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backtesting.md

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Backtesting with AutoTrader

Now that you have a strategy, you can have some fun with backtesting.

Creating a Runfile

An easy and organised way to deploy a trading bot is to set up a run file. Here you import AutoTrader, configure the run settings and deploy your bot. This is all achieved in the example below.

# runfile.py
from autotrader import AutoTrader

at = AutoTrader()
at.configure(show_plot=True, verbosity=1, feed='yahoo',
             mode='continuous', update_interval='1h') 
at.add_strategy('macd') 
at.backtest(start = '1/1/2021', end = '1/1/2022')
at.virtual_account_config(leverage=30)
at.run()

Let's dive into this a bit more:

  • We begin by importing AutoTrader and creating an instance using at = AutoTrader().
  • Next, we use the configure method to set the verbosity of the code and tell AutoTrader that you would like to see the backtest plot. We also define the run mode and update interval to 1h, meaning that we will step through the backtest data by 1 hour at a time.
  • Next, we add our strategy using the add_strategy method. Here we pass the file prefix of the strategy configuration file, located (by default) in the config/ directory. Since our strategy configuration file is named macd.yaml, we pass in 'macd'.
  • We then use the backtest method to define the backtest period. In this example, we set the start and end dates of the backtest.
  • Since we will be simulating trading (by backtesting), we also need to configure the virtual trading account. We do this with the virtual_account_config method. Here we set the account leverage to 30. You can also configure trading costs, bid/ask spread, initial balance and other settings here.
  • Finally, we run AutoTrader with the command at.run().

Simply run this file, and AutoTrader will do its thing.

Backtest Results

With a verbosity of 1, you will see an output similar to that shown below. As you can see, there is a breakdown of trades taken during the backtest period. Since we told AutoTrader to plot the results, you will also see the interactive chart shown below.

Performance Breakdown

    ___         __      ______               __         
   /   | __  __/ /_____/_  __/________ _____/ /__  _____
  / /| |/ / / / __/ __ \/ / / ___/ __ `/ __  / _ \/ ___/
 / ___ / /_/ / /_/ /_/ / / / /  / /_/ / /_/ /  __/ /    
/_/  |_\__,_/\__/\____/_/ /_/   \__,_/\__,_/\___/_/     
                                                        

[*********************100%***********************]  1 of 1 completed
BACKTEST MODE

AutoTraderBot assigned to trade EURUSD=X with virtual broker using Simple Macd Strategy.

Trading...

31539600.0it [00:19, 1630112.41it/s]                                                                                                                                          
Backtest complete (runtime 19.348 s).

----------------------------------------------
               Trading Results
----------------------------------------------
Start date:              Jan 20 2021 04:00:00
End date:                Dec 31 2021 13:00:00
Duration:                345 days 09:00:00
Starting balance:        $1000.0
Ending balance:          $1140.75
Ending NAV:              $1170.16
Total return:            $140.75 (14.1%)
Maximum drawdown:        -18.97%
Total no. trades:        175
Total fees paid:         $0.0
Win rate:                21.7%
Max win:                 $36.51
Average win:             $25.26
Max loss:                -$21.57
Average loss:            -$16.38
Longest winning streak:  4 trades
Longest losing streak:   11 trades
Average trade duration:  1 day, 3:43:38
Positions still open:    1
Cancelled orders:        5

            Summary of long trades
----------------------------------------------
Number of long trades:   36
Win rate:                41.7%
Max win:                 $36.51
Average win:             $25.22
Max loss:                -$21.18
Average loss:            -$17.23

             Summary of short trades
----------------------------------------------
Number of short trades:  54
Win rate:                42.6%
Max win:                 $31.85
Average win:             $25.28
Max loss:                -$21.57
Average loss:            -$15.86

(interactive-chart)=

Interactive Chart

The interactive chart will look something like the one shown below.

<iframe data-src="../_static/charts/macd_backtest_demo.html" id="iframe" loading="lazy" style="width:100%; margin-top:1em; height:720px; overflow:hidden;" data-ga-on="wheel" data-ga-event-category="iframe" data-ga-event-action="wheel" src="../_static/charts/macd_backtest_demo.html"></iframe>

Accessing Backtest Data

We can also access even more details related to the backtest. Without getting into too many details, every time AutoTrader is run, it deploys one trading bot per instrument in the watchlist, per strategy. In our example, we only used one strategy (MACD) and one instrument (EUR/USD). Therefore, one trading bot was deployed. The details of this bot is stored in the AutoTrader instance we created. We can access the bots deployed by an instance of AutoTrader using the get_bots_deployed method, as shown below.

bot = at.get_bots_deployed()

You will now have access to bot, an instance of AutoBot which traded the MACD strategy on EUR/USD. Of interest now is the backtest summary of the bot, written to bot.backtest_summary. This is a dictionary containing a history of trades taken, orders cancelled, trades still open, and more. Exploring this is left as an exercise to the reader.