This is a backtester for trading strategies. The backtester is written in Python so that it can be easily integrated with other Python libraries.
Examples can be found in the examples directory.
Install the required packages with the following command:
pip install -r requirements.txtTo create a backtest, you need to create a new class that inherits the Engine class.
from backtester import Engine, Resolution, Slice, BacktestTime
from datetime import date
class MyStrategy(Engine):
def initialize(self):
self.add_security("SPY")
self.cash = 10**5 # Initial cash
self.start_date = date(2022, 12, 5) # Start date of the backtest (inclusive)
self.end_date = date(2022, 12, 10) # End date of the backtest (inclusive)
self.root_path = "/srv/sqc/data/" # Path to the data
self.resolution = Resolution.Minute # Resolution of the data
self.custom_var = 0 # Add custom variables here
def on_data(self, data: Slice, time: BacktestTime):
# Add your trading strategy here
chain = data.get_chain("SPY") # Get the chain of the security
underlying_price = chain.underlying.get_price() # Get the price of the underlying security
contracts = chain.get_contracts() # Get all contracts
self.custom_var += 1 # Update custom variables here
if __name__ == "__main__":
backtest = MyStrategy()
backtest.back_test()