AUD/USD Tick EMA Crossover Backtest

Code NautilusTrader

Summary

This example configures a simulated backtest for an AUD/USD moving-average crossover strategy using quote tick data. It creates a margin account, loads historical quotes, and builds internal bars from groups of ticks. The strategy uses a fast and a slow exponential moving average, with the periods and trade size specified in its configuration. The example then runs the engine and prints account, fill, and position reports.

The simulation includes a probabilistic limit-fill and slippage model, a fixed random seed, and equal maker and taker fee rates. These settings show how execution assumptions can be included in a strategy backtest. The document provides no report output or performance evaluation, so it does not establish that the strategy is profitable. Results would also depend on the supplied tick history, bar construction, fill assumptions, and fees.

Key ideas

The example tests an AUD/USD EMA crossover on bars built from quote ticks.
It loads historical quote data into a simulated margin account.
A probabilistic fill model and fee model represent some trading frictions.
The script reports account, order fill, and position details after the run.
No performance results are provided, and outcomes depend on the simulation assumptions.

Tags

Forex Technical indicators Backtesting Execution

Full text

# fx_ema_cross_audusd_ticks.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
#  limitations under the License.
# -------------------------------------------------------------------------------------------------
"""
Example of fx ema cross audusd ticks.
"""

import sys
from decimal import Decimal
from pathlib import Path

import pandas as pd

from nautilus_trader.backtest import BacktestEngine
from nautilus_trader.config import BacktestEngineConfig
from nautilus_trader.execution import MakerTakerFeeModel
from nautilus_trader.execution import ProbabilisticFillModel
from nautilus_trader.model import AccountType
from nautilus_trader.model import BarType
from nautilus_trader.model import Currency
from nautilus_trader.model import Money
from nautilus_trader.model import OmsType
from nautilus_trader.model import TraderId
from nautilus_trader.model import Venue
from nautilus_trader.testkit.providers import TestDataProvider
from nautilus_trader.testkit.providers import TestInstrumentProvider


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

from ema_cross import EMACross
from ema_cross import EMACrossConfig


if __name__ == "__main__":
    engine = BacktestEngine(
        BacktestEngineConfig(trader_id=TraderId.from_str("BACKTESTER-001")),
    )
    SIM = Venue("SIM")
    USD = Currency.from_str("USD")
    engine.add_venue(
        venue=SIM,
        oms_type=OmsType.HEDGING,
        account_type=AccountType.MARGIN,
        base_currency=USD,
        starting_balances=[Money(1_000_000, USD)],
        fill_model=ProbabilisticFillModel(
            prob_fill_on_limit=0.2,
            prob_slippage=0.5,
            random_seed=42,
        ),
        fee_model=MakerTakerFeeModel(
            maker_rate=Decimal("0.00002"),
            taker_rate=Decimal("0.00002"),
        ),
    )

    AUDUSD_SIM = TestInstrumentProvider.default_fx_ccy("AUD/USD", SIM)
    engine.add_instrument(AUDUSD_SIM)

    ticks = TestDataProvider.quotes_from_truefx_csv(
        instrument=AUDUSD_SIM,
        csv_name="truefx/audusd-ticks.csv",
    )
    engine.add_data(ticks)

    strategy = EMACross(
        EMACrossConfig(
            instrument_id=AUDUSD_SIM.id,
            bar_type=BarType.from_str("AUD/USD.SIM-100-TICK-MID-INTERNAL"),
            trade_size=Decimal(1_000_000),
            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(SIM))
        print(engine.generate_order_fills_report())
        print(engine.generate_positions_report())

    engine.reset()
    engine.dispose()

```

Shown in full with attribution under the source's licence. Licence: LGPL-3.0

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.

Backtesting an AUD/USD Tick-Based EMA Crossover

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