Trading Strategy Backtester

A Flask-based REST API for backtesting trading strategies with PostgreSQL database and Docker support.

Features

• User authentication with JWT
• Multiple trading strategies support (MACD, Moving Average)
• PostgreSQL database for data persistence
• Swagger UI documentation
• Docker and Docker Compose setup
• Automated backtesting with customizable parameters
• Performance metrics calculation

Project Structure

trading-strategy-backtester/
├── app.py                 # Main application entry point
├── auth.py               # Authentication routes and logic
├── backtest.py           # Backtesting routes and logic
├── config.py             # Configuration settings
├── database_utils.py     # Database utilities
├── docker-compose.yml    # Docker Compose configuration
├── Dockerfile           # Docker container configuration
├── extensions.py        # Flask extensions initialization
├── models.py            # Database models
├── models_docs.py       # Swagger documentation models
├── namespace_auth.py    # Auth namespace definitions
├── namespace_backspace.py # Backtest namespace definitions
├── requirements.txt     # Python dependencies
├── routes.py           # API route definitions
├── strategies.py       # Trading strategy implementations
└── .env               # Environment variables (create from .env.example)

Prerequisites

• Docker and Docker Compose
• Python 3.11+ (for local development)
• PostgreSQL 15+ (handled by Docker)

Getting Started

1. Clone the repository:

git clone https://github.com/richdon/trading-strategy-backtester
cd trading-strategy-backtester

2. Create a .env file from the template:

cp .env.example .env

3. Update the .env file with your configuration:

# Flask Configuration
FLASK_APP=app.py
FLASK_DEBUG=True

# PostgreSQL Database Configuration
POSTGRES_USER=<user>
POSTGRES_PASSWORD=<password>
POSTGRES_DB=<db_name>
POSTGRES_HOST=db
POSTGRES_PORT=5432

# JWT Configuration
JWT_SECRET_KEY=your_jwt_secret_key_here

# API Configuration
API_HOST=0.0.0.0
API_PORT=5001

4. Build and start the containers:

docker-compose up --build

The application will be available at:

• API: http://localhost:5001/api
• Swagger Documentation: http://localhost:5001/api/docs

API Documentation

The API documentation is available through Swagger UI. After starting the application, visit http://localhost:5001/api/docs to:

• View all available endpoints
• Test API endpoints directly
• See request/response models
• Download OpenAPI specification

Main Endpoints

Authentication

• POST /api/auth/register - Register a new user
• POST /api/auth/login - Login and receive JWT token
• GET /api/auth/profile - Get current user profile
• PUT /api/auth/profile - Update user profile

Backtesting

• POST /api/backtest - Execute a new backtest
• GET /api/backtest/list - List all backtests
• GET /api/backtest/greatest-return - Get best performing backtest

Development

For local development:

1. Create a virtual environment:

python -m venv .venv
source .venv/bin/activate  # On Windows: `.venv\Scripts\activate`

2. Install dependencies:

pip install -r requirements.txt

3. Start only the database:

docker-compose up db -d

4. Run the Flask application:

flask run

Testing Endpoints

Using curl:

1. Register a new user:

curl -X POST http://localhost:5001/api/auth/register \
-H "Content-Type: application/json" \
-d '{
    "username": "testuser",
    "email": "test@example.com",
    "password": "securepassword123"
}'

2. Login:

curl -X POST http://localhost:5001/api/auth/login \
-H "Content-Type: application/json" \
-d '{
    "username": "testuser",
    "password": "securepassword123"
}'

3. Run a backtest (requires JWT token):

curl -X POST http://localhost:5001/api/backtest \
-H "Content-Type: application/json" \
-H "Authorization: Bearer YOUR_JWT_TOKEN" \
-d '{
    "strategy": "MACD Crossover",
    "asset": "BTC/USDT",
    "start_date": "2023-01-01",
    "end_date": "2023-12-31",
    "interval": "1d",
    "initial_capital": 10000
}'

Database Management

The application includes several database management commands:

# Recreate database (WARNING: Deletes all data)
docker-compose exec web flask recreate-db

# Create database extensions
docker-compose exec web flask create-extensions

# Create additional indexes
docker-compose exec web flask create-indexes

Contributing

1. Fork the repository
2. Create a feature branch
3. Commit your changes
4. Push to the branch
5. Create a Pull Request