Trading-Universe

Modular backtesting tools (Python)

Start

• git clone
• Create venv

1.    virtualenv venv
2.    enter venv
	  	(a) windows: venv\Scripts\activate
	  	(b) linux & MAC OS: source venv/bin/activate
3.    pip install -r requirements.txt

• Get Data
  • run get_klines.py (update_period = 'monthly')
  • run get_lacked_klines.py
• Create your own strategies
  • Create your strategy into "Strategy File"

Example

• RSI Strategy in singleTrade_example.py
  • The data.df is a resampled DataFrame object, which can be utilized effectively.
  • entryLong / entrySellShort are the entry condition.
  • exitShort / exitBuyToCover are the exit condition.
  • For more details on the backtesting functions, please refer to "Exit Parameters Instruction".

data = Data(df_symbol=df_btc_origin, rule='30T')

data.df['rsi'] = talib.RSI(data.df['Close'], 12)
data.df['rsi_r1'] = data.df['rsi'].rolling(12).mean()
data.df['rsi_r2'] = data.df['rsi'].rolling(24).mean()

## entry condition
entryLong = (data.df['rsi_r1'] > data.df['rsi_r2']) & (data.df['rsi_r1'] > 70)
entrySellShort =  (data.df['rsi_r1'] < data.df['rsi_r2']) & (data.df['rsi_r1'] < 30)

## exit condition
exitShort = data.df['rsi_r1'] < 30
exitBuyToCover = data.df['rsi_r1'] > 70

data.type_setting(entryLong, entrySellShort, exitShort, exitBuyToCover, longOnly=False, shortOnly=False)
output_dict = dictType_output(backtesting(data.input_arr, exit_profitOut=True, exParam2=0.02, fund=100)) # 2% stop profit

result.draw_equity_curve(text_position='2022-01-01')

result.draw_monthly_equity(text_position='2022-01-01')

支援

1. 考慮翻單的獲利情況 (假如出場時滿足對邊進場條件)
2. Numba @jit 加速運算
3. 內建超過 30 種停利停損出場方式
4. 配對交易回測 - 等資金下注
5. 補充幣安月資料的缺漏天數

不支援 (歡迎協作)

1. 加減碼邏輯
2. 永續合約之資金費率
3. 配對交易非等資金下注
4. 台指期或其他市場
5. tick data 回測

備注

1. resample 使用 (left, left) 為開盤時間 K 棒 ; resample 加一分鐘再使用 (right, right) 為收盤時間 K 棒
   • 為了與幣安統一使用前者, 之後使用外部資料需小心 forward looking 問題
2. timestamp 轉 datetime 用 pd.to_datetime() 才不會自動轉換為 UTC+8
3. 回測限制 : 如果同一根 K 棒同時碰到停損及停利, 視為停損
4. 盤中停損另加滑價 (stopLoss_slippageAdd)
5. 對外使用請註明出處 (Please indicate the source for external use.)
6. 有空的話會再把 Document 和程式註解寫豐富一點
7. 聯絡方式
   • email : yuhung.career@gmail.com
   • linkedin : https://www.linkedin.com/in/alex-chiang-0208/