逐位回测

bybit-backtest 是一个 python 库，用于在 Python 3.7 及更高版本上使用 bybit fx trade 进行回测。

从这里回测数据

安装

$ pip install bybit-backtest

用法

基本运行

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()

高级运行

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

支持的指标

• 简单移动平均线'sma'
• 指数移动平均线'ema'
• 移动平均收敛散度'macd'
• 相对强度指数'rsi'
• 布林带'bbands'
• 随机振荡器'stoch'

入门

如需帮助开始使用 Bybit API 和 Websocket，请查看我们的在线文档。