Backtesting a Binance Bitcoin Perpetual EMA Crossover

# crypto_ema_cross_with_binance_provider.py


```py
#!/usr/bin/env python3
# -------------------------------------------------------------------------------------------------
#  Copyright (C) 2015-2026 Nautech Systems Pty Ltd. All rights reserved.
#  https://nautechsystems.io
#
#  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
#  You may not use this file except in compliance with the License.
#  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
#
#  Unless required by applicable law or agreed to in writing, software
#  distributed under the License is distributed on an "AS IS" BASIS,
#  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
#  See the License for the specific language governing permissions and
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# -------------------------------------------------------------------------------------------------
"""
Example of crypto ema cross with binance provider.
"""

import asyncio
import sys
from decimal import Decimal
from pathlib import Path
from typing import cast

import pandas as pd

from nautilus_trader.adapters.binance import BINANCE_VENUE
from nautilus_trader.adapters.binance import BinanceDataClientConfig
from nautilus_trader.adapters.binance import BinanceInstrumentProviderConfig
from nautilus_trader.adapters.binance import BinanceProductType
from nautilus_trader.adapters.binance import load_binance_instruments
from nautilus_trader.backtest import BacktestEngine
from nautilus_trader.config import BacktestEngineConfig
from nautilus_trader.config import RiskEngineConfig
from nautilus_trader.execution import MakerTakerFeeModel
from nautilus_trader.model import AccountType
from nautilus_trader.model import BarType
from nautilus_trader.model import CryptoPerpetual
from nautilus_trader.model import InstrumentId
from nautilus_trader.model import Money
from nautilus_trader.model import OmsType
from nautilus_trader.model import TraderId
from nautilus_trader.testkit.providers import TestDataProvider


sys.path.insert(0, str(Path(__file__).resolve().parents[2] / "docs" / "tutorials"))

from ema_cross import EMACross
from ema_cross import EMACrossConfig


async def load_instrument(instrument_id: InstrumentId) -> CryptoPerpetual:
    """
    Load instrument.
    """
    instruments = await load_binance_instruments(
        BinanceDataClientConfig(
            product_type=BinanceProductType.USD_M,
            instrument_provider=BinanceInstrumentProviderConfig(
                load_all=False,
                load_ids=[str(instrument_id)],
                log_warnings=False,
            ),
        ),
    )

    if len(instruments) != 1:
        raise RuntimeError(f"Expected one Binance instrument for {instrument_id}")
    return cast("CryptoPerpetual", instruments[0])


if __name__ == "__main__":
    instrument_id = InstrumentId.from_str("BTCUSDT-PERP.BINANCE")
    instrument = asyncio.run(load_instrument(instrument_id))

    engine = BacktestEngine(
        BacktestEngineConfig(
            trader_id=TraderId.from_str("BACKTESTER-001"),
            risk_engine=RiskEngineConfig(bypass=True),
        ),
    )
    engine.add_venue(
        venue=BINANCE_VENUE,
        oms_type=OmsType.NETTING,
        account_type=AccountType.MARGIN,
        base_currency=None,
        starting_balances=[Money(1_000_000, instrument.quote_currency)],
        fee_model=MakerTakerFeeModel(
            maker_rate=Decimal("0.0002"),
            taker_rate=Decimal("0.0005"),
        ),
    )
    engine.add_instrument(instrument)

    bar_type = BarType.from_str("BTCUSDT-PERP.BINANCE-1-MINUTE-LAST-EXTERNAL")
    bars = TestDataProvider.bars_from_binance_csv(
        instrument=instrument,
        bar_type=bar_type,
        csv_name="btc-perp-20211231-20220201_1m.csv",
    )
    engine.add_data(bars)

    strategy = EMACross(
        EMACrossConfig(
            instrument_id=instrument.id,
            bar_type=bar_type,
            trade_size=Decimal("0.010"),
            fast_ema_period=10,
            slow_ema_period=20,
        ),
    )
    engine.add_strategy(strategy)
    engine.run()

    with pd.option_context(
        "display.max_rows",
        100,
        "display.max_columns",
        None,
        "display.width",
        300,
    ):
        print(engine.generate_account_report(BINANCE_VENUE))
        print(engine.generate_order_fills_report())
        print(engine.generate_positions_report())

    engine.reset()
    engine.dispose()

```