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 std::sync::Arc;

use bts_rs::prelude::*;
use chrono::{DateTime, Duration};

// Candlestick data
let data = vec![
    CandleBuilder::builder().open(100.0).high(110.0).low(95.0).close(105.0).open_time(DateTime::default()).close_time(DateTime::default() + Duration::days(1)).volume(1000.0).build().unwrap(),
    CandleBuilder::builder().open(105.0).high(115.0).low(100.0).close(110.0).open_time(DateTime::default()).close_time(DateTime::default() + Duration::days(1)).volume(1000.0).build().unwrap(),
];

let candles = Arc::from_iter(data);

// Initialize backtest
let mut bts = Backtest::new(candles, 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:

🔗 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.

📦 Crate Features

The crate includes three main optional features to extend its functionality:

• metrics: Exposes the Metrics struct, enabling calculations of key performance indicators such as max drawdown, Sharpe ratio, profit factor, and win rate.
• optimizer: Provides tools for parameter optimization, allowing you to find the best strategy parameters (e.g., indicator periods, risk-reward ratios) by testing combinations across historical data.
• draws: Enables integration with the plotters crate to visualize backtest results, including candlestick charts or performance metrics (requires the metrics feature to be enabled).

🛠️ 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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