Mazecreator / backtrader

Python Backtesting library for trading strategies

backtrader

Release 1.8.12.99: Optimization Improvements

Release 1.8.11.99: Target Orders

Features:

Live Trading and backtesting platform written in Python.

• Live Data Feed and Trading with
  • Interactive Brokers (needs IbPy and benefits greatly from an installed pytz)
  • Visual Chart (needs a fork of comtypes until a pull request is integrated in the release and benefits from pytz)
  • Oanda (needs oandapy)
• Data feeds from csv/files, online sources or from pandas and blaze
• Filters for datas (like breaking a daily bar into chunks to simulate intraday)
• Multiple data feeds and multiple strategies supported
• Multiple timeframes at once
• Integrated Resampling and Replaying
• Step by Step backtesting or at once (except in the evaluation of the Strategy)
• Integrated battery of indicators
• TA-Lib indicator support (needs python ta-lib / check the docs)
• Easy development of custom indicators
• Analyzers (for example: TimeReturn, Sharpe Ratio, SQN) and pyfolio integration
• Flexible definition of commission schemes
• Integrated broker simulation with Market, Close, Limit, Stop and StopLimit orders, slippage and continuous cash adjustmet for future-like instruments
• Plotting (requires matplotlib)

Documentation

The blog:

• backtrader blog

Read the full documentation at readthedocs.org:

• backtrader documentation

List of built-in Indicators (99)

• backtrader indicators

Python 2/3 Support

• Python 2.7
• Python 3.2 / 3.3/ 3.4 / 3.5
• It also works with pypy and pypy3 (no plotting - matplotlib is not supported under pypy)

Compatibility is tested during development with 2.7 and 3.5

The other versions are tested automatically with Travis.

Installation

backtrader is self-contained with no external dependencies (except if you want to plot)

From pypi:

• pip install backtrader

• pip install backtrader[matplotlib]

  If matplotlib is not installed and you wish to do some plotting

Note

The minimum matplotlib version is 1.4.1

An example for IB Data Feeds/Trading:

• IbPy doesn't seem to be in PyPi. Do either:

  pip install git+https://github.com/blampe/IbPy.git
  

  or (if git is not available in your system):

  pip install https://github.com/blampe/IbPy/archive/master.zip
  

For other functionalities like: Visual Chart, Oanda, TA-Lib, check the dependencies in the documentation.

From source:

• Place the backtrader directory found in the sources inside your project

Version numbering

X.Y.Z.I

• X: Major version number. Should stay stable unless something big is changed like an overhaul to use numpy
• Y: Minor version number. To be changed upon adding a complete new feature or (god forbids) an incompatible API change.
• Z: Revision version number. To be changed for documentation updates, small changes, small bug fixes
• I: Number of Indicators already built into the platform

Alternatives

If after seeing the docs and some samples (see the blog also) you feel this is not your cup of tea, you can always have a look at similar Python platforms:

• PyAlgoTrade

• Zipline

• Ultra-Finance

• ProfitPy

• pybacktest

• prophet

• quant

• AlephNull

• Trading with Python

• visualize-wealth

• tia: Toolkit for integration and analysis

• QuantSoftware Toolkit

• Pinkfish

• bt

  bt slightly pre-dates backtrader and has a completely different approach but it is funny bt was also chosen as the abbreviation for backtrader during imports and that some of the methods have the same naming (obvious naming anyhow): run, plot ...

• PyThalesians

• QSTrader

• QSForex

• pysystemtrade

• QTPyLib