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backtest

Available parameters

  • strategy : str or an instance of fastquant.strategies.base.BaseStrategy see list of accepted strategy keys below
  • data : pandas.DataFrame dataframe with at least close price indexed with time
  • commission : float commission per transaction [0, 1] (default 0.0075)
  • init_cash : float initial cash (currency implied from data) (default 100000)
  • plot : bool show plot backtrader (disabled if strategy=="multi")
  • verbose : int Verbose can take values: [0, 1, 2, 3], with increasing levels of verbosity (default=1).
  • sort_by : str sort result by given metric (default='rnorm')
  • sentiments : pandas.DataFrame df of sentiment [0, 1] indexed by time (applicable if strategy=='senti')
  • strats : dict dictionary of strategy parameters (applicable if strategy=='multi')
  • return_history : bool return history of transactions (i.e. buy and sell timestamps) (default=False)
  • return_plot: bool return the plot (if you want to save the plot) (default=False)
  • channel : str Channel to be used for notifications - e.g. "slack" (default=None)
  • symbol : str Symbol to be referenced in the channel notification if not None (default=None)
  • allow_short : bool Whether to allow short selling, with max set as short_max times the portfolio value (default=False)
  • short_max : float The maximum short position allowable as a ratio relative to the portfolio value at that time point (default=1.5)
  • figsize : tuple The size of the figure to be displayed at the end of the backtest (default=(30, 15))
  • data_class : bt.feed.DataBase Custom backtrader database to be used as a parent class instead bt.feed. (default=None)
  • data_kwargs : dict Datafeed keyword arguments (empty dict by default)

Strategies

List of accepted strategy keys are

Strategy Alias Parameters
Relative Strength Index (RSI) rsi rsi_period, rsi_upper, rsi_lower
Simple moving average crossover (SMAC) smac fast_period, slow_period
Exponential moving average crossover (EMAC) emac fast_period, slow_period
Moving Average Convergence Divergence (MACD) macd fast_perod, slow_upper, signal_period, sma_period, sma_dir_period
Bollinger Bands bbands period, devfactor
Buy and Hold buynhold N/A
Sentiment Strategy sentiment keyword , page_nums, senti
Custom Prediction Strategy custom upper_limit, lower_limit, custom_column
Custom Ternary Strategy ternary buy_int, sell_int, custom_column

Examples

Return history

from fastquant import backtest
res, hist = backtest(..., return_history=True)

Return plot

from fastquant import backtest
res, plot = backtest(..., return_plot=True)

# Save plot
plot.savefig('example.png')

Return history and plot

from fastquant import backtest
res, hist, plot = backtest(..., return_history=True, return_plot=True,