Class Backtest

backtesting/backtesting.py:1096–1752

Backtest a particular (parameterized) strategy on particular data. Initialize a backtest. Requires data and a strategy to test. After initialization, you can call method `backtesting.backtesting.Backtest.run` to run a backtest instance, or `backtesting.backtesting.Backtest.

class Backtest:
    """
    Backtest a particular (parameterized) strategy
    on particular data.

    Initialize a backtest. Requires data and a strategy to test.
    After initialization, you can call method
    `backtesting.backtesting.Backtest.run` to run a backtest
    instance, or `backtesting.backtesting.Backtest.optimize` to
    optimize it.

    `data` is a `pd.DataFrame` with columns:
    `Open`, `High`, `Low`, `Close`, and (optionally) `Volume`.
    If any columns are missing, set them to what you have available,
    e.g.

        df['Open'] = df['High'] = df['Low'] = df['Close']

    The passed data frame can contain additional columns that
    can be used by the strategy (e.g. sentiment info).
    DataFrame index can be either a datetime index (timestamps)
    or a monotonic range index (i.e. a sequence of periods).

    `strategy` is a `backtesting.backtesting.Strategy`
    _subclass_ (not an instance).

    `cash` is the initial cash to start with.

    `spread` is the the constant bid-ask spread rate (relative to the price).
    E.g. set it to `0.0002` for commission-less forex
    trading where the average spread is roughly 0.2‰ of the asking price.

    `commission` is the commission rate. E.g. if your broker's commission
    is 1% of order value, set commission to `0.01`.
    The commission is applied twice: at trade entry and at trade exit.
    Besides one single floating value, `commission` can also be a tuple of floating
    values `(fixed, relative)`. E.g. set it to `(100, .01)`
    if your broker charges minimum $100 + 1%.
    Additionally, `commission` can be a callable
    `func(order_size: int, price: float) -> float`
    (note, order size is negative for short orders),
    which can be used to model more complex commission structures.
    Negative commission values are interpreted as market-maker's rebates.

    .. note::
        Before v0.4.0, the commission was only applied once, like `spread` is now.
        If you want to keep the old behavior, simply set `spread` instead.

    .. note::
        With nonzero `commission`, long and short orders will be placed
        at an adjusted price that is slightly higher or lower (respectively)
        than the current price. See e.g.
        [#153](https://github.com/kernc/backtesting.py/issues/153),
        [#538](https://github.com/kernc/backtesting.py/issues/538),
        [#633](https://github.com/kernc/backtesting.py/issues/633).

    `margin` is the required margin (ratio) of a leveraged account.
    No difference is made between initial and maintenance margins.