back-test

Repository to perform backtest on CSV datasets of indian indexes

Installation

Pre requisites

Python version 3.6 or above is required

Getting the code / Cloning the repository

Clone the repository from github.com Git is required if you want to clone the repository

git clone https://github.com/PrajwalShenoy/backtest.git

Download the zip file from https://github.com/PrajwalShenoy/backtest
To download the zip file click on the green Code and click on Download ZIP

Install required modules and libraries

Make sure you are in the directory where requirements.txt is present (backtest/)
Open a terminal in that location and run the following command

pip install .

With this the code should be ready to use

Fetching historical data

Open a python terminal and run the following command with your custom values.
If you do not have a account on maticalgos, you can follow the following link to create an account http://historical.maticalgos.com/
index can be given the value of banknifty or nifty
Make sure the directory mentioned in file_path is created before running the commands

from backtest.get_historical_data import get_historical_data

get_historical_data(index="banknifty", email="abc@xyz.com", password="password", start_date="2020-01-01", end_date="2020-01-31", file_path="/home/user/Desktop/historicalData")

Running Index Spot based SL straddle with specified entry and exit time

Open a python terminal and run the following command with your custom values.

from backtest.setTimeStraddleIndexSL import setTimeStraddleIndexSL

trade1 = setTimeStraddleIndexSL(index="BANKNIFTY", start_date="2020-01-01", end_date="2020-01-10", entry_time="09:20:00", exit_time="15:24:00", stop_loss_p=0.009, historical_data_path="/home/prajwal/Desktop/backtest-documentation/back/backtest/", number_of_lots=1, csv_out_file="trade1_report.csv", days_to_run=[2,3])
trade1.runBackTest()

How to create consolidated reports

Open a python terminal and run the following command with your custom values.

from backtest.consolidate_reports import consolidate_reports

trade1 = setTimeStraddleIndexSL(index="BANKNIFTY", start_date="2019-01-01", end_date="2021-12-31", entry_time="09:20:00", exit_time="15:24:00", stop_loss_p=0.009, historical_data_path="/home/prajwal/Documents/Repositories/kotak/historical_data/", number_of_lots=1, csv_out_file="trade1_report.csv", days_to_run=[2,3])
trade1.runBackTest()

trade2 = setTimeStraddleIndexSL(index="BANKNIFTY", start_date="2019-01-01", end_date="2021-12-31", entry_time="09:20:00", exit_time="15:24:00", stop_loss_p=0.007, historical_data_path="/home/prajwal/Documents/Repositories/kotak/historical_data/", number_of_lots=1, csv_out_file="trade2_report.csv", days_to_run=[0,1,2,3,4])
trade2.runBackTest()

# The above commands generate trade1_report.csv and trade2_report.csv. The next command creates the consolidated report
consolidate_reports(csv_file_names=["trade1_report.csv", "trade2_report.csv"], consolidated_report="consolidated.csv")

How to use the analysis tool

Open a python terminal and run the following command with your custom csv file

from backtest.analyseReport import m2mPlot, perWeekdayPieChart, lossesSplit, profitsSplit
import pandas as pd

df = pd.read_csv("Path to report file")
profitsSplit(df)
lossesSplit(df)
perWeekdayPieChart(df)
m2mPlot(df)

Refer to examples.py for more examples on how to use these tools in a python script

Additional information

days_to_run indicate the days on which the back test will run. The mapping is as follows

0 - Monday
1 - Tuesday
2 - Wednesday
3 - Thursday
4 - Friday
5 - Saturday
6 - Sunday

Even when specified, backtest will not run on 5 and 6. (Afterall backtest also needs a holiday XD)
Formula_generator.xlsm is a community developed excel sheet to help you guys get the respective python command to run the respective straddles.

Special thanks to Himanshu for helping test this new tool