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 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])

Note

As of the time of this writing, the end date of a backtest must be on or before July 31, 2024.

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!