QTSBE - Quantitative Trading Strategy Backtesting Environment

QTSBE is a robust, open-source platform designed for backtesting quantitative trading strategies. At its core, it provides a powerful Python-based API built with Flask, offering extensive endpoints for seamless integration with existing trading systems and projects.

Statistics Reference

Section	Field	Goal	Analysis	Reference
Positions	average_ratio	Average ratio of individual positions.	>	https://www.investopedia.com/terms/r/returnoninvestment.asp
Positions	final_cumulative_ratio	Total compounded return across all positions.	>	https://www.investopedia.com/terms/c/cagr.asp
Positions	average_position_duration	Mean duration (days) a position is held.	~	https://www.investopedia.com/terms/h/holdingperiod.asp
Positions	lowest_ratio	Lowest single‐trade ratio.	>
Positions	lowest_ratio_buy_index	Index of the trade with lowest ratio.	info
Positions	lowest_ratio_sell_index	Index when lowest ratio trade closed.	info
Positions	biggest_ratio	Highest single‐trade ratio.	>	https://www.investopedia.com/terms/r/return.asp
Positions	biggest_ratio_buy_index	Index of trade with highest ratio.	info
Positions	biggest_ratio_sell_index	Index when highest ratio trade closed.	info
Positions	biggest_position_duration	Longest trade duration (days).	~	https://www.investopedia.com/terms/h/holdingperiod.asp
Positions	lowest_position_duration	Shortest trade duration (days).	~	https://www.investopedia.com/terms/h/holdingperiod.asp
Positions	max_cumulative_ratio	Peak cumulative return.	>	https://www.investopedia.com/terms/c/cagr.asp
Positions	min_cumulative_ratio	Lowest cumulative return encountered.	>
Positions	average_cumulative_ratio	Mean of cumulative return curve.	>	https://www.investopedia.com/terms/c/cagr.asp
Positions	lowest_cr_ratio	Lowest cumulative ratio reset value.	>
Drawdown	max_drawdown	Worst peak‐to‐trough decline.	<	https://www.investopedia.com/terms/m/maximum-drawdown-mdd.asp
Drawdown	average_drawdown	Mean drawdown over the backtest.	<	https://www.investopedia.com/terms/d/drawdown.asp
Drawdown	max_drawdown_period	Dates of peak→trough for max DD.	<	https://www.investopedia.com/terms/m/maximum-drawdown-mdd.asp
Advanced	sharpe_ratio	Risk-adjusted return (σ).	>	https://www.investopedia.com/terms/s/sharperatio.asp
Advanced	sortino_ratio	Downside risk-adjusted return.	>	https://www.investopedia.com/terms/s/sortinoratio.asp
Advanced	volatility	Standard deviation of trade returns.	<	https://www.investopedia.com/terms/v/volatility.asp
Advanced	annualized_return	CAGR of the strategy.	>	https://www.investopedia.com/terms/c/cagr.asp
Advanced	calmar_ratio	Annualized return ÷ max drawdown.	>	https://www.investopedia.com/terms/c/calmarratio.asp
Advanced	recovery_factor	Final return ÷ max drawdown.	>	https://www.investopedia.com/terms/r/recovery-rate.asp
Advanced	win_rate	% of winning trades.	>
Advanced	loss_rate	% of losing trades.	<
Advanced	profit_factor	Gross profit ÷ gross loss.	>
Advanced	expectancy	Average return per trade.	>
Advanced	trade_frequency_per_year	Number of closed trades per year.	info
Advanced	exposure_pct	% of time capital is exposed.	info
Advanced	skewness	Asymmetry of return distribution.	≈0	https://www.investopedia.com/terms/s/skewness.asp
Advanced	kurtosis	Tail heaviness of returns.	≈3	https://www.investopedia.com/terms/k/kurtosis.asp
Advanced	VaR_95	5% worst-case daily return.	>	https://www.investopedia.com/terms/v/var.asp
Advanced	CVaR_95	Average of worst 5% returns.	>	https://www.investopedia.com/terms/c/conditional_value_at_risk.asp
Advanced	consecutive_wins	Longest winning streak.	>
Advanced	consecutive_losses	Longest losing streak.	<
Advanced	max_drawdown_period_days	Days between peak and trough of max drawdown.	<	https://www.investopedia.com/terms/m/maximum-drawdown-mdd.asp
Advanced	time_to_recovery_days	Days needed to recover after max drawdown.	<

Value Analysis Legend

• > : Higher value is better (maximize)
• < : Lower value is better (minimize)
• ≈0 : Value close to zero is ideal (neutral skewness)
• ≈3 : Value close to 3 is ideal (normal kurtosis)
• ~ : No optimal value, depends on strategy or context
• info : Informational only, not directly used for scoring

Quick Start Guide

Installation

1. Clone the repository:

git clone https://github.com/simonpotel/QTSBE

2. Deploy with Docker:

docker-compose up

Implementation Guide

1. Strategy Development

   • Base template: api/strategies/default.py
   • Example implementation: api/strategies/rsi_example
   • Create your strategy file with an analyse function
   • Implement technical indicators directly in your strategy code

2. API Deployment

python api/api.py

3. API Documentation

   • Access the Swagger UI documentation: http://127.0.0.1:5002/docs
   • Comprehensive endpoint documentation and testing interface

4. Running Tests

Tip

Run fixtures of the API with : pytest tests/test_api_endpoints.py

5. Visualization Tools

   a. Generate Plotly Charts:

   sh tests/integrations/plotly_unit.sh

   b. Discord Integration:

   • Configure: integrations/discord_chat_bot/bot.py
   • Launch:

   sh sh/discord_chat_bot.sh

   c. Custom Interface Development

   • Framework available for building custom web interfaces
   • Reference the Smartswap project for implementation examples

6. Automated Data Collection

   • Configure: tools/auto_fetch/config.json
   • Launch collector:

   sh sh/auto_fetch.sh

Visualization Examples

License

This project is licensed under the MIT License. See LICENSE for details.

Risk Disclaimer

Warning

This software is provided for research and educational purposes only. Users should:

• Thoroughly review and test all code before implementation
• Be aware that documentation may not reflect the latest updates
• Understand that the developers assume no liability for financial losses or calculation errors
• Conduct their own risk assessment before using in live trading

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