oanda-backtest 0.2.0

oanda-backtest is a python library for backtest with oanda rest api on Python 3.6 and above.

oanda-backtest

oanda-backtest is a python library for backtest with oanda rest api on Python 3.6 and above.

Installation

$ pip install oanda-backtest

Usage

#
# basic
#
from oanda_backtest import Backtest

bt = Backtest(access_token='<your access token>', environment='practice')
bt.candles("EUR_USD")
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 oanda_backtest import Backtest

bt = Backtest(access_token='<your access token>', environment='practice')
filepath='usd-jpy-h1.csv'
if bt.exists(filepath):
    bt.read_csv(filepath)
else:
    params = {
        "granularity": "H1",  # 1 hour candlesticks (default=S5)
        "count": 5000 # 5000 candlesticks (default=500, maximum=5000)
    }
    bt.candles("USD_JPY", 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.initial_deposit = 100000 # default=0
bt.units = 1000 # currency unit (default=10000)
bt.stop_loss = 50 # stop loss pips (default=0)
bt.take_profit = 100 # take profit pips (default=0)

print(bt.run())
bt.plot("backtest.png")

total profit        -344.000
total trades         193.000
win rate              29.534
profit factor          0.966
maximum drawdown    2781.000
recovery factor       -0.124
riskreward ratio       2.289
sharpe ratio          -0.011
average return        -1.748
stop loss              1.000
take profit            1.000

Getting started

For help getting started with OANDA REST API, view our online documentation.

Contributing

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