tian-ye1214/redlotus/crypto-backtest

Crypto Backtest Engine

Fast, scriptable backtesting for crypto futures strategies. Fetches data via ccxt, runs strategies, reports metrics.

Quick Start

pip install ccxt numpy
python scripts/backtest_engine.py --symbol ETH/USDT:USDT --strategy ema --fast 12 --slow 26

Features

• Multi-exchange: Any ccxt-supported exchange (Bybit, Binance, OKX, Bitget...)
• Built-in strategies: EMA crossover, RSI, MACD, Bollinger Bands
• Parameter sweep: Test all combinations automatically
• Risk simulation: Configurable leverage, position size, SL/TP, fees
• JSON export: Machine-readable results for pipeline integration
• Custom strategies: Simple plug-in interface

Usage

Single Strategy

python scripts/backtest_engine.py \
  --symbol SOL/USDT:USDT \
  --strategy rsi \
  --period 14 --oversold 30 --overbought 70 \
  --capital 1000 --leverage 5

Parameter Sweep

python scripts/sweep.py \
  --symbol ETH/USDT:USDT \
  --strategies ema,rsi,macd,bbands \
  --capital 1000 --leverage 5 \
  --output results.json

Custom Strategy

See references/custom_strategy.md for the plug-in interface.

Output Metrics

Each backtest reports:

• Total trades, win rate, profit factor
• Total PnL (absolute + percentage)
• Max drawdown
• Best/worst trade
• Final balance

Files

• scripts/backtest_engine.py — Core engine with EMA, RSI, MACD, Bollinger Bands
• scripts/sweep.py — Multi-strategy parameter sweep runner
• references/custom_strategy.md — Guide for adding custom strategies
• references/strategy_notes.md — Notes on each built-in strategy's edge cases