Backtest scripts for turtle strategy

Installation

Create virtual environment

Use the package manager pip to install dependencies.

pip install -r requirements.txt

Usage

For single asset back test use back_test.py

# "BTCUSD" - Asset,
# 365 - Days to load historical data
# 20 - Average True Range
# 55 - Number of bars to calculate maximum for the last 55 "high"
# 20 - Number of bars to calculate minimum for the last 20 "low"
# 1000000 - Initial balance
# "day - Time frame used to generate buy/sell signals 
test_params = utils.initial_test_params("BTCUSD", 365, 20, 55, 20, 1000000, "day")

For multi asset back test with single base currency use multi_asset_back_test.py

# ["BTCUSD", "ETHUSD", "XRPUSD"] - Assets,
# 365 - Days to load historical data
# 20 - Average True Range
# 55 - Number of bars to calculate maximum for the last 55 "high"
# 20 - Number of bars to calculate minimum for the last 20 "low"
# 1000000 - Initial balance
# "day - Time frame used to generate buy/sell signals

symbols = ["BTCUSD", "ETHUSD", "XRPUSD"]
 
test_params = utils.multi_asset_initial_test_params(symbols, 365, 20, 55, 20, 1000000, "day")

For multi asset back test with multi base currencies use multi_asset_cross_back_test.py

# ["BTCUSD", "ETHUSD", "XRPUSD"] - Assets
# {"XRPBTC": {"long": "XRPUSD", "short": "BTCUSD"},
#  "ETHBTC": {"long": "ETHUSD", "short": "BTCUSD"}} - assets with different base currency
# 365 - Days to load historical data
# 20 - Average True Range
# 55 - Number of bars to calculate maximum for the last 55 "high"
# 20 - Number of bars to calculate minimum for the last 20 "low"
# 1000000 - Initial balance
# "day - Time frame used to generate buy/sell signals


symbols = ["BTCUSD", "ETHUSD", "XRPUSD", "XRPBTC", "ETHBTC"]

cross_symbols = {"XRPBTC": {"long": "XRPUSD", "short": "BTCUSD"},
                 "ETHBTC": {"long": "ETHUSD", "short": "BTCUSD"}}

test_params = utils.multi_asset_with_cross_initial_test_params(symbols, cross_symbols, 365, 20, 55, 20, 1000000, "day")

pyfolio

uncomment following in script

returns, positions, transactions = pf.utils.extract_rets_pos_txn_from_zipline(result)
pf.create_full_tear_sheet(returns, positions=positions, transactions=transactions, round_trips=True)

jupyter notebook

Load back test file in jupyter notebook page

Contributing

Pull requests are welcome. For major changes, please open an issue first to discuss what you would like to change.

License

MIT