Binance Futures backtesting Python script (bactesting.py)

It doesn't matter which platform you trade on, it just uses binance as the provider (receiving candles).

Installing:

1. Download the repo, unpack it
2. Use installing command to get all the needed packages:

   pip install -r requirements.txt
   

Usage:

1. Add indicators you want to use. Add it as function that returns dataframe. For example:

   def rsi(df, period=14):
      rsi = ta.momentum.RSIIndicator(pd.Series(df), window=period).rsi()
      return rsi
   

   I use TA library for technical analysis.

2. In the strategy class declare all variables (like periods for RSi and EMA), and indicators:

   class str(Strategy):
      ema_period = 200
      rsi_period = 14
      def init(self):
          self.rsi = self.I(rsi, self.data.Close, self.rsi_period)
          self.macd = self.I(macd, self.data.Close)
   

3. In the next function describe your strategy:

   def next(self):
      price = float(self.data.Close[-1])
      if not self.position and self.rsi[-2] < 30:
          self.buy(size=0.02, tp=(1+tp)*price, sl=(1-sl)*price)
      if not self.position and self.rsi[-2] > 70:
          self.sell(size=0.02, tp=(1-tp)*price, sl=(1+sl)*price)
   

   We take candles close prices as actual price. Its simple RSI strategy. Buy when RSI<30 and sell when RSI>70. size is % of the investment that will be used for one order. If investment is 100 and size is 0.02, all orders will use $2 margin.

4. Make a config (TP, SL, Timeframe, and Interval)

   tp = 0.03
   sl = 0.02
   timeframe = '5m'
   interval = 30
   

   tp and sl is a %. For example, 0.03 is 3% of price changing. timeframe is any timeframe available on the binance Futures (1m, 5m, 15m, 1h, 4h). interval is time interval in days (there are some restrictions, like you cant get 5m klines for more than 30 days).

5. Run the backtesting:

   symbol = 'XRPUSDT'
   kl = klines_extended(symbol, timeframe, interval)
   bt = Backtest(kl, str, cash=100, margin=1/10, commission=0.0007)
   stats = bt.run()
   print(stats)
   bt.plot()
   

   symbol is any symbol you want. You can get all symbols using symbols = get_tickers_usdt().

   cash is some investment. margin is leverage, 1/10 is x10. commission is a broker commisson. Binance takes 0.02% + 0.05%

   print(stats) shows all the needed statistics in the console, like this:

    Start                     2024-02-22 11:15:00
    End                       2024-03-23 11:10:00
    Duration                     29 days 23:55:00
    Exposure Time [%]                   79.351852
    Equity Final [$]                   101.698555
    Equity Peak [$]                    102.287638
    Return [%]                           1.698555
    Buy & Hold Return [%]               13.503115
    Return (Ann.) [%]                   21.934238
    Volatility (Ann.) [%]               18.247439
    Sharpe Ratio                         1.202045
    Sortino Ratio                         2.18934
    Calmar Ratio                         6.605664
    Max. Drawdown [%]                    -3.32052
    Avg. Drawdown [%]                   -0.329843
    Max. Drawdown Duration       11 days 09:30:00
    Avg. Drawdown Duration        0 days 15:25:00
    # Trades                                  101
    Win Rate [%]                        43.564356
    Best Trade [%]                       2.948099
    Worst Trade [%]                     -2.088616
    Avg. Trade [%]                       0.059854
    Max. Trade Duration           2 days 20:55:00
    Avg. Trade Duration           0 days 05:35:00
    Profit Factor                        1.077106
    Expectancy [%]                       0.090063
    SQN                                  0.347798
   

   And bt.plot() makes a chart as html page: