Backtest Example

This example executes a backtest of the Strategy Example against BTC data. For details regarding how figures were generated see the Plot Backtest routine.

Python source code: ../../examples/backtest.py

import boatwright
from MACD import MACD
from boatwright.PerformanceMetrics import ROI, PercentProfit, SharpeRatio
from datetime import datetime
import matplotlib.pyplot as plt

# 1. define the backtest broker model
broker = boatwright.Brokers.BacktestBroker(taker_fee=0.1, maker_fee=0.1, slippage=0, quote_symbol="USD")

# 2. define the strategy
strategy = MACD(fast_period=7*60, slow_period=14*60, symbol="BTC")

# 3. load data for the backtet (including prequisite data for necessary for signal generation)
database = boatwright.Data.CSVdatabase(source="QUICKSTART", debug=False, dir="quickstart_data/")
start = datetime(year=2023, month=1, day=1, hour=0, minute=0)
end = datetime(year=2024, month=8, day=1, hour=0, minute=0)
data = database.load(symbol=strategy.symbol, start=start, end=end, prerequisite_data_length=strategy.calc_prerequisite_data_length(), granularity=1, granularity_unit="MINUTE", verbose=True)

# 4. declare and run the backtest
backtest = boatwright.Backtest(strategy=strategy, data=data, broker=broker, debug=False)
backtest.run(verbose=True)

# 5. analyze results
print(f"ROI: {ROI().calculate(backtest)}")
print(f"Percent Profit: {PercentProfit().calculate(backtest)}")
print(f"Sharpe Ratio: {SharpeRatio().calculate(backtest, risk_free_rate=0, increments_per_year=365*24*60)}")
boatwright.Visualization.plot_backtest(backtest)
plt.show()