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CHANGELOG.md

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What's New

These were the major changes contributing to each release:

0.x.x

0.3.3

(2021-12-13)

  • Fix random generation with recent NumPy.
  • Fix Pandas deprecation warnings.
  • Replace Bokeh 3.0 deprecations.

0.3.2

(2021-08-03)

  • New strategy performance method backtesting.lib.compute_stats (#281)
  • Improve plotting speed (#329) and optimization performance (#295) on large datasets.
  • Commission constraints now allow for market-maker's rebates.
  • Backtest.plot now returns the bokeh figure object for further processing.
  • Other small bugs and fixes.

0.3.1

(2021-01-25)

  • Avoid some pandas.Index deprecations
  • Fix Backtest.plot(show_legend=False) for recent Bokeh

0.3.0

(2020-11-24)

  • Faster model-based optimization using scikit-optimize (#154)
  • Optionally faster optimization by randomized grid search (#154)
  • Annualized Return/Volatility/Sharpe/Sortino/Calmar stats (#156)
  • Auto close open trades on backtest finish
  • Add Backtest.plot(plot_return=), akin to plot_equity=
  • Update Expectancy formula (#181)

0.2.4

(2020-10-27)

  • Add lib.random_ohlc_data() OHLC data generator
  • Aggregate Equity on 'last' when plot resampling
  • Update stats calculation for Buy & Hold to be long-only (#152)

0.2.3

(2020-09-10)

  • Link hover crosshairs across plots
  • Clicking plot legend glyph toggles indicator visibility
  • Fix Bokeh tooltip showing literal ' '

0.2.2

(2020-08-21)

0.2.1

(2020-08-03)

0.2.0

(2020-07-15)

  • New Order/Trade/Position API (#47)
  • Add data pandas accessors .df and .s
  • Add Backtest(..., exclusive_orders=) that closes previous trades on new orders
  • Add Backtest(..., hedging=) that makes FIFO trade closing optional
  • Add bt.plot(reverse_indicators=) param
  • Add bt.plot(resample=) and auto-downsample large data
  • Use geometric mean return in Sharpe/Sortino stats computation

0.1.8

(2020-07-14)

  • Add Profit Factor statistic (#85)

0.1.7

(2020-03-23)

  • Fix support for 2-D indicators
  • Fix tooltip Date field formatting with Bokeh 2.0.0

0.1.6

(2020-03-09)

0.1.5

(2020-03-02)

0.1.4

(2020-02-25)

0.1.3

(2020-02-24)

  • Show number of trades on OHLC plot legend
  • Add parameter agg= to lib.resample_apply()
  • Reset position price (etc.) after closing position
  • Fix pandas insertion error on Windos

0.1.2

(2019-09-23)

  • Make plot span 100% of browser width

0.1.1

(2019-09-23)

  • Avoid multiprocessing trouble on Windos (#6)
  • Add scatter plot indicators

0.1.0

(2019-01-15)

  • Initial release