Backtesting

Lumibot has multiple modes for backtesting:

1. Yahoo Backtesting: Daily stock backtesting with data from Yahoo.

2. Pandas Backtesting: Intra-day and inter-day testing of stocks and futures using CSV data supplied by you.

3. Polygon Backtesting: Intra-day and inter-day testing of stocks and futures using Polygon data from polygon.io.

4. DataBento Backtesting: Backtesting with high-quality data from DataBento for stocks, futures, and options.

5. ThetaData Backtesting: Backtesting with ThetaData (via the LumiBot Data Downloader).

6. Interactive Brokers (REST) Backtesting: Backtesting with IBKR Client Portal Gateway (via the LumiBot Data Downloader).

It is recommended to use Yahoo Backtesting for daily stock backtesting, ThetaData Backtesting for stocks/options/index data, and Interactive Brokers (REST) Backtesting for futures and crypto data. Pandas Backtesting is an advanced feature that allows you to test any type of data you have in CSV format but requires more work to setup and is not recommended for most users.

Files Generated from Backtesting

When you run a backtest, several important files are generated, each prefixed by the strategy name and the date. These files provide detailed insights into the performance and behavior of the strategy.

Contents:

• How To Backtest
  • Installing LumiBot
  • Choosing a Data Source
  • Running a Backtest with Polygon.io
  • Optional: Using Environment Variables for Backtest Configuration
• Files Generated from Backtesting
  • Tearsheet HTML
  • Trades Files
  • Indicators Files
  • Conclusion
• Backtesting Function
  • run_backtest()
• Backtesting Performance (Speed + Parity)
  • Warm vs cold runs
  • Quick diagnosis checklist
  • Profiling (YAPPI)
  • Environment variables
  • ThetaData options: common performance pitfalls
• Yahoo
  • Option 1: Provide Start and End in Code
  • Using Environment Variables (Optional)
  • Option 2: Rely on Environment Variables (No Start/End in Code)
• Pandas (CSV or other data)
  • In Summary
  • Optional: Environment Variables
• Polygon.io Backtesting
  • Here’s the full code (with explicit dates):
• DataBento Backtesting
  • Overview
  • Setting Up DataBento
  • Basic Usage
  • Supported Assets
  • Time Frames
  • Advanced Configuration
  • Data Quality Features
  • Caching
  • Best Practices
  • Example: Multi-Asset Strategy
  • Error Handling
  • Performance Optimization
  • Troubleshooting
  • Cost Considerations
• ThetaData Backtesting
  • Session close coverage (index/stock minute bars)
  • Options pricing and mark-to-market (important)
  • Optional: Environment Variables
• Interactive Brokers (REST) Backtesting
  • Status
  • Quick Start
  • Supported Data
  • Futures Exchange Routing (auto + override)
  • Expired Futures Contracts (conids)
  • Caching
  • Multi-provider routing (Theta + IBKR)
  • Market Data Subscriptions (IBKR)
  • Authentication / Session Behavior
  • Configuration Notes
• Tearsheet HTML
• Trades Files
• Indicators Files
• Logs CSV