backtesting.py Open-Source Quant Guide: High-Speed Strategy Backtesting & Live Risk Controls with kernc/backtesting.py

#!/usr/bin/env python3
# ==============================================================================
# P.DAY Open-Source Quant Arsenal: kernc/backtesting.py (★ 9.2k+ Stars)
# GitHub Repo: https://github.com/kernc/backtesting.py
# Zero-Code Cloud Alternative: https://accounts.pionex.com/zh-TW/signUp?r=0eDnUwgcHjo
# ==============================================================================
import numpy as np
import pandas as pd

def run_vectorized_ema_backtest(
    prices: pd.Series,
    fast_windows=(10, 15, 20, 30),
    slow_windows=(40, 60, 90, 120),
    fee_bps: float = 5.0,   # Pionex 0.05% (5 bps) flat maker/taker fee
) -> pd.DataFrame:
    """Vectorized multi-parameter EMA crossover backtest with realistic fee deduction."""
    rets = prices.pct_change().fillna(0.0)
    records = []
    fee_rate = fee_bps / 10000.0

    for fw in fast_windows:
        fast_ma = prices.ewm(span=fw, adjust=False).mean()
        for sw in slow_windows:
            if fw >= sw:
                continue
            slow_ma = prices.ewm(span=sw, adjust=False).mean()
            # Shift signal by 1 bar to strictly prevent lookahead bias (严防未来函数)
            pos = (fast_ma > slow_ma).astype(float).shift(1).fillna(0.0)
            trades = pos.diff().abs().fillna(0.0)
            strat_rets = pos * rets - (trades * fee_rate)

            cum_ret = float((1.0 + strat_rets).prod() - 1.0)
            sharpe = float(np.sqrt(365 * 24) * strat_rets.mean() / (strat_rets.std() + 1e-9))
            equity = (1.0 + strat_rets).cumprod()
            max_dd = float(((equity / equity.cummax()) - 1.0).min())
            records.append({
                "fast_ema": fw,
                "slow_ema": sw,
                "net_return_pct": round(cum_ret * 100, 2),
                "sharpe_ratio": round(sharpe, 2),
                "max_drawdown_pct": round(max_dd * 100, 2),
            })
    return pd.DataFrame(records).sort_values("sharpe_ratio", ascending=False)

if __name__ == "__main__":
    np.random.seed(42)
    synth_btc = pd.Series(90000 * np.exp(np.cumsum(np.random.normal(0.00012, 0.008, 24 * 180))))
    leaderboard = run_vectorized_ema_backtest(synth_btc)
    print("=== Top backtesting.py Parameter Combos (Out-of-Sample Gate: Sharpe > 1.8) ===")
    print(leaderboard.head(5).to_string(index=False))