Fast Trade

A library built with backtest portability and performance in mind for trading strategy backtests. There is also an Archive, which can be used to download compatible kline data from Binance (.com or .us) and Coinbase into local parquet datasets.

Motivations

If backtests are fast, strategies are cheap.

MCP Server

I’m using this library and my own closed-source data collection software which has live-streaming data from HyperLiquid, Coinbase, and Binanceus. If you want to try it out with absolutely no garentees, send me an email at fasttrade@jedm.dev or join the Discord https://discord.gg/Y8ypD3dcgs.

Start the local MCP server with python -m fast_trade.mcp_server. Available tools include CLI wrappers, portfolio helpers, log tailing, fxmacrodata_macro_context, and hmm_screen.

Contributing

If you’d like to add a feature, fix a bug, or something else, please clone the repo and fork it. When you’re ready, open a PR into this main repo.

To get started with local dev, clone the repo, set up a virtual env, source it, then install the dev requirements.

git clone git@github.com:<YOUR GIT USERNAME>/fast-trade.git
cd ./fast-trade
python -m venv venv
source venv/bin/activate
pip install -e .

To generate testing coverage, run

coverage run -m pytest
coverage report -m

Install

pip install fast-trade

See docs/GETTING_STARTED.md for the fastest end-to-end setup and first-run guide.

Usage

strategy.yml for an example strategy. The basic idea is you describe the “datapoints” then compare them in the “logics”. The “datapoints” describe the technical analysis functions to run, and the “logics” describe the logic to use to determine when to enter and exit trades.

Example backtest script

from fast_trade import run_backtest, validate_backtest

backtest = {
    "base_balance": 1000, # start with a balance of 1000
    "freq": "5Min", # time period selected on the chard
    "chart_start": "2021-08-30 18:00:00", # when to start the chart
    "chart_stop": "2021-09-06 16:39:00", # when to stop the chart
    "comission": 0.01, # a comission to pay per transaction 
    "datapoints": [ # describes the data to use in the logic
        {
            "args": [ # args are passed to the transformer function
                30
            ],
            "transformer": "sma", # technical analysis function to run
            "name": "sma_short" # reference point for use in logic
        },
        {
            "args": [
                90
            ],
            "transformer": "sma",
            "name": "sma_long"
        },
    ],
    "enter": [
      [
        "close", # field to reference, by default this is any column in the data file. Could also be a float or int
        ">", # operator to compare these to
        "sma_long" # name of datapoint that was prevously defined
      ],
      [
        "close",
        ">",
        "sma_short"
      ]
    ],
    "exit": [
      [
        "close",
        "<",
        "sma_short"
      ]
    ],
    "rules": [["sharpe_ratio", ">", 0.5]], # use rules to filter out backtests that didnt perform well
    "trailing_stop_loss": 0.05, # optional trailing stop loss 
    "exit_on_end": False, # at then end of the backtest, if true, the trade will exit
}
# backtests can also come from urls
# backtest = "https://raw.githubusercontent.com/jrmeier/fast-trade/master/sma_strategy.yml"

# returns a mirror of the object, with errors if any
print(validate_backtest(backtest))

# returns the summary object and the dataframe
result = run_backtest(backtest)

summary = result["summary"]
df = result["df"]
trade_log_df = result["trade_df"]

print(summary)
print(df.head())

CLI

You can also use the package from the command line. Each command’s specific help feature can be viewed by running ft <command> -h.

List the commands and their help. ft -h

Basic usage

This will download the last month of data for BTCUSD from binance.us and store it in ft_archive/.

ft download BTCUSD binanceus

This will backtest a file with a strategy. By default, it will only show a summary of the backtest. However, if you want to save the results, add the --save flag and it will go the saved_backtests/ directory.

ft backtest ./strategy.yml

You can validate a backtest before you run it. This doesn’t help with the data, but does help with the logic. ft validate strategy.yml

Backteset Modifiers

Modifying the freq

ft backtest ./strategy.yml --mods freq 1H

Modifying the freq and the trailing_stop_loss

ft backtest ./strategy.yml --mods freq 1H trailing_stop_loss .05

Saving a test result This generates creates the saved_backtest directory (if it doesn’t exist), then inside of there, is another directory with a timestamp, with a chart, the backtest file, the summary, and the raw dataframe as a csv. ft backtest ./strategy.yml --save

Archive

You can download data directly from the CoinbaseAPI and BinanceAPI without registering for an API key.

Get a list of assets available for download from the given exchange. Defaults to binanceus.

ft assets --exchange=EXCHANGE

Download a single asset from the given exchange. Defaults to binanceus. ft download SYMBOL EXCHANGE

Download the last 30 days of BTCUSDT from binance.us ft download BTCUSDT binanceus

ft download SYMBOL --archive ARCHIVE_PATH --start START_DATE --end END_DATE --exchange=EXCHANGE

Update the archive. Brings the archive up to date with the latest data for each symbol.

ft update_archive

This update all the existing items in the archive, downloading the latest data for each symbol.

Browse saved backtests

ft backtests list
ft backtests show --index 1
ft logs --kind all --tail 200

Persistent logs

Portfolio activity is persisted as JSONL so it can be tailed with ft logs or consumed by external tools.

• Portfolio: ft_archive/portfolio/<NAME>/portfolio.jsonl
• Optional live/stream logs (if present): ft_archive/live_logs/<RUN_ID>.jsonl, ft_archive/stream_logs/<RUN_ID>.jsonl

Changelog

See docs/CHANGELOG.md.

Release Notes

Version 2.1.0 adds FXMacroData macro/FX context and a productized HMM screener (ft screen hmm, MCP hmm_screen). See docs/CHANGELOG.md for the full change list and docs/RELEASE.md for the release checklist.

Machine Learning

Fast Trade includes optional ML utilities for optimization and regime detection.

Genetic Algorithm (Evolver)

Run a GA optimization using a YAML config:

ft evolve evolver_example.yml

Key fields in evolver_example.yml:

• strategy or strategy_path — base strategy
• genes — list of tunable parameters
• settings — population size, generations, mutation rates, etc.
• fitness — metrics to optimize

Regime Model

Train a regime model:

ft regime_train regime_example.yml data.csv --out regime_model.pkl

Apply a trained model:

ft regime_apply regime_model.pkl data.csv --out regime_output.csv

See regime_example.yml for expected config structure.

HMM Screener

Rank symbols with a Gaussian HMM + Monte Carlo forecast screen:

# Archive-first (download candles first)
ft download BTC-USD coinbase --start 2024-01-01
ft screen hmm hmm_screen_example.yml

# Or live Coinbase / Hyperliquid fetch
ft screen hmm --exchange coinbase --symbol BTC-USD --symbol ETH-USD --live
ft screen hmm --exchange hyperliquid --symbol BTC --live --json-out ft_archive/screens/hl.json

See hmm_screen_example.yml for filters, horizons, and output paths. Agents can call the MCP tool hmm_screen.

Testing

python -m pytest

Coverage

coverage run -m pytest
coverage report -m

FXMacroData macro context

FXMacroDataClient uses the canonical https://api.fxmacrodata.com/v1/ API host. Set FXMACRODATA_API_KEY (or FXMD_API_KEY) to access protected data, or pass api_key directly when creating the client. build_macro_context("EUR", "USD") returns the pair’s catalogue, filtered release calendars and announcements, and FX data. The same helper is available to agents as the MCP tool fxmacrodata_macro_context.

Output

The output its a dictionary. The summary is a summary all the inputs and of the performace of the model. The df is a Pandas Dataframe, which contains all of the data used in the simulation. And the trade_df is a subset of the df frame which just has all the rows when there was an event. The backtest object is also returned, with the details of how the backtest was run.

Example output:

{
  "return_perc": 10.093,
  "sharpe_ratio": 0.893,
  "buy_and_hold_perc": 2.086,
  "median_trade_len": 4200.0,
  "mean_trade_len": 7341.7,
  "max_trade_held": 54300.0,
  "min_trade_len": 300.0,
  "total_num_winning_trades": 136.0,
  "total_num_losing_trades": 371.0,
  "avg_win_perc": 0.142,
  "avg_loss_perc": -0.021,
  "best_trade_perc": 0.012,
  "min_trade_perc": -0.0025,
  "median_trade_perc": -0.0001,
  "mean_trade_perc": 0.0002,
  "num_trades": 507,
  "win_perc": 26.824,
  "loss_perc": 73.176,
  "equity_peak": 1127.147,
  "equity_final": 1112.254,
  "max_drawdown": 985.676,
  "total_fees": 26.662,
  "first_tic": "2024-11-27 01:15:00",
  "last_tic": "2025-01-09 03:10:00",
  "total_tics": 12408,
  "perc_missing": 0.0,
  "total_missing": 0,
  "test_duration": 0.302,
  "num_of_enter_signals": 718,
  "num_of_exit_signals": 5564,
  "num_of_hold_signals": 6126,
  "market_adjusted_return": 8.007,
  "position_metrics": {
    "avg_position_size": 0.011,
    "max_position_size": 0.012,
    "avg_position_duration": 18.327,
    "total_commission_impact": 2.397
  },
  "trade_quality": {
    "profit_factor": 2.522,
    "avg_win_loss_ratio": 6.881,
    "largest_winning_trade": 0.012,
    "largest_losing_trade": -0.003
  },
  "market_exposure": {
    "time_in_market_pct": 37.516,
    "avg_trade_duration": 18.327
  },
  "effective_trades": {
    "num_profitable_after_commission": 0,
    "num_unprofitable_after_commission": 507,
    "commission_drag_pct": 2.397
  },
  "drawdown_metrics": {
    "max_drawdown_pct": -11.578,
    "avg_drawdown_pct": -3.07,
    "max_drawdown_duration": 6178.0,
    "avg_drawdown_duration": 137.977,
    "current_drawdown": -1.457
  },
  "risk_metrics": {
    "sortino_ratio": 0.006,
    "calmar_ratio": 0.0,
    "value_at_risk_95": -0.002,
    "annualized_volatility": 0.018,
    "downside_deviation": 0.001
  },
  "trade_streaks": {
    "current_streak": 371,
    "max_win_streak": 1,
    "max_loss_streak": 19,
    "avg_win_streak": 1.0,
    "avg_loss_streak": 2.708
  },
  "time_analysis": {
    "best_day": 0.0,
    "worst_day": 0.0,
    "avg_daily_return": 0.0,
    "daily_return_std": 0.0,
    "profitable_days_pct": 0.0,
    "best_month": 0.0,
    "worst_month": 0.0,
    "avg_monthly_return": 0.0,
    "monthly_return_std": 0.0,
    "profitable_months_pct": 0.0
  },
  "rules": {
    "all": true,
    "any": true,
    "results": [
      true
    ]
  },
  "strategy": {
    "any_enter": [],
    "any_exit": [],
    "freq": "5Min",
    "comission": 0.01,
    "symbol": "BTCUSDT",
    "exchange": "binanceus",
    "datapoints": [
      {
        "args": [
          9
        ],
        "name": "zlema",
        "transformer": "zlema"
      },
      {
        "args": [
          99
        ],
        "name": "zlema_1",
        "transformer": "zlema"
      }
    ],
    "enter": [
      [
        "zlema",
        ">",
        "close",
        4
      ]
    ],
    "exit": [
      [
        "zlema_1",
        "<",
        "close",
        2
      ]
    ],
    "start_date": "2024-11-01",
    "exit_on_end": false,
    "trailing_stop_loss": null,
    "rules": [
      [
        "return_perc",
        ">",
        0.05
      ]
    ],
    "base_balance": 1000,
    "lot_size_perc": 1.0,
    "max_lot_size": 0
  }
}

Backtest

The real goal of this project is to get to the point where these strategies can be generated and tested quickly and then be easily iterated on.

Below is an example of a very simple strategey. Basically, datapoints are used to build a list of datapoints to look at which must all be true to produce an enter or exit status for that tick.

Backtests include all the instructions needed to run the backtest minus the data.

Backtest Requirements

• name:
  • string, optional
  • default: None
  • description: a string for quick reference of the backtest
• freq:
  • string, optional
  • default: "1Min"
  • description: a charting period string. allowed values are “Min” (minute), “T” (minute), “D” (day),”H” (hour)
  • Ex.
    • “1Min” is 1 minute
    • “2H” is 2 hours
    • “5D” is 5 days
• start: string or timestamp
  • optional,
  • default: ""
  • description: The time string of when to start the backtest with %Y-%m-%d %H:%M:%S date format or a timestamp. It will be tested
  • Ex.
    • "2018-05-01 00:00:00" May 1st, 2018 at midnight
• stop: sting or timestamp
  • optional
  • default: ""
  • description: The time string of when to stop the backtest with %Y-%m-%d %H:%M:%S date format or a timestamp
  • Ex.
    • "2020-12-28 00:08:00" December 28th, 2020 at 8am.
    • "2020-06-01"June 6th, 2020
    • 1590969600 (seconds) June 6th, 2020
    • 1590969600000 (milliseconds) June 6th, 2020
• base_balance: float or int
  • optional
  • default: 1000
  • description: The starting balance of trade account. Usually $ or “base” coins for cryptocurrencies.
• comission: float
  • optional
  • default: 0.0
  • description: The “trading fee” per trade. This is subtracted per trade.
• enter: list,
  • required
  • default: None
  • description: a list of Logic’s with instructions to compare the data on each tick. EVERY logic item must return True to ENTER the trade.
• any_enter: list,
  • optional
  • default: None
  • description: a list of Logic’s with instructions to compare the data on each tick. ANY LOGIC ITEM can return True to ENTER the trade.
• exit: list
  • required
  • default: None
  • description: a list of Logic’s with instructions to compare the data on each tick. EVERY LOGIC ITEM must return True to EXIT the trade.
• any_exit: list
  • optional
  • default: None
  • description: a list of Logic’s with instructions to compare the data on each tick. ANY LOGIC ITEM can return True to EXIT the trade.
• datapoints: list
  • optional
  • default: None
  • description: This describes how to create the datapoints. Each individual transformer has name that can be referenced in either the enter or exit logizs. For more information, see (Datapoints)
• trailing_stop_loss: float
  • optional
  • default 0
  • description: This sets a trailing stop loss, so the trade will exit immediately, without considering any other action. It is the percentage ot follow for example, to set a stop loss of 5%, set 0.05
• rules: list
  • optional
  • default: None
  • description: This is a list of rules to filter out backtests that didnt perform well. See Rules for more information.

Simple Moving Average Cross example

This is an example of a simple moving average cross backtest.

{
    "base_balance": 1000,
    "freq": "5T",
    "chart_start": "2020-08-30 18:00:00",
    "chart_stop": "2020-09-06 16:39:00",
    "comission": 0.01,
    "datapoints": [
        {
            "args": [
                30
            ],
            "transformer": "sma",
            "name": "sma_short"
        },
        {
            "args": [
                90
            ],
            "transformer": "sma",
            "name": "sma_long"
        },
    ],
    "enter": [
      ["close", ">", "sma_long"],
      ["close", ">", "sma_short"]
    ],
    "exit": [["close", "<", "sma_short"]],
    "trailing_stop_loss": 0.05,
    "exit_on_end": False,
}

LogicDetail

Each logic is contains a single if statement. The two variables are the first and last item in the list, with the operator to compare them >, <, =, >=, or <=.

To think of this easily, just say it out loud. Ex.

If the close (closing price) at X time is greater than the “short_sma” (custom datapoint), then return True, else return False.

[
  "close", # datapoint or column in provided data
  ">", # operator for comparisson
  "sma_short" # datapoint or column in provided data
]

If true, thats an enter signal, if false, thats an exit signal.

Valid datapoints:

• open
• high
• low
• close
• volume
• any datapoint (see LogicExample1)
• any additional columns in your data file or your dataframe (see LogicExample2)

LogicExample1

    [
      "close", # valid datapoint, always provided
      ">", # logic to use to compare
      "short" # valid custom datapoint, defined in datapoints
    ]

LogicExample2

    [
      "rsi", # valid custom datapoint, should be defined in datapoints
      "<", # logic to use to compare
      70 # integer, float, or string 
    ]

Logic Lookbacks

Logic lookbacks allow you to confirm a signal by checking the last N periods.

    [
      "rsi", # valid custom datapoint, should be defined in datapoints
      ">", # logic to use to compare
      30, # integer, float, or string
      2 # optional, default 0, LogicalLookback number of periods to confirm this signal
    ]

Datapoints

Datapoints are user defined technical indicators. You can select a defined transformer function to apply the technical analysis. They can reference data and calculate the new values to be referenced inside of any of the logics.

• name:
  • string, required
  • description: a string for quick reference of the datapoint
• transformer:
  • string, required
  • description: a string of the transformer function to use
• args:
  • list, required
  • description: a list of arguments to pass to the transformer function
• freq:
  • string, optional
  • description: a string of the frequency to sample the data at, default is the freq in the backtest

Simple SMA example

      {
         "name": "sma_short", # transformer name
         "transformer": "sma", # technical analysis function to be used
         "args": [20], # arguments to pass to the function, for multiple args, add a "," behind each
         "freq": "1Min" # optional, default is the freq in the backtest
      }

Transfomers (Technical Indicators)

See docs/TRANSFORMER_README.md for a list of supported indicators. For the most details, see the actual implementation in fast_trade/finta.py.

Note:

If a transfomer function returns multiple series, fast-trade will name concate the name of the series with the name of the transfomer function and whatever the returned name is It will be lowercased and maybe not what you expect. See the specific transformer for more details in./fast_trade/finta.py.

Example:

The bbands function returns three series, one for the upper band and one for the lower band. The name of the series will be bbands_bb_upper,bbands_bb_middle, and bbands_bb_lower.

bbands returns 3 columns bb_upper, bb_middle, and bb_lower so the series to reference in the logic will be {transformer_name}_bbands_bb_upper, {transformer_name}_bbands_bb_middle, and {transformer_name}_bbands_bb_lower.

Rules

Rules are used to filter out backtests that didnt perform well. They are based on the summary object keys. This is usefuly for quickly filtering out backtests that didnt perform well.

Rules can use dotted notation to access nested dictionaries.

Example:

[
  ["sharpe_ratio", ">", 0.5],
  ["win_perc", ">", 0.5],
  ["loss_perc", "<", 0.5],
  ["trade_streaks.avg_win_streak", ">", 2]
]

Supported Indicators

See finta/README.md for a list of supported indicators.