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Backtester: USD tracking (#818)

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* Initial concept for creating price tracking pairs

* Completes coverage, even with a slow test

* I dont know what point to hook this stuff up

* Bit of a broken way of handling tracking pairs

* Correctly calculates USD rates against all currencies

* Removes dependency on GCT config

* Failed currency statistics redesign

* initial Update chart to use highcharts

* Minor changes to stats

* Creats funding stats to handle the stat calculations. Needs more work

* tracks USD snapshots and BREAKS THINGS FURTHER

* Fixed!

* Adds ratio calculations and such, but its WRONG. do it at totals level dummy

* End of day basic lint

* Remaining lints

* USD totals statistics

* Minor panic fixes

* Printing of funding stats, but its bad

* Properly calculates overall benchmark, moves funding stat output

* Adds some template charge, removes duplicate fields

* New charts!

* Darkcharts. funding protection when disabled

* Now works with usd tracking/funding disabled!

* Attempting to only show working stats based on settings.

* Spruces up the goose/reporting

* Completes report HTML rendering

* lint and test fixes

* funding statistics testing

* slightly more test coverage

* Test coverage

* Initial documentation

* Fixes tests

* Database testing and rendering improvements and breakages

* report and cmd rendering, linting. fix comma output. rm gct cfg

* PR mode 🎉 Path field, config builder support,testing,linting,docs

* minor calculation improvement

* Secret lint that did not show up locally

* Disable USD tracking for example configs

* ShazNitNoScope

* Forgotten errors

* ""

* literally Logarithmically logically renders the date 👀

* Fixes typos, fixes parallel test, fixes chart gui and exporting
This commit is contained in:
Scott
2021-11-08 12:10:15 +11:00
committed by GitHub
parent 77d90a1a6c
commit 6eaa2e4073
81 changed files with 4691 additions and 2254 deletions
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24
cmd/documentation/backtester_templates/backtester_config_readme.tmpl
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@@ -40,6 +40,7 @@ See below for a set of tables and fields, expected values and what they can do
| CustomSettings | This is a map where you can enter custom settings for a strategy. The RSI strategy allows for customisation of the upper, lower and length variables to allow you to change them from 70, 30 and 14 respectively to 69, 36, 12 | `"custom-settings": { "rsi-high": 70, "rsi-low": 30, "rsi-period": 14 } ` |
| UseExchangeLevelFunding | Allows shared funding at an exchange asset level. You can set funding for `USDT` and all pairs that feature `USDT` will have access to those funds when making orders. See [this](/backtester/funding/README.md) for more information | `false` |
| ExchangeLevelFunding | An array of exchange level funding settings. See below, or [this](/backtester/funding/README.md) for more information | `[]` |
| DisableUSDTracking | If `false`, will track all currencies used in your strategy against USD equivalent candles. For example, if you are running a strategy for BTC/XRP, then the GoCryptoTrader Backtester will also retreive candles data for BTC/USD and XRP/USD to then track strategy performance against a single currency. This also tracks against USDT and other USD tracked stablecoins, so one exchange supporting USDT and another BUSD will still allow unified strategy performance analysis. If disabled, will not track against USD, this can be especially helpful when running strategies under live, database and CSV based data | `false` |
##### Funding Config Settings
@@ -114,9 +115,30 @@ See below for a set of tables and fields, expected values and what they can do
| Interval | The candle interval in `time.Duration` format eg set as`15000000000` for a value of `time.Second * 15` | `15000000000` |
| StartDate | The start date to retrieve data | `2021-01-23T11:00:00+11:00` |
| EndDate | The end date to retrieve data | `2021-01-24T11:00:00+11:00` |
| ConfigOverride | Override GoCryptoTrader's config database data with custom settings | `true` |
| Config | This is the same struct used as your GoCryptoTrader database config. See below tables for breakdown | `see below` |
| Path | If using SQLite, the path to the directory, not the file. Leaving blank will use GoCryptoTrader's default database path | `` |
| InclusiveEndDate | When enabled, the end date's candle is included in the results. ie `2021-01-24T11:00:00+11:00` with a one hour candle, the final candle will be `2021-01-24T11:00:00+11:00` to `2021-01-24T12:00:00+11:00` | `false` |
##### database
| Config | Description | Example |
| ------ | ----------- | ------- |
| enabled | Enabled or disables the database connection subsystem | `true` |
| verbose | Displays more information to the logger which can be helpful for debugging | `false` |
| driver | The SQL driver to use. Can be `postgres` or `sqlite` | `sqlite` |
| connectionDetails | See below | |
##### connectionDetails
| Config | Description | Example |
| ------ | ----------- | ------- |
| host | The host address of the database | `localhost` |
| port | The port used to connect to the database | `5432` |
| username | An optional username to connect to the database | `username` |
| password | An optional password to connect to the database | `password` |
| database | The name of the database | `database.db` |
| sslmode | The connection type of the database for Postgres databases only | `disable` |
#### LiveData
| Key | Description | Example |

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cmd/documentation/backtester_templates/backtester_eventhandlers_statistics_currencystatistics_readme.tmpl
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@@ -1,39 +0,0 @@
{{define "backtester eventhandlers statistics currencystatistics" -}}
{{template "backtester-header" .}}
## {{.CapitalName}} package overview
Currency Statistics is an important package to verify the effectiveness of your strategies.
It can calculate the following:
- Calmar ratio
- Information ratio
- Sharpe ratio
- Sortino ratio
- CAGR
- Drawdowns, both the biggest and longest
- Whether the strategy outperformed the market
- If the strategy made a profit
## Ratios
| Ratio | Description | A good range |
| ----- | ----------- | ------------ |
| Calmar ratio | It is a function of the fund's average compounded annual rate of return versus its maximum drawdown. The higher the Calmar ratio, the better it performed on a risk-adjusted basis during the given time frame, which is mostly commonly set at 36 months | 3.0 to 5.0 |
| Information ratio| It is a measurement of portfolio returns beyond the returns of a benchmark, usually an index, compared to the volatility of those returns. The ratio is often used as a measure of a portfolio manager's level of skill and ability to generate excess returns relative to a benchmark | 0.40-0.60. Any positive number means that it has beaten the benchmark |
| Sharpe ratio | The Sharpe Ratio is a financial metric often used by investors when assessing the performance of investment management products and professionals. It consists of taking the excess return of the portfolio, relative to the risk-free rate, and dividing it by the standard deviation of the portfolio's excess returns | Any Sharpe ratio greater than 1.0 is good. Higher than 2.0 is very good. 3.0 or higher is excellent. Under 1.0 is sub-optimal |
| Sortino ratio | The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally | The higher the better, but > 2 is considered good |
| Compound annual growth rate | Compound annual growth rate is the rate of return that would be required for an investment to grow from its beginning balance to its ending balance, assuming the profits were reinvested at the end of each year of the investment’s lifespan | Any positive number |
## Arithmetic or versus geometric?
Both! We calculate ratios where an average is required using both types. The reasoning for using either is debated by finance and mathematicians. [This](https://www.investopedia.com/ask/answers/06/geometricmean.asp) is a good breakdown of both, but here is an extra simple table
| Average type | A reason to use it |
| ------------ | ------------------ |
| Arithmetic | The arithmetic mean is the average of a sum of numbers, which reflects the central tendency of the position of the numbers |
| Geometric | The geometric mean differs from the arithmetic average, or arithmetic mean, in how it is calculated because it takes into account the compounding that occurs from period to period. Because of this, investors usually consider the geometric mean a more accurate measure of returns than the arithmetic mean |
### Please click GoDocs chevron above to view current GoDoc information for this package
{{template "contributions"}}
{{template "donations" .}}
{{end}}

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cmd/documentation/backtester_templates/backtester_eventhandlers_statistics_readme.tmpl
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@@ -5,6 +5,36 @@
The statistics package is used for storing all relevant data over the course of a GoCryptoTrader Backtesting run. All types of events are tracked by exchange, asset and currency pair.
When multiple currencies are included in your strategy, the statistics package will be able to calculate which exchange asset currency pair has performed the best, along with the biggest drop downs in the market.
It can calculate the following:
- Calmar ratio
- Information ratio
- Sharpe ratio
- Sortino ratio
- CAGR
- Drawdowns, both the biggest and longest
- Whether the strategy outperformed the market
- If the strategy made a profit
## Ratios
| Ratio | Description | A good range |
| ----- | ----------- | ------------ |
| Calmar ratio | It is a function of the fund's average compounded annual rate of return versus its maximum drawdown. The higher the Calmar ratio, the better it performed on a risk-adjusted basis during the given time frame, which is mostly commonly set at 36 months | 3.0 to 5.0 |
| Information ratio| It is a measurement of portfolio returns beyond the returns of a benchmark, usually an index, compared to the volatility of those returns. The ratio is often used as a measure of a portfolio manager's level of skill and ability to generate excess returns relative to a benchmark | 0.40-0.60. Any positive number means that it has beaten the benchmark |
| Sharpe ratio | The Sharpe Ratio is a financial metric often used by investors when assessing the performance of investment management products and professionals. It consists of taking the excess return of the portfolio, relative to the risk-free rate, and dividing it by the standard deviation of the portfolio's excess returns | Any Sharpe ratio greater than 1.0 is good. Higher than 2.0 is very good. 3.0 or higher is excellent. Under 1.0 is sub-optimal |
| Sortino ratio | The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally | The higher the better, but > 2 is considered good |
| Compound annual growth rate | Compound annual growth rate is the rate of return that would be required for an investment to grow from its beginning balance to its ending balance, assuming the profits were reinvested at the end of each year of the investment’s lifespan | Any positive number |
## Arithmetic or versus geometric?
Both! We calculate ratios where an average is required using both types. The reasoning for using either is debated by finance and mathematicians. [This](https://www.investopedia.com/ask/answers/06/geometricmean.asp) is a good breakdown of both, but here is an extra simple table
| Average type | A reason to use it |
| ------------ | ------------------ |
| Arithmetic | The arithmetic mean is the average of a sum of numbers, which reflects the central tendency of the position of the numbers |
| Geometric | The geometric mean differs from the arithmetic average, or arithmetic mean, in how it is calculated because it takes into account the compounding that occurs from period to period. Because of this, investors usually consider the geometric mean a more accurate measure of returns than the arithmetic mean |
## USD total tracking
If the strategy config setting `DisableUSDTracking` is `false`, then the GoCryptoTrader Backtester will automatically retrieve USD data that matches your backtesting currencies, eg pair BTC/LTC will track BTC/USD and LTC/USD as well. This allows for tracking overall strategic performance against one currency. This can allow for much easier performance calculations and comparisons
### Please click GoDocs chevron above to view current GoDoc information for this package

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cmd/documentation/backtester_templates/backtester_funding_trackingcurrencies_readme.tmpl Normal file
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@@ -0,0 +1,31 @@
{{define "backtester funding trackingcurrencies" -}}
{{template "backtester-header" .}}
## {{.CapitalName}} package overview
### What does the tracking currencies package do?
The tracking currencies package is responsible breaking up a user's strategy currencies into pairs with a USD equivalent pair in order to track strategy performance against a singular currency. For example, you are wanting to backtest on Binance using XRP/DOGE, the tracking currencies will also retrieve XRP/BUSD and DOGE/BUSD pair data for use in calculating how much a currency is worth at every candle point.
### What if the exchange does not support USD?
The tracking currencies package will check supported currencies against a list of USD equivalent USD backed stablecoins. So if your select exchange only supports BUSD or USDT based pairs, then the GoCryptoTrader Backtester will break up config pairs into the equivalent. See below list for currently supported stablecoin equivalency
| Currency |
|----------|
|USD |
|USDT |
|BUSD |
|USDC |
|DAI |
|TUSD |
|ZUSD |
|PAX |
### How do I disable this?
If you need to disable this functionality, for example, you are using Live, Database or CSV based trade data, then under `strategy-settings` in your config, set `disable-usd-tracking` to `true`
### Can I supply my own list of equivalent currencies instead of USD?
This is currently not supported. If this is a feature you would like to have, please raise an issue on GitHub or in our Slack channel
### Please click GoDocs chevron above to view current GoDoc information for this package
{{template "contributions"}}
{{template "donations" .}}
{{end}}