Method run

backtesting/backtesting.py:1256–1369

Run the backtest. Returns `pd.Series` with results and statistics. Keyword arguments are interpreted as strategy parameters. >>> Backtest(GOOG, SmaCross).run() Start 2004-08-19 00:00:00 End 2013-03-01 00

(self, **kwargs)

        self._finalize_trades = bool(finalize_trades)

    def run(self, **kwargs) -> pd.Series:
        """
        Run the backtest. Returns `pd.Series` with results and statistics.

        Keyword arguments are interpreted as strategy parameters.

            >>> Backtest(GOOG, SmaCross).run()
            Start                     2004-08-19 00:00:00
            End                       2013-03-01 00:00:00
            Duration                   3116 days 00:00:00
            Exposure Time [%]                    96.74115
            Equity Final [$]                     51422.99
            Equity Peak [$]                      75787.44
            Return [%]                           414.2299
            Buy & Hold Return [%]               703.45824
            Return (Ann.) [%]                    21.18026
            Volatility (Ann.) [%]                36.49391
            CAGR [%]                             14.15984
            Sharpe Ratio                          0.58038
            Sortino Ratio                         1.08479
            Calmar Ratio                          0.44144
            Alpha [%]                           394.37391
            Beta                                  0.03803
            Max. Drawdown [%]                   -47.98013
            Avg. Drawdown [%]                    -5.92585
            Max. Drawdown Duration      584 days 00:00:00
            Avg. Drawdown Duration       41 days 00:00:00
            # Trades                                   66
            Win Rate [%]                          46.9697
            Best Trade [%]                       53.59595
            Worst Trade [%]                     -18.39887
            Avg. Trade [%]                        2.53172
            Max. Trade Duration         183 days 00:00:00
            Avg. Trade Duration          46 days 00:00:00
            Profit Factor                         2.16795
            Expectancy [%]                        3.27481
            SQN                                   1.07662
            Kelly Criterion                       0.15187
            _strategy                            SmaCross
            _equity_curve                           Eq...
            _trades                       Size  EntryB...
            dtype: object

        .. warning::
            You may obtain different results for different strategy parameters.
            E.g. if you use 50- and 200-bar SMA, the trading simulation will
            begin on bar 201. The actual length of delay is equal to the lookback
            period of the `Strategy.I` indicator which lags the most.
            Obviously, this can affect results.
        """
        data = _Data(self._data.copy(deep=False))
        broker: _Broker = self._broker(data=data)
        strategy: Strategy = self._strategy(broker, data, kwargs)

        strategy.init()
        data._update()  # Strategy.init might have changed/added to data.df

        # Indicators used in Strategy.next()