bybit-backtest
bybit-backtest is a python library for backtest with bybit fx trade on Python 3.7 and above.
backtest data from here
Installation
$ pip install bybit-backtest
Usage
basic run
from bybit_backtest import Backtest
class MyBacktest(Backtest):
def strategy(self):
fast_ma = self.sma(period=5)
slow_ma = self.sma(period=25)
# golden cross
self.sell_exit = self.buy_entry = (fast_ma > slow_ma) & (
fast_ma.shift() <= slow_ma.shift()
)
# dead cross
self.buy_exit = self.sell_entry = (fast_ma < slow_ma) & (
fast_ma.shift() >= slow_ma.shift()
)
MyBacktest().run()advanced run
from bybit_backtest import Backtest
class MyBacktest(Backtest):
def strategy(self):
rsi = self.rsi(period=10)
ema = self.ema(period=20)
lower = ema - (ema * 0.001)
upper = ema + (ema * 0.001)
self.buy_entry = (rsi < 30) & (self.df.C < lower)
self.sell_entry = (rsi > 70) & (self.df.C > upper)
self.sell_exit = ema > self.df.C
self.buy_exit = ema < self.df.C
self.qty = 0.1 # order quantity (default=0.001)
self.stop_loss = 50 # stop loss (default=0 stop loss none)
self.take_profit = 100 # take profit (default=0 take profit none)
MyBacktest(
symbol="BTCUSD", # default=BTCUSD
sqlite_file_name="backtest.sqlite3", # (default=backtest.sqlite3)
from_date="2020-04-01", # (default="")
to_date="2020-10-25", # (default="")
interval="1T", # 5-60S(second), 1-60T(minute), 1-24H(hour) (default=1T)
download_data_dir="data", # download data directory (default=data)
).run("backtest.png")total profit 491.800
total trades 10309.000
win rate 65.700
profit factor 1.047
maximum drawdown 135.500
recovery factor 3.630
riskreward ratio 0.551
sharpe ratio 0.020
average return 0.001
stop loss 1779.000
take profit 93.000
Supported indicators
- Simple Moving Average 'sma'
- Exponential Moving Average 'ema'
- Moving Average Convergence Divergence 'macd'
- Relative Strenght Index 'rsi'
- Bollinger Bands 'bbands'
- Stochastic Oscillator 'stoch'
Getting started
For help getting started with Bybit APIs and Websocket, view our online documentation.