bitmex-backtest

PyPI License: MIT codecov Build Status PyPI - Python Version Downloads

bitmex-backtest is a python library for backtest with bitmex fx trade rest api on Python 3.6 and above.

Installation

$ pip install bitmex-backtest

Usage

basic

from bitmex_backtest import Backtest

bt = Backtest()
bt.candles("XBTUSD")
fast_ma = bt.sma(period=5)
slow_ma = bt.sma(period=25)
bt.sell_exit = bt.buy_entry = (fast_ma > slow_ma) & (fast_ma.shift() <= slow_ma.shift())
bt.buy_exit = bt.sell_entry = (fast_ma < slow_ma) & (fast_ma.shift() >= slow_ma.shift())
bt.run()
bt.plot()

advanced

from bitmex_backtest import Backtest

bt = Backtest(test=True)
filepath = "xbtusd-60.csv"
if bt.exists(filepath):
    bt.read_csv(filepath)
else:
    params = {
        "resolution": "60",  # 1 hour candlesticks (default=1) 1,3,5,15,30,60,120,180,240,360,720,1D,3D,1W,2W,1M
        "count": "5000" # 5000 candlesticks (default=500)
    }
    bt.candles("XBTUSD", params)
    bt.to_csv(filepath)

fast_ma = bt.sma(period=10)
slow_ma = bt.sma(period=30)
exit_ma = bt.sma(period=5)
bt.buy_entry = (fast_ma > slow_ma) & (fast_ma.shift() <= slow_ma.shift())
bt.sell_entry = (fast_ma < slow_ma) & (fast_ma.shift() >= slow_ma.shift())
bt.buy_exit = (bt.C < exit_ma) & (bt.C.shift() >= exit_ma.shift())
bt.sell_exit = (bt.C > exit_ma) & (bt.C.shift() <= exit_ma.shift())

bt.quantity = 100 # default=1
bt.stop_loss = 200 # stop loss (default=0)
bt.take_profit = 1000 # take profit (default=0)

print(bt.run())
bt.plot("backtest.png")
total profit       -342200.000
total trades           162.000
win rate                32.716
profit factor            0.592
maximum drawdown    470950.000
recovery factor         -0.727
riskreward ratio         1.295
sharpe ratio            -0.127
average return         -20.325
stop loss               23.000
take profit              1.000

advanced.png

Getting started

For help getting started with bitmex REST API, view our online documentation.

Contributing

  1. Fork it
  2. Create your feature branch (git checkout -b my-new-feature)
  3. Commit your changes (git commit -am 'Add some feature')
  4. Push to the branch (git push origin my-new-feature)
  5. Create new Pull Request

Bitmex Backtest Python

bitmex-backtest is a python library for backtest with bitmex fx trade rest api on Python 3.6 and above.

Bitmex Backtest Python Info

⭐ Stars 11
🔗 Source Code github.com
🕒 Last Update 10 months ago
🕒 Created 2 years ago
🐞 Open Issues 0
➗ Star-Issue Ratio Infinity
😎 Author 10mohi6