.symbol)

        if bar.close > sma and pos == 0:
            self.buy(bar.symbol, quantity=1)         # fills next bar open

        elif bar.close < sma and pos > 0:
            self.close_position(bar.symbol)          # fills next bar open

    def on_fill(self, order):
        print(f"Filled: {order}")

Available Strategy Methods

Method	Description
self.history(n)	Last n closed bars (oldest first)
self.current_bar()	Most recent closed bar
self.bars_available	Count of closed bars
self.buy(symbol, qty, ...)	Submit buy order
self.sell(symbol, qty, ...)	Submit sell order
self.close_position(symbol)	Flatten position
self.cancel_order(id)	Cancel specific order
self.cancel_all(symbol)	Cancel all orders
self.position(symbol)	Signed position size
self.cash()	Available cash
self.equity()	Mark-to-market equity
self.sma(values, period)	Simple moving average
self.ema(values, period)	Exponential moving average
self.atr(bars, period)	Average True Range
self.rsi(values, period)	RSI (0–100)

Order Types

from backtesting.order import OrderType

self.buy(symbol, 1, order_type=OrderType.MARKET)          # default
self.buy(symbol, 1, order_type=OrderType.LIMIT, limit_price=4500.0)
self.sell(symbol, 1, order_type=OrderType.STOP, stop_price=4400.0)
self.sell(symbol, 1, order_type=OrderType.STOP_LIMIT,
          stop_price=4400.0, limit_price=4395.0)

Running Tests

pip install -r requirements.txt
pytest tests/ -v

Running the Example

python example.py