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 indicators crates for seamless integration.
• Order & Position Management: Supports market orders, limit orders, take-profit, stop-loss, and trailing stops.

Usage Example

use bts_rs::prelude::*;

// Candlestick data
let data = vec![
    CandleBuilder::builder().open(100.0).high(110.0).low(95.0).close(105.0).volume(1000.0).build().unwrap(),
    CandleBuilder::builder().open(105.0).high(115.0).low(100.0).close(110.0).volume(1000.0).build().unwrap(),
];

// Initialize backtest
let mut bts = Backtest::new(data, 1000.0, None).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(candle, order)?;
    }
    Ok(())
}).unwrap();

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

See more examples in examples folder.

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 popular indicators crates for technical analysis, allowing you to easily integrate your trading strategy.

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.
• Draw chart and metrics: Draws the candlesticks data, balance, positions and metrics.

Error Handling

BTS provides comprehensive error handling for:

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

Getting Started

Add BTS to your Cargo.toml:

[dependencies]
bts_rs = "*"

Then import and use it in your project:

use bts_rs::prelude::*;

Contributing

Contributions are welcome! See Contributing file to contribute to this project.

License

This project is licensed under the MIT License.

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