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DOC: Update docs and examples
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kernc committed Jul 14, 2020
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47 changes: 25 additions & 22 deletions README.md
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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].

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12 changes: 11 additions & 1 deletion backtesting/__init__.py
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@@ -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},
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46 changes: 41 additions & 5 deletions backtesting/backtesting.py
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@@ -1,9 +1,14 @@
"""
Core backtesting data structures.
Objects from this module can be imported from the top-level
Core framework data structures.
Objects from this module can also be imported from the top-level
module directly, e.g.
from backtesting import Backtest, Strategy
.. 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/).
"""
import multiprocessing as mp
import os
Expand Down Expand Up @@ -962,7 +967,7 @@ def __init__(self,
To run the backtest using e.g. 50:1 leverge that your broker allows,
set margin to `0.02` (1 / leverage).
If `trade_on_close` is `True`, market orders will be executed
If `trade_on_close` is `True`, market orders will be filled
with respect to the current bar's closing price instead of the
next bar's open.
Expand Down Expand Up @@ -1029,6 +1034,37 @@ def run(self, **kwargs) -> pd.Series:
Run the backtest. Returns `pd.Series` with results and statistics.
Keyword arguments are interpreted as strategy parameters.
>>> Backtest(GOOG, SmaCross).run()
Start 2004-08-19 00:00:00
End 2013-03-01 00:00:00
Duration 3116 days 00:00:00
Exposure Time [%] 93.9944
Equity Final [$] 51959.9
Equity Peak [$] 75787.4
Return [%] 419.599
Buy & Hold Return [%] 703.458
Max. Drawdown [%] -47.9801
Avg. Drawdown [%] -5.92585
Max. Drawdown Duration 584 days 00:00:00
Avg. Drawdown Duration 41 days 00:00:00
# Trades 65
Win Rate [%] 46.1538
Best Trade [%] 53.596
Worst Trade [%] -18.3989
Avg. Trade [%] 2.35371
Max. Trade Duration 183 days 00:00:00
Avg. Trade Duration 46 days 00:00:00
Profit Factor 2.08802
Expectancy [%] 8.79171
SQN 0.916893
Sharpe Ratio 0.179141
Sortino Ratio 0.55887
Calmar Ratio 0.049056
_strategy SmaCross
_equity_curve Eq...
_trades Size EntryB...
dtype: object
"""
data = _Data(self._data.copy(deep=False))
broker = self._broker(data=data) # type: _Broker
Expand Down Expand Up @@ -1160,7 +1196,7 @@ def __getattr__(self, item):
raise ValueError('No admissible parameter combinations to test')

if len(param_combos) > 300:
warnings.warn('Searching best of {} configurations.'.format(len(param_combos)),
warnings.warn('Searching for best of {} configurations.'.format(len(param_combos)),
stacklevel=2)

heatmap = pd.Series(np.nan,
Expand Down Expand Up @@ -1367,7 +1403,7 @@ def plot(self, *, results: pd.Series = None, filename=None, plot_width=None,
a separate drawdown graph section.
If `smooth_equity` is `True`, the equity graph will be
interpolated between points of cash-only positions,
interpolated between fixed points at trade closing times,
unaffected by any interim asset volatility.
If `relative_equity` is `True`, scale and label equity graph axis
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4 changes: 2 additions & 2 deletions backtesting/lib.py
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Expand Up @@ -175,7 +175,7 @@ def resample_apply(rule: str,
a time frame to resample `series` to.
[Pandas offset string]: \
http://pandas.pydata.org/pandas-docs/stable/timeseries.html#offset-aliases
http://pandas.pydata.org/pandas-docs/stable/timeseries.html#offset-aliases
`func` is the indicator function to apply on the resampled series.
Expand All @@ -202,7 +202,7 @@ def init(self):
self.sma = resample_apply(
'D', SMA, self.data.Close, 10, plot=False)
This short snippet is roughly equivalent to:
The above short snippet is roughly equivalent to:
class System(Strategy):
def init(self):
Expand Down

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