Installation

On your terminal run the following command to install yfinance module.

pip install backtesting

Extract Company in SP500

Firstly, lets extract the SP500 tickers from wikipedia table.

Code

import pandas as pd



def SMA(array, n):
    """Simple moving average"""
    return pd.Series(array).rolling(n).mean()


def RSI(array, n):
    """Relative strength index"""
    # Approximate; good enough
    gain = pd.Series(array).diff()
    loss = gain.copy()
    gain[gain < 0] = 0
    loss[loss > 0] = 0
    rs = gain.ewm(n).mean() / loss.abs().ewm(n).mean()
    return 100 - 100 / (1 + rs)

Code


from backtesting import Strategy, Backtest

import backtesting
backtesting.set_bokeh_output(notebook=True)


class System(Strategy):
   
    def init(self):
        # Compute moving averages the strategy demands
        self.ma10 = self.I(SMA, self.data.Close, 10)
        self.ma20 = self.I(SMA, self.data.Close, 20)
        self.ma50 = self.I(SMA, self.data.Close, 50)
        self.ma100 = self.I(SMA, self.data.Close, 100)
        
        
        
    def next(self):
        price = self.data.Close[-1]
        
        # If we don't already have a position, and
        # if all conditions are satisfied, enter long.
        if (not self.position and
        
            self.ma10[-1] > self.ma20[-1] > self.ma50[-1] > self.ma100[-1] and
            price > self.ma10[-1]):
            
            # Buy at market price on next open, but do
            # set 8% fixed stop loss.
            self.buy(sl=.92 * price)
        
        # If the price closes 2% or more below 10-day MA
        # close the position, if any.
        elif price < .98 * self.ma10[-1]:
            self.position.close()

Code


import yfinance as yf

df = yf.download('GOOGL',
                 start='2020-01-01',
                 end='2025-01-24',
                 
                 multi_level_index=False)



backtest = Backtest(df, System, commission=.002)
backtest.run()

[*********************100%***********************]  1 of 1 completed

Start                     2020-01-02 00:00:00
End                       2025-01-23 00:00:00
Duration                   1848 days 00:00:00
Exposure Time [%]                    38.20755
Equity Final [$]                  18551.00234
Equity Peak [$]                   19217.96801
Return [%]                           85.51002
Buy & Hold Return [%]               190.34936
Return (Ann.) [%]                    13.02308
Volatility (Ann.) [%]                18.31928
CAGR [%]                              8.79165
Sharpe Ratio                          0.71089
Sortino Ratio                         1.23664
Calmar Ratio                          0.80361
Max. Drawdown [%]                   -16.20563
Avg. Drawdown [%]                    -3.22932
Max. Drawdown Duration      616 days 00:00:00
Avg. Drawdown Duration       49 days 00:00:00
# Trades                                   16
Win Rate [%]                            56.25
Best Trade [%]                       19.32696
Worst Trade [%]                      -8.52817
Avg. Trade [%]                        3.95729
Max. Trade Duration         108 days 00:00:00
Avg. Trade Duration          44 days 00:00:00
Profit Factor                         3.92495
Expectancy [%]                        4.30911
SQN                                   1.78135
Kelly Criterion                       0.40676
_strategy                              System
_equity_curve                             ...
_trades                       Size  EntryB...
dtype: object

Code



backtest.plot()

GridPlot(

id = 'p1358', …)