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Add EMACrossLongOnly AAPL.XNAS bars example
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‎examples/backtest/databento_ema_cross_long_only_aapl_bars.py

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#!/usr/bin/env python3
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# -------------------------------------------------------------------------------------------------
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# Copyright (C) 2015-2024 Nautech Systems Pty Ltd. All rights reserved.
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# https://nautechsystems.io
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#
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# Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
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# You may not use this file except in compliance with the License.
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# You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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# -------------------------------------------------------------------------------------------------
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import time
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from decimal import Decimal
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import pandas as pd
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from nautilus_trader.adapters.databento.loaders import DatabentoDataLoader
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from nautilus_trader.backtest.engine import BacktestEngine
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from nautilus_trader.backtest.engine import BacktestEngineConfig
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from nautilus_trader.config import LoggingConfig
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from nautilus_trader.config import RiskEngineConfig
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from nautilus_trader.examples.strategies.ema_cross_long_only import EMACrossLongOnly
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from nautilus_trader.examples.strategies.ema_cross_long_only import EMACrossLongOnlyConfig
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from nautilus_trader.model.currencies import USD
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from nautilus_trader.model.data import BarType
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from nautilus_trader.model.enums import AccountType
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from nautilus_trader.model.enums import OmsType
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from nautilus_trader.model.identifiers import TraderId
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from nautilus_trader.model.identifiers import Venue
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from nautilus_trader.model.objects import Money
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from nautilus_trader.test_kit.providers import TestInstrumentProvider
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from tests import TEST_DATA_DIR
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if __name__ == "__main__":
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# Configure backtest engine
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config = BacktestEngineConfig(
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trader_id=TraderId("BACKTESTER-001"),
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logging=LoggingConfig(log_level="INFO"),
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risk_engine=RiskEngineConfig(bypass=True),
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)
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# Build the backtest engine
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engine = BacktestEngine(config=config)
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# Add a trading venue (multiple venues possible)
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NASDAQ = Venue("XNAS") # <-- ISO 10383 MIC
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engine.add_venue(
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venue=NASDAQ,
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oms_type=OmsType.NETTING,
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account_type=AccountType.CASH,
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base_currency=USD,
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starting_balances=[Money(1_000_000.0, USD)],
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)
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# Add instruments
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AAPL_XNAS = TestInstrumentProvider.equity(symbol="AAPL", venue="XNAS")
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engine.add_instrument(AAPL_XNAS)
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# Add data
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loader = DatabentoDataLoader()
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filenames = [
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"aapl-xnas-ohlcv-1s-2023.dbn.zst", # <-- Longer load and run time / more accurate execution
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"aapl-xnas-ohlcv-1m-2023.dbn.zst",
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]
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for filename in filenames:
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bars = loader.from_dbn_file(
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path=TEST_DATA_DIR / "databento" / "temp" / filename,
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instrument_id=AAPL_XNAS.id,
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)
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engine.add_data(bars)
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# Configure your strategy
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config = EMACrossLongOnlyConfig(
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instrument_id=AAPL_XNAS.id,
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bar_type=BarType.from_str(f"{AAPL_XNAS.id}-1-MINUTE-LAST-EXTERNAL"),
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trade_size=Decimal(100),
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fast_ema_period=10,
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slow_ema_period=20,
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)
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# Instantiate and add your strategy
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strategy = EMACrossLongOnly(config=config)
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engine.add_strategy(strategy=strategy)
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time.sleep(0.1)
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input("Press Enter to continue...")
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# Run the engine (from start to end of data)
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engine.run()
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# Optionally view reports
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with pd.option_context(
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"display.max_rows",
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100,
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"display.max_columns",
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None,
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"display.width",
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300,
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):
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print(engine.trader.generate_account_report(NASDAQ))
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print(engine.trader.generate_order_fills_report())
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print(engine.trader.generate_positions_report())
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# For repeated backtest runs make sure to reset the engine
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engine.reset()
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# Good practice to dispose of the object
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engine.dispose()

‎examples/backtest/databento_ema_cross_long_only_spy_trades.py

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# Configure backtest engine
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config = BacktestEngineConfig(
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trader_id=TraderId("BACKTESTER-001"),
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logging=LoggingConfig(
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log_level="INFO",
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log_colors=True,
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),
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logging=LoggingConfig(log_level="INFO"),
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)
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# Build the backtest engine

‎examples/backtest/databento_ema_cross_long_only_tsla_trades.py

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# Configure backtest engine
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config = BacktestEngineConfig(
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trader_id=TraderId("BACKTESTER-001"),
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logging=LoggingConfig(
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log_level="INFO",
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log_colors=True,
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),
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logging=LoggingConfig(log_level="INFO"),
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)
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# Build the backtest engine
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config = EMACrossLongOnlyConfig(
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instrument_id=TSLA_NYSE.id,
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bar_type=BarType.from_str(f"{TSLA_NYSE.id}-1-MINUTE-LAST-INTERNAL"),
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trade_size=Decimal(500),
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trade_size=Decimal(1000),
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fast_ema_period=10,
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slow_ema_period=20,
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)

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