bitmex-backtest 0.1.3

Description:

bitmexbacktest 0.1.3

bitmex-backtest






bitmex-backtest is a python library for backtest with bitmex fx trade rest api on Python 3.7 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


Supported indicators

Simple Moving Average 'sma'
Exponential Moving Average 'ema'
Moving Average Convergence Divergence 'macd'
Relative Strenght Index 'rsi'
Bollinger Bands 'bband'
Stochastic Oscillator 'stoch'
Market Momentum 'mom'

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

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