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

Get started

To get started:

• Import the necessary modules:

use std::error::Error;
use rs_backtester::backtester::{Backtest, Commission};
use rs_backtester::datas::Data;
use rs_backtester::strategies::{sma_cross};
use rs_backtester::report::{report};

• 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","1d","6mo")?;

• 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 parameters

    sma_cross_tester.log(&["date","open","high","low","close","position","account","indicator"]);
    

  • you can chart it (with indicators)

    plot(sma_cross_tester,plot_config)?;
    

  
  
  • you can save it to CSV for inspection

    sma_cross_tester.to_csv("sma_cross.csv")?;
    

  • you can also compare multiple strategies at once
  • and you can also play with your strategy modifying it by inverting it or transform it in long or short-only