bt

Build, test, and compare investment strategies from reusable Python components. bt combines strategy logic with historical price data, tracks portfolio positions and transactions, and provides performance statistics and charts through ffn.

• Compose strategy logic: combine algorithms for scheduling, security selection, weighting, and rebalancing.
• Build portfolios of strategies: nest strategies and securities in a common tree.
• Model trading costs: configure commissions and transaction cost models.
• Compare results: inspect returns, weights, transactions, drawdowns, and other statistics.

Install

pip install bt

See the installation guide for additional details.

A first backtest

This example uses synthetic prices, so it runs without downloading market data:

import numpy as np
import pandas as pd

import bt

prices = pd.DataFrame(
    {
        "asset_a": np.linspace(100, 120, 252),
        "asset_b": np.linspace(100, 110, 252),
    },
    index=pd.bdate_range("2020-01-01", periods=252),
)

strategy = bt.Strategy(
    "equal_weight",
    [
        bt.algos.RunMonthly(),
        bt.algos.SelectAll(),
        bt.algos.WeighEqually(),
        bt.algos.Rebalance(),
    ],
)
result = bt.run(bt.Backtest(strategy, prices))
result.display()

The strategy selects both assets, gives each equal weight, and rebalances monthly. Replace the synthetic prices with your own data to explore a strategy. Backtest results depend on data quality and modeling assumptions; they do not predict future performance.

Explore the documentation

• First strategy tutorial: walk through a backtest and inspect its results.
• Algorithms: compose and customize strategy logic.
• Portfolio trees: combine securities and nested strategies.
• Examples: explore momentum, risk allocation, and fixed-income strategies.
• API overview: find strategy, algorithm, and backtest interfaces.

The published documentation is at https://pmorissette.github.io/bt/.

Contribute

See the development guide for environment setup, tests, documentation builds, and Copier template updates. Report bugs and propose improvements through GitHub issues.

bt is released under the MIT license.