Ever wondered what would have happened if you had always followed the trend? or if you had played against the market? or if you had set a take-profit of twice as much as the stop-loss?
efx-backtest is a minimalist eForex backtest engine. It lets you implement an automatic trading strategy in a few lines of Python and provides you with a profit-and-loss chart as well as simple metrics.
Implement the class Strategy. The simulation engine (market.py) will call order_for_price(p) with each price in the histoy file. For each price, the Strategy instance is expected to return a BUY or SELL order (instance of Order) or None if nothing is to be done. See Strategy.py for an implementation example.
The cumulated PnL is written on stdout and can be ploted by gnuplot. Metrics are written on stderr.
$ python market.py > pnl.txt && gnuplot pnl.gnuplot && open pnl.png
number of prices : 2949
number of trades : 256 (145 win, 110 lose)
max_exposure : 10000.000000
realized pnl : 9271.000000
unrealized pnl : 205.000000
In market.py, HEATMAP = True instanciates several strategies with a parameter. It runs the whole history with each strategy instance. It then outputs heatmap data, usable by heatmap.gnuplot.
$ python market.py > heatmap.txt && gnuplot heatmap.gnuplot && open heatmap.png
In the following heatmap, we can see that following the trend of the previous day on EUR/USD since 2001 and a SL/TP at ± 278 pips would have resulted in a 6000 pips profit after 1000 days (with a max. exposure of 10k USD).
