rs-backtester

rs-backtester is a financial backtesting library written entirely in Rust with the purpose of being easy-to-use yet flexible enough to allow a quick implementation of different strategies

Install

To install simply add rs-backtester to your cargo.toml

[dependencies]
rs-backtester = "0.1.0"

Get started

To get started:

Import the necessary modules:

use std::error::Error;
use backtester::backtester::Backtest;
use backtester::datas::Data;
use backtester::strategies::{sma_cross};

Define an instance of the Data class. Market data can be retrieved either through yahoo-finance or read from a CSV file (OHLC format, Volume is not uploaded)

let quotes = Data::load("GOOG.csv","GOOG")?;

As an alternative, you can retrieve data directly from yahoo finance with the following which makes use of the crate yahoo-finance-api

let quotes = Data::new_from_yahoo("GOOG")?;

Create a function which returns a Strategy or use one provided by the library. A Strategy is basically a vector of Choices (e.g. BUY, SHORTSELL, ...) and the indicator used

let sma_cross_strategy = sma_cross(quotes.clone(), 10,20);

Create an instance of the Backtest class

let sma_cross_tester = Backtest::new(quotes.clone(),sma_cross_strategy.clone(),100000f64, Commission::default());

Now:
- you can read a report of the backtest
```
report(&sma_cross_tester);
```
- you can produce a log period by period with the requested parameter
```
sma_cross_tester.log(&["date","open","high","low","close","position","account","indicator"]);
```
- you can chart it (with indicators)
```
plot(sma_cross_tester.clone())?;
```
- you can save it to CSV for inspection
```
sma_cross_tester.to_csv()?;
```
- you can also compare multiple strategies at once

rs-backtester 0.1.0

rs-backtester

Install

Get started