BTS: BackTest Strategy

BTS is a Rust library designed for backtesting trading strategies on candlestick data. It enables testing technical indicators, custom strategies, and simulating trading performance on historical or generated data.

Key Features

• Technical Indicators: Uses with popular indicators (Impulse MACD, Parabolic SAR, VWAP, etc.) and allows easy addition of new ones.
• Backtesting: Simulates trading strategies on historical or generated data.
• Market Engine: Processes candles one by one to test strategies under realistic conditions.
• Performance Metrics: Calculates P&L (Profit & Loss), drawdown, Sharpe ratio, and more.
• Flexibility: Compatible with the ta crate for seamless integration with other indicators.
• Order & Position Management: Supports market orders, limit orders, take-profit, stop-loss, and trailing stops.

Core Concepts

Candle

Represents a candlestick with OHLCV data (Open, High, Low, Close, Volume). Used as the basic unit for market data.

Order

Represents a trading order (buy or sell) with a specific type (market, limit, etc.). Orders can be placed and executed based on market conditions.

Position

Represents an open market position with exit rules (take-profit, stop-loss, trailing stop). Positions are managed by the backtesting engine.

Event

Records backtest events (order/position additions/removals) for detailed tracking.

Usage Example

use bts::prelude::*;

// Candlestick data
let data = vec![
    Candle::from((100.0, 110.0, 95.0, 105.0, 1000.0)),
    Candle::from((105.0, 115.0, 100.0, 110.0, 1000.0)),
];

// Initialize backtest
let mut bts = Backtest::new(data, 1000.0).unwrap();

// Custom strategy
bts.run(|bt, candle| {
    // Example: Buy if closing price > opening price
    if candle.close() > candle.open() {
        let order = Order::from((OrderType::Market(candle.close()), 1.0, OrderSide::Buy));
        bt.place_order(order)?;
    }
    Ok(())
}).unwrap();

// Results
println!("Final balance: {}", bts.balance());
println!("Number of positions: {}", bts.positions().count());
println!("Number of events: {}", bts.events().count());

Performance Metrics

The backtesting engine automatically calculates the following metrics:

• Profit & Loss (P&L): Total profits or losses.
• Drawdown: Maximum capital decline.
• Sharpe Ratio: Risk-adjusted return measure.
• Win Rate: Percentage of winning trades.

Integration with Other Crates

BTS is compatible with the ta crate for technical analysis, allowing you to easily integrate additional indicators.

Advanced Features

• Custom Strategies: Implement your own trading logic.
• Event Tracking: Detailed logging of all trading events.
• Risk Management: Built-in support for stop-loss and take-profit rules.
• Performance Optimization: Uses efficient data structures for order/position management.
• Parameters Optimization: Computes the best parameters (indicators, RR, etc...) for your strategy.

Error Handling

BTS provides comprehensive error handling for:

• Insufficient funds
• Invalid orders/positions
• Market data errors
• Configuration issues

Getting Started

Add BTS to your Cargo.toml:

[dependencies]
bts = "0.7"

Then import and use it in your project:

use bts::prelude::*;

Contributing

See Contributing file to contribute to this project.

License

This project is licensed under the MIT License.

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