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santiment / sanpy

Santiment API Python Client
MIT License
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Add backtest #82

Closed tspenov closed 5 years ago

tspenov commented 5 years ago 
In [1]: import san

In [2]: from san import backtest

In [3]: asset = "bitcoin"

In [4]:     data = san.get("ohlcv/"+asset)
   ...:     data["returns"]= data.closePriceUsd.pct_change()
   ...:     data["ma50"] = data.closePriceUsd.rolling(50).mean()
   ...:     data["ma200"] = data.closePriceUsd.rolling(200).mean()
   ...:     data = data.dropna()
   ...:
   ...:     trades = data["ma50"] > data["ma200"]
   ...:
   ...:     bt = backtest.Backtest(data.returns.dropna(),trades, percent_invested_per_trade=0.8)
   ...:     bt.summary()
Returns in Percent:  34.25
Returns Benchmark in Percent:  50.1
Annualized Returns in Percent:  64.43
Annualized Sharpe Raito:  1.5
Number of Trades:  2