Contango

Contango is a python engine to backtest, parameterize, and graph trading strategies.

Getting Started

• Installation

Strategies

There's two ways to build a strategy. If you want full control, subclass Strategy directly and write everything yourself. If you'd rather create strategies quicker, RuleBasedStrategy gives you streams, conditions, rules, intents, and position sizing so you can compose a strategy without writing as much boilerplate.

• Strategy
• Rule-Based Strategy
  • Streams
  • Conditions
  • Actions
  • Rules
  • Intents
  • Position Sizers
  • Contexts
• Indicators

Data

Historical data comes from a data provider (Yfinance works with no API key needed), gets checked against a calendar for expected timestamps, and gets cached locally so you're not polling the same data.

• Data Repository
• Historical Data Providers
• Calendars

Running Backtests

• Engine
• Backtester
• Static Runner - runs a single strategy once.
• Grid Search Runner - runs every combination of a parameter grid.

Analysis

• Metric Generation
• Graphing