examples/backtest.ipynb

{
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  {
   "cell_type": "code",
   "execution_count": 2,
   "metadata": {},
   "outputs": [],
   "source": [
    "# In this example we'll use Finta paired with excellent backtest.py library"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "# https://github.com/kernc/backtesting.py"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 2,
   "metadata": {},
   "outputs": [
    {
     "name": "stderr",
     "output_type": "stream",
     "text": [
      "/home/cookie/.local/lib/python3.7/site-packages/backtesting/_plotting.py:37: UserWarning: Jupyter Notebook detected. Setting Bokeh output to notebook. This may not work in Jupyter clients without JavaScript support (e.g. PyCharm, Spyder IDE). Reset with `bokeh.io.reset_output()`.\n",
      "  warnings.warn('Jupyter Notebook detected. '\n"
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       "        <a href=\"https://bokeh.org\" target=\"_blank\" class=\"bk-logo bk-logo-small bk-logo-notebook\"></a>\n",
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       "      this.keyboard_manager.register_events(toinsert);\n",
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       "      render(props, toinsert[toinsert.length - 1]);\n",
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       "    events.on('delete.Cell', handleClearOutput);\n",
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       "\n",
       "  \n",
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       "    root._bokeh_timeout = Date.now() + 5000;\n",
       "    root._bokeh_failed_load = false;\n",
       "  }\n",
       "\n",
       "  var NB_LOAD_WARNING = {'data': {'text/html':\n",
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       "     \"BokehJS does not appear to have successfully loaded. If loading BokehJS from CDN, this \\n\"+\n",
       "     \"may be due to a slow or bad network connection. Possible fixes:\\n\"+\n",
       "     \"</p>\\n\"+\n",
       "     \"<ul>\\n\"+\n",
       "     \"<li>re-rerun `output_notebook()` to attempt to load from CDN again, or</li>\\n\"+\n",
       "     \"<li>use INLINE resources instead, as so:</li>\\n\"+\n",
       "     \"</ul>\\n\"+\n",
       "     \"<code>\\n\"+\n",
       "     \"from bokeh.resources import INLINE\\n\"+\n",
       "     \"output_notebook(resources=INLINE)\\n\"+\n",
       "     \"</code>\\n\"+\n",
       "     \"</div>\"}};\n",
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       "      console.debug(\"Bokeh: BokehJS is being loaded, scheduling callback at\", now());\n",
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       "    console.debug(\"Bokeh: BokehJS not loaded, scheduling load and callback at\", now());\n",
       "    root._bokeh_is_loading = css_urls.length + js_urls.length;\n",
       "\n",
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       "      root._bokeh_is_loading--;\n",
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       "        console.debug(\"Bokeh: all BokehJS libraries/stylesheets loaded\");\n",
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       "\n",
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       "  if (element == null) {\n",
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       "\n",
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       "    const element = document.createElement(\"style\");\n",
       "    element.appendChild(document.createTextNode(css));\n",
       "    document.body.appendChild(element);\n",
       "  }\n",
       "\n",
       "  \n",
       "  var js_urls = [\"https://cdn.pydata.org/bokeh/release/bokeh-1.4.0.min.js\", \"https://cdn.pydata.org/bokeh/release/bokeh-widgets-1.4.0.min.js\", \"https://cdn.pydata.org/bokeh/release/bokeh-tables-1.4.0.min.js\", \"https://cdn.pydata.org/bokeh/release/bokeh-gl-1.4.0.min.js\"];\n",
       "  var css_urls = [];\n",
       "  \n",
       "\n",
       "  var inline_js = [\n",
       "    function(Bokeh) {\n",
       "      Bokeh.set_log_level(\"info\");\n",
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       "    function(Bokeh) {\n",
       "    \n",
       "    \n",
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       "  ];\n",
       "\n",
       "  function run_inline_js() {\n",
       "    \n",
       "    if (root.Bokeh !== undefined || force === true) {\n",
       "      \n",
       "    for (var i = 0; i < inline_js.length; i++) {\n",
       "      inline_js[i].call(root, root.Bokeh);\n",
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       "    if (force === true) {\n",
       "        display_loaded();\n",
       "      }} else if (Date.now() < root._bokeh_timeout) {\n",
       "      setTimeout(run_inline_js, 100);\n",
       "    } else if (!root._bokeh_failed_load) {\n",
       "      console.log(\"Bokeh: BokehJS failed to load within specified timeout.\");\n",
       "      root._bokeh_failed_load = true;\n",
       "    } else if (force !== true) {\n",
       "      var cell = $(document.getElementById(\"1001\")).parents('.cell').data().cell;\n",
       "      cell.output_area.append_execute_result(NB_LOAD_WARNING)\n",
       "    }\n",
       "\n",
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       "\n",
       "  if (root._bokeh_is_loading === 0) {\n",
       "    console.debug(\"Bokeh: BokehJS loaded, going straight to plotting\");\n",
       "    run_inline_js();\n",
       "  } else {\n",
       "    load_libs(css_urls, js_urls, function() {\n",
       "      console.debug(\"Bokeh: BokehJS plotting callback run at\", now());\n",
       "      run_inline_js();\n",
       "    });\n",
       "  }\n",
       "}(window));"
      ],
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Possible fixes:\\n\"+\n     \"</p>\\n\"+\n     \"<ul>\\n\"+\n     \"<li>re-rerun `output_notebook()` to attempt to load from CDN again, or</li>\\n\"+\n     \"<li>use INLINE resources instead, as so:</li>\\n\"+\n     \"</ul>\\n\"+\n     \"<code>\\n\"+\n     \"from bokeh.resources import INLINE\\n\"+\n     \"output_notebook(resources=INLINE)\\n\"+\n     \"</code>\\n\"+\n     \"</div>\"}};\n\n  function display_loaded() {\n    var el = document.getElementById(\"1001\");\n    if (el != null) {\n      el.textContent = \"BokehJS is loading...\";\n    }\n    if (root.Bokeh !== undefined) {\n      if (el != null) {\n        el.textContent = \"BokehJS \" + root.Bokeh.version + \" successfully loaded.\";\n      }\n    } else if (Date.now() < root._bokeh_timeout) {\n      setTimeout(display_loaded, 100)\n    }\n  }\n\n\n  function run_callbacks() {\n    try {\n      root._bokeh_onload_callbacks.forEach(function(callback) {\n        if (callback != null)\n          callback();\n      });\n    } finally {\n      delete root._bokeh_onload_callbacks\n    }\n    console.debug(\"Bokeh: all callbacks have finished\");\n  }\n\n  function load_libs(css_urls, js_urls, callback) {\n    if (css_urls == null) css_urls = [];\n    if (js_urls == null) js_urls = [];\n\n    root._bokeh_onload_callbacks.push(callback);\n    if (root._bokeh_is_loading > 0) {\n      console.debug(\"Bokeh: BokehJS is being loaded, scheduling callback at\", now());\n      return null;\n    }\n    if (js_urls == null || js_urls.length === 0) {\n      run_callbacks();\n      return null;\n    }\n    console.debug(\"Bokeh: BokehJS not loaded, scheduling load and callback at\", now());\n    root._bokeh_is_loading = css_urls.length + js_urls.length;\n\n    function on_load() {\n      root._bokeh_is_loading--;\n      if (root._bokeh_is_loading === 0) {\n        console.debug(\"Bokeh: all BokehJS libraries/stylesheets loaded\");\n        run_callbacks()\n      }\n    }\n\n    function on_error() {\n      console.error(\"failed to load \" + url);\n    }\n\n    for (var i = 0; i < css_urls.length; i++) {\n      var url = css_urls[i];\n      const element = document.createElement(\"link\");\n      element.onload = on_load;\n      element.onerror = on_error;\n      element.rel = \"stylesheet\";\n      element.type = \"text/css\";\n      element.href = url;\n      console.debug(\"Bokeh: injecting link tag for BokehJS stylesheet: \", url);\n      document.body.appendChild(element);\n    }\n\n    for (var i = 0; i < js_urls.length; i++) {\n      var url = js_urls[i];\n      var element = document.createElement('script');\n      element.onload = on_load;\n      element.onerror = on_error;\n      element.async = false;\n      element.src = url;\n      console.debug(\"Bokeh: injecting script tag for BokehJS library: \", url);\n      document.head.appendChild(element);\n    }\n  };var element = document.getElementById(\"1001\");\n  if (element == null) {\n    console.error(\"Bokeh: ERROR: autoload.js configured with elementid '1001' but no matching script tag was found. \")\n    return false;\n  }\n\n  function inject_raw_css(css) {\n    const element = document.createElement(\"style\");\n    element.appendChild(document.createTextNode(css));\n    document.body.appendChild(element);\n  }\n\n  \n  var js_urls = [\"https://cdn.pydata.org/bokeh/release/bokeh-1.4.0.min.js\", \"https://cdn.pydata.org/bokeh/release/bokeh-widgets-1.4.0.min.js\", \"https://cdn.pydata.org/bokeh/release/bokeh-tables-1.4.0.min.js\", \"https://cdn.pydata.org/bokeh/release/bokeh-gl-1.4.0.min.js\"];\n  var css_urls = [];\n  \n\n  var inline_js = [\n    function(Bokeh) {\n      Bokeh.set_log_level(\"info\");\n    },\n    function(Bokeh) {\n    \n    \n    }\n  ];\n\n  function run_inline_js() {\n    \n    if (root.Bokeh !== undefined || force === true) {\n      \n    for (var i = 0; i < inline_js.length; i++) {\n      inline_js[i].call(root, root.Bokeh);\n    }\n    if (force === true) {\n        display_loaded();\n      }} else if (Date.now() < root._bokeh_timeout) {\n      setTimeout(run_inline_js, 100);\n    } else if (!root._bokeh_failed_load) {\n      console.log(\"Bokeh: BokehJS failed to load within specified timeout.\");\n      root._bokeh_failed_load = true;\n    } else if (force !== true) {\n      var cell = $(document.getElementById(\"1001\")).parents('.cell').data().cell;\n      cell.output_area.append_execute_result(NB_LOAD_WARNING)\n    }\n\n  }\n\n  if (root._bokeh_is_loading === 0) {\n    console.debug(\"Bokeh: BokehJS loaded, going straight to plotting\");\n    run_inline_js();\n  } else {\n    load_libs(css_urls, js_urls, function() {\n      console.debug(\"Bokeh: BokehJS plotting callback run at\", now());\n      run_inline_js();\n    });\n  }\n}(window));"
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "import os\n",
    "import pandas as pd\n",
    "\n",
    "from backtesting import Backtest, Strategy\n",
    "from backtesting.lib import crossover\n",
    "\n",
    "from finta import TA"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 3,
   "metadata": {},
   "outputs": [],
   "source": [
    "# Using same data set as unittests\n",
    "data_file = os.path.join(\"tests/data/bittrex:btc-usdt.csv\")\n",
    "\n",
    "ohlc = pd.read_csv(data_file, index_col=\"date\", parse_dates=True)\n",
    "\n",
    "# Backtest.py wants column names as following:\n",
    "\n",
    "# ohlc.columns = [\"Close\", \"High\", \"Low\", \"Open\", \"Volume\"]\n",
    "\n",
    "# While finta wants it all in lowercase\n",
    "# Simplest solution is to copy the columns\n",
    "\n",
    "ohlc[\"Low\"] = ohlc[\"low\"]\n",
    "ohlc[\"High\"] = ohlc[\"high\"]\n",
    "ohlc[\"Open\"] = ohlc[\"open\"]\n",
    "ohlc[\"Close\"] = ohlc[\"close\"]\n",
    "ohlc[\"Volume\"] = ohlc[\"volume\"]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 4,
   "metadata": {},
   "outputs": [],
   "source": [
    "# Defining DEMA cross strategy\n",
    "class DemaCross(Strategy):\n",
    "\n",
    "    def init(self):\n",
    "\n",
    "        self.ma1 = self.I(TA.DEMA, ohlc, 10)\n",
    "        self.ma2 = self.I(TA.DEMA, ohlc, 20)\n",
    "\n",
    "    def next(self):\n",
    "        if crossover(self.ma1, self.ma2):\n",
    "            self.buy()\n",
    "        elif crossover(self.ma2, self.ma1):\n",
    "            self.sell()\n"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 5,
   "metadata": {},
   "outputs": [],
   "source": [
    "bt = Backtest(ohlc, DemaCross,\n",
    "              cash=10000, commission=0.025)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 6,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "Start                     2015-12-12 00:00:00\n",
       "End                       2018-06-18 00:00:00\n",
       "Duration                    919 days 00:00:00\n",
       "Exposure [%]                          97.8237\n",
       "Equity Final [$]                      9588.54\n",
       "Equity Peak [$]                       11137.7\n",
       "Return [%]                           -4.11458\n",
       "Buy & Hold Return [%]                 1428.68\n",
       "Max. Drawdown [%]                    -73.7911\n",
       "Avg. Drawdown [%]                    -15.2969\n",
       "Max. Drawdown Duration      872 days 00:00:00\n",
       "Avg. Drawdown Duration      178 days 00:00:00\n",
       "# Trades                                   66\n",
       "Win Rate [%]                          36.3636\n",
       "Best Trade [%]                        110.863\n",
       "Worst Trade [%]                      -24.2184\n",
       "Avg. Trade [%]                        1.38524\n",
       "Max. Trade Duration          56 days 00:00:00\n",
       "Avg. Trade Duration          14 days 00:00:00\n",
       "Expectancy [%]                        12.1681\n",
       "SQN                                 -0.108971\n",
       "Sharpe Ratio                        0.0668906\n",
       "Sortino Ratio                        0.201305\n",
       "Calmar Ratio                        0.0187725\n",
       "_strategy                           DemaCross\n",
       "dtype: object"
      ]
     },
     "execution_count": 6,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "bt.run()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 7,
   "metadata": {},
   "outputs": [],
   "source": [
    "# As you can see DEMA cross (10, 20) is not profitable on this data set,"
   ]
  }
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