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Polygon.io Backtesting

Polygon.io backtester allows for flexible and robust backtesting. It uses the polygon.io API to fetch pricing data for stocks, options, forex, and cryptocurrencies. This backtester simplifies the process of getting pricing data; simply use the PolygonDataSource and it will automatically fetch pricing data when you call get_last_price() or get_historical_prices().

As of this writing, polygon provides up to 2 years of historical data for free. If you pay for an API you can get many years of data and the backtesting will download data much faster because it won't be rate limited.

This backtesting method caches the data on your computer making it faster for subsequent backtests. So even if it takes a bit of time the first time, the following backtests will be much faster.

To use this feature, you need to obtain an API key from polygon.io, which is free and you can get in the Dashboard after you have created an account. You must then replace YOUR_POLYGON_API_KEY with your own key in the code.

Start by importing the PolygonDataBacktesting as follows:

from backtesting import PolygonDataBacktesting

Set the start and end dates for the backtest:

backtesting_start = datetime.datetime(2023, 1, 1)
backtesting_end = datetime.datetime(2023, 5, 1)

Optional: Set the quote asset (usually only required for crypto, default is USD) and the trading fee.

quote_asset = Asset(symbol="USDT", asset_type="crypto")
trading_fee = TradingFee(percent_fee=0.001)

Finally, run the backtest:

CryptoEMACross.backtest(
    PolygonDataBacktesting,
    backtesting_start,
    backtesting_end,
    benchmark_asset=Asset(symbol="BTC", asset_type="crypto")
    quote_asset=quote_asset,
    buy_trading_fees=[trading_fee],
    sell_trading_fees=[trading_fee],
    polygon_api_key="YOUR_POLYGON_API_KEY",
    polygon_has_paid_subscription=False,
)

Here's another example but for for stocks:

from datetime import datetime
from lumibot.backtesting import PolygonDataBacktesting
from lumibot.strategies import Strategy

class MyStrategy(Strategy):
    parameters = {
        "symbol": "AAPL",
    }

    def initialize(self):
        self.sleeptime = "1D"

    def on_trading_iteration(self):
        if self.first_iteration:
            symbol = self.parameters["symbol"]
            price = self.get_last_price(symbol)
            qty = self.portfolio_value / price
            order = self.create_order(symbol, quantity=qty, side="buy")
            self.submit_order(order)

if __name__ == "__main__":
    backtesting_start = datetime(2023, 1, 1)
    backtesting_end = datetime(2023, 5, 1)

    MyStrategy.backtest(
        PolygonDataBacktesting,
        backtesting_start,
        backtesting_end,
        benchmark_asset=Asset(symbol="SPY", asset_type="stock")
        polygon_api_key="YOUR_POLYGON_API_KEY",
        polygon_has_paid_subscription=False,
    )

In summary, the polygon.io backtester is a powerful tool for fetching pricing data for backtesting various strategies. With its capability to cache data for faster subsequent backtesting and its easy integration with polygon.io API, it is a versatile choice for any backtesting needs.