Superfast vectorized library for backtesting and trade optimization

pip install git+https://github.com/polakowo/vector-bt.git

Tutorial is provided through Jupyter nbviewer

Exhaustive grid search over Bitcoin price.

Parameters: 1 year of 2h-period OHLC data, dual SMA crossover strategy with filter of 0.05 * STD and transaction fees of 0.0015 (Poloniex exchange). Heatmap below visualizes grid of SMA windows and the respective rates.

Distribution of expectancy rates in SMA strategy.

For comparison, here is the distribution of expectancy rates in random strategy.