lucit-backtesting Change Log¶

All notable changes to this project will be documented in this file.

The format is based on Keep a Changelog and this project adheres to Semantic Versioning.

Discussions about lucit-backtesting releases!

1.0.0¶

(2024-06-06)

Takeover of maintenance by LUCIT. The aim is an easy-to-install and functioning system.

Fix ‘ValueError: Length of values (2) does not match length of index (1)’ #649
Fix ‘Plotting does not work and raises an error with Bokeh’ #1069

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)

Add Trade.entry_time/.exit_time
Handle SL/TP hit on the same day the position was opened

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¶