mirror of
https://github.com/KhizarImran/backtestingfx.git
synced 2026-07-27 20:17:44 +00:00
KhizarImran
c22153f02f
- Trade.pnl now stores net pnl (after exit commission) so per-trade stats are accurate - Position pyclass uses from_py_object to fix deprecation warning - Removed dead AttributeError swallow in engine.rs - Strategy gains self.data, self.index, self.cash, self.equity properties - Broker.cash exposed to Python via pyo3(get) - Sharpe ratio added to Stats (unannualized) - Added examples/sma_cross.py and examples/compare_bt.py - Logic verified against backtesting.py: 34 trades, 29.4% win rate match
37 lines
726 B
Python
37 lines
726 B
Python
import pandas as pd
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from backtestingfx import Backtest, Strategy
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class SmaCross(Strategy):
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fast = 10
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slow = 50
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def next(self):
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if self.index < self.slow:
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return
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closes = [b.close for b in self.data[-self.slow :]]
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fast_sma = sum(closes[-self.fast :]) / self.fast
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slow_sma = sum(closes) / self.slow
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if not self.positions:
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if fast_sma > slow_sma:
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self.buy(0.1)
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else:
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if fast_sma < slow_sma:
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self.close_all()
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df = pd.read_csv("data/EURUSD_1H.csv")
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stats = Backtest(
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df,
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SmaCross,
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cash=10_000,
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commission=3.5,
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spread=0.00002,
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contract_size=100_000,
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).run()
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print(stats)
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