Backtesting¶

Backtesting is a beta feature recently added to Tastytrade, so please report any issues!

Let’s see how to perform a backtest:

from datetime import timedelta
from tastytrade.backtest import (
    Backtest,
    BacktestEntry,
    BacktestExit,
    BacktestLeg,
    BacktestSession,
    today_in_new_york
 )
 from tqdm.asyncio import tqdm  # progress bar
 backtest_session = BacktestSession(session)
 backtest = Backtest(
     symbol="SPY",
     entry_conditions=BacktestEntry(),
     exit_conditions=BacktestExit(at_days_to_expiration=21),
     legs=[BacktestLeg(), BacktestLeg(side="put")],
     start_date=today_in_new_york() - timedelta(days=365)
 )
 results = [r async for r in tqdm(backtest_session.run(backtest))]
 print(results[-1])

There are lots of configuration options you can find in the documentation for each class. The run function is an AsyncGenerator, so you can do something else while a backtest is running, show a progress bar, or maybe even run several at once!