This repository is a set of analyzer for backtrader that helps review a strategy. These analyzers have been made for Forex strategies is mind but may be used for other instruments.

This repository is under heay development and is not production ready

This is a simple Analyzer that keeps track of all trades closed. It can be used for live or backtesting. It allows to keep track of:

• Trade closed position (Buy or Sell)
• Profit in absolute value and pips
• Open and Close datetime
• Open and Close price
• Maximum drawback in pips
• Maximum profit in pips

This Analyzer is using the output of ForexTrades Analyzer to give details about the strategy including: It returns several analysis for a strategy in 4 different areas:

1. Overal strategy (For full period of trading or backtesting)
   • Gross Profit
   • Gross Profit (pips)
   • Gross Loss
   • Gross Loss (pips)
   • Net Profit
   • Net Profit (pips)
   • Profit Factor
   • Expected Payoff
2. Total
   • Total Number of Trades
   • Total Won
   • Percentage of won
   • Total Loss
   • Percentage of loss
   • Average Trade profit in absolute value
   • Average Trade profit in pips
   • Max Profit in absolute value
   • Max Profit in pips
   • Average Loss in absolute value
   • Average Loss in pips
   • Max Loss in absolute value
   • Max Loss in pips
3. Short Trades
   • Same as for Total but only for short trades
4. Long Trades
   • Same as for Total but only for long trades
5. Streak - Win and Loss Streak with the following for each:
   • Max number of trades in a streak
   • Average number of trades in a streak
   • Max Profit/Loss in absolute value
   • Max Profit/Loss in pips
   • Average Profit/Loss in absolute value
   • Average Profit/Loss in pips

These analyzers have only been tested with Currencies and with a 4/5 digits currencies. It does not support 2/3 digits currencies such as USD/JPY

• python 3.6+
• Backtrader
• Pandas
• pipenv

1. Clone this repository git clone [email protected]:edesmars/btAnalyzer.git
2. Go into the newly created directory: cd btAnalyzer
3. Install dependencies. Pipenv is recommended: pipenv --python 3.6 && pipenv install or use pip install
4. In your backtrader script, add a new path to be able to import these Analyzers

import sys
sys.path.append('/path/to/clone')

import bt_analyzers

3. Add the analyzers into your cerebro instance

cerebro.addanalyzer(bt_analyzer.stats.ForexStats)