BigTest - Holy Grail Backtester v2.0

Institutional-grade backtesting engine for quantitative trading research. Supports 100x leverage, HFT strategies, and zero-bias execution.

Features

• 🎯 Zero-Bias i+1 Execution - Signals execute on next bar's open, eliminating look-ahead bias
• 💰 100x Leverage Support - Real-time margin monitoring with automatic liquidation
• 📊 Raw Bid/Ask Microstructure - True market reality using Dukascopy tick data
• 📋 Limit Order System - Proper fill logic with maker/taker commission
• 📈 ATR-Based Slippage - Variable slippage that scales with volatility
• ⚡ Batch Tick Fetching - Pre-load hours of tick data for performance

Installation

pip install bigtest

With optional providers:

pip install bigtest[all]  # Alpaca + Binance

Quick Start

from bigtest import BacktestEngine, BacktestConfig

config = BacktestConfig(
    symbol='EUR/USD',
    timeframe='1m',
    start_date='2024-01-01',
    end_date='2024-02-01',
    initial_capital=10000,
    leverage=100,
    stop_out_enabled=True
)

def my_strategy(df):
    signals = []
    # Your strategy logic here
    return signals

engine = BacktestEngine(config)
metrics = engine.run(my_strategy)
engine.generate_html_report('my_report.html')

Key Config Options

Option	Default	Description
leverage	1	Leverage multiplier (up to 100x)
stop_out_enabled	True	Enable margin call liquidation
use_notional_commission	True	Commission on notional value
slippage_model	'fixed'	'none', 'fixed', 'random', 'volume', 'atr'
maintenance_margin_pct	0.5	Stop-out at 50% margin

Supported Data Sources

• Forex: Dukascopy (tick-level Bid/Ask)
• Stocks: Alpaca (requires API key)
• Crypto: Binance (BTC, ETH)

License

MIT