Lumibot: Backtesting and Algorithmic Trading Library¶
An Easy to Use and Powerful Backtesting and Trading Library for Crypto, Stocks, Options, Futures and FOREX
Looking for a library that makes it easy for you to backtest your trading strategies and easily create algorithmic trading robots? Well you've found us!
Lumibot is a full featured, super fast library that will allow you to easily create trading robots that are profitable in many different asset classes, including Stocks, Options, Futures, FOREX, and more. It is in active development and is constantly being updated to include new features and bug fixes.
If you want to make a fortune with trading, then you need a library that will make it easy for you to check your trading strategies against historical data to make sure they are profitable before you invest in them. Lumibot makes it easy for you to do this (backtest) your trading strategies and easily convert them to algorithmic trading robots.
Works with Crypto, Options, Futures, Stocks, and FOREX!We're one of the few libraries that supports Algorithmic Options trading and backtesting, as well as many other asset classes.
Built in Live TradingIt's very easy to switch between live trading and backtesting, just a few lines of code to go from backtesting to live trading.
Support For Top BrokersWe support many of the top brokers in the industry, including: Binance, Coinbase, Kucoin, Alpaca, Interactive Brokers and TradeStation. We will also support more brokers in the future.
Easy to Use and Get StartedWe've built the library to be easy to use and get started in minutes. We also offer courses and tutorials to help you with building your own trading bot. (see our Algorithmic Trading course here)
Advanced Analyics Out of the BoxWe've built a suite of advanced analytics tools that can be used to analyze and optimize your trading strategies, including interactive charts and more.
Event Based BacktestingOur backtesting engine is event-based so that you can see your strategies run as if they were live trading. You don't have to deal with complicated and confusing vector math to see your strategies run.
After you have installed Lumibot on your computer, you can then create a strategy and backtest it using free data available from Yahoo Finance, or use your own data (see the Backtesting section to get more details on this). Here’s some code to get you started:
from datetime import datetime from lumibot.backtesting import YahooDataBacktesting from lumibot.strategies import Strategy # A simple strategy that buys AAPL on the first day and hold it class MyStrategy(Strategy): def on_trading_iteration(self): if self.first_iteration: aapl_price = self.get_last_price("AAPL") quantity = self.portfolio_value // aapl_price order = self.create_order("AAPL", quantity, "buy") self.submit_order(order) # Pick the dates that you want to start and end your backtest # and the allocated budget backtesting_start = datetime(2020, 11, 1) backtesting_end = datetime(2020, 12, 31) # Run the backtest MyStrategy.backtest( YahooDataBacktesting, backtesting_start, backtesting_end, )
Once you have backtested your strategy and found it to be profitable on historical data, you can then very easily take your bot live. Notice here how the strategy code is exactly the same, it only takes a few lines of code to switch from backtesting to live trading. Here’s an example using Alpaca (you can create a free Paper Trading account here in minutes: https://alpaca.markets/)
from lumibot.backtesting import YahooDataBacktesting from lumibot.brokers import Alpaca from lumibot.strategies.strategy import Strategy from lumibot.traders import Trader class AlpacaConfig: # Put your own Alpaca key here (you can find it when you log into Alpaca) API_KEY = "YOUR_ALPACA_API_KEY" # Put your own Alpaca secret here (you can find it when you log into Alpaca) API_SECRET = "YOUR_ALPACA_SECRET" # If you want to go live, you must change this. It is currently set for paper trading ENDPOINT = "https://paper-api.alpaca.markets" # A simple strategy that buys AAPL on the first day and hold it class MyStrategy(Strategy): def on_trading_iteration(self): if self.first_iteration: aapl_price = self.get_last_price("AAPL") quantity = self.portfolio_value // aapl_price order = self.create_order("AAPL", quantity, "buy") self.submit_order(order) trader = Trader() broker = Alpaca(AlpacaConfig) strategy = MyStrategy(broker=broker) # Run the strategy live trader.add_strategy(strategy) trader.run_all()
And that’s it! Easy-peasy.
If you would like to learn how to modify your strategies we suggest that you first learn about Lifecycle Methods, then Strategy Methods and Strategy Properties. You can find the documentation for these in the menu, with the main pages describing what they are, then the sub-pages describing each method and property individually.
We also have some more sample code that you can check out here: https://github.com/Lumiwealth/lumibot/tree/master/getting_started
We wish you good luck with your trading strategies, don’t forget us when you’re swimming in cash!
Need Extra Help?¶
Table of Contents¶
- Getting Started
- Adding Trading Fees
- Lifecycle Methods
- def initialize
- def on_trading_iteration
- def before_market_opens
- def before_starting_trading
- def before_market_closes
- def after_market_closes
- def on_abrupt_closing
- def on_bot_crash
- def trace_stats
- def on_new_order
- def on_partially_filled_order
- def on_filled_order
- def on_canceled_order
- def on_parameters_updated
- Strategy Methods
- Order Management
- Order Management
- Strategy Properties