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README.md

Chapter 9: Algorithmic Trading: Backtesting

Learn how to Backtest your own algorithmic trading strategy using two strategy coding examples involving Regular and Bracket orders respectively. Also, learn to fetch execution logs and various types of Backtesting reports including P&L report, statistics report and order history log for your strategy.

List of Recipes in this chapter

  1. EMA-Regular-Order Strategy: Fetching the Strategy
  2. EMA-Regular-Order Strategy: Backtesting the Strategy
  3. EMA-Regular-Order Strategy: Fetching Backtesting Logs in real time
  4. EMA-Regular-Order Strategy: Fetching Backtesting Report - Profit-&-Loss Table
  5. EMA-Regular-Order Strategy: Fetching Backtesting Report - Statistics Table
  6. EMA-Regular-Order Strategy: Fetching Backtesting Report - Order History
  7. MACD-Bracket-Order Strategy: Fetching the Strategy
  8. MACD-Bracket-Order Strategy: Backtesting the Strategy
  9. MACD-Bracket-Order Strategy: Fetching Backtesting Logs in real time
  10. MACD-Bracket-Order Strategy: Fetching Backtesting Report - Profit-&-Loss Table
  11. MACD-Bracket-Order Strategy: Fetching Backtesting Report - Statistics Table
  12. MACD-Bracket-Order Strategy: Fetching Backtesting Report - Order History

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Requirements

  • Python 3.7+
  • Additional Python Packages required for this chapter can be installed as follows -
$ source <virtualenv>           # optional, if you use a virtualenv
$ cd <path-to-this-folder>
$ pip install -r requirements.txt