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* currency: Add method to derive pair * currency: Add method to lower entire charset but used the slice copy and returned that. This will change the original, just gotta see if this is an issue, but the slice usually goes out of scope anyway. * currency/pairs: add filter method * currency: add function to derive select currencies from currency pairs * currency/engine: slight adjustments * currency: fix linter issue also shift burden of proof to caller instead of repair, more performant. * currency: more linter * pairs: optimize; reduce allocs/op and B/op * currency: Add in function 'NewPairsFromString' for testing purposes * currency: don't suppress error * currency: stop panic on empty currency code * currency: Add helper method to match currencies between exchanges * currency: fixed my bad spelling * currency: Implement stable coin checks, refactored base code methods, optimized upper and lower case strings for currency code/pairs * currency: add pairs method to derive stable coins from internal list. * Currency: Cleanup, fix tests. * engine/exchanges/currency: fix whoops * Currency: force govet no copy on Item datatype * Currency: fix naughty linter issues * exchange: revert change * currency/config: fix config upgrade mistake * currency: re-implement currency sub-systems * *RetrieveConfigCurrencyPairs removed *CheckCurrencyConfigValues to only provide warnings, add additional support when, disable when support is lost or not available and set default values. *Drop Cryptocurrencies from configuration as this is not needed. *Drop REST Poll delay field as this was unused. *Update default values for currencyFileUpdateDuration & foreignExchangeUpdateDuration. *Allow Role to be marshalled for file type. *Refactor RunUpdater to verify and check config values and set default running foreign exchange provider. * currency: cleanup * currency: change match -> equal for comparison which is more of a standard and little easier to find * currency: address nits * currency: fix whoops * currency: Add some more pairs methods * currency: linter issues * currency: RM unused field * currency: rm verbose * currency: fix word * currency: gocritic * currency: fix another whoopsie * example_config: default to show log system name * Currency: Force all support packages to use Equal method for comparison as there is a small comparison bug when checking upper and lower casing, this has a more of a pronounced impact between exchanges and client instances of currency generation * currency: fix log name * ordermanager: fix potential panic * currency: small optim. * engine: display correct bool and force shutdown * currency: add function and fix regression * Change ConvertCurrency -> ConvertFiat to be more precise * ADD GetForeignExchangeRate to get specific exchange rate for fiat pair * Fix currency display and formatting regression and tied in with config.Currency fields * engine: fix tests * currency: return the amount when no conversion needs to take place * currency: reduce method name * currency: Address nits glorious nits * currency: fix linter * currency: addr nits * currency: check underlying role in test * gct: change to EMPTYCODE and EMPTYPAIR across codebase * currency: fix nits * currency: this fixes test race but this issue has not been resolved. Please see: https://trello.com/c/54eizOIo/143-currency-package-upgrades * currency: Add temp dir for testing * Update engine/engine.go Co-authored-by: Adrian Gallagher <adrian.gallagher@thrasher.io> * documentation: update and regen * currency: Address niterinos * currency: Add test case for config upgrade when falling over to exchange rate host as default from exchangeRates provider * currency: addr nits * currency: fix whoops Co-authored-by: Ryan O'Hara-Reid <ryan.oharareid@thrasher.io> Co-authored-by: Adrian Gallagher <adrian.gallagher@thrasher.io>
GoCryptoTrader Backtester: Backtester package
This backtester package is part of the GoCryptoTrader codebase.
This is still in active development
You can track ideas, planned features and what's in progress on this Trello board: https://trello.com/b/ZAhMhpOy/gocryptotrader.
Join our slack to discuss all things related to GoCryptoTrader! GoCryptoTrader Slack
GoCryptoTrader Backtester
An event-driven backtesting tool to test and iterate trading strategies using historical or custom data.
Features
- Works with all GoCryptoTrader exchanges that support trade/candle retrieval. See candle readme and trade readme for supported exchanges
- CSV data import
- Database data import
- Proof of concept live data running
- Shopspring decimal implementation to track stats more accurately
- Can run strategies against multiple cryptocurrencies
- Can run strategies that can assess multiple currencies simultaneously to make complex decisions
- Dollar cost strategy example strategies
- RSI example strategy
- MFI example strategy
- Rules customisation via config
.stratfiles - Strategy config builder application
- Strategy customisation without requiring recompilation. For example, customising RSI high, low and length values via config
.stratfiles. - Report generation
- Portfolio manager to help size orders based on config rules, risk and candle volume
- Order manager to place orders with customisable slippage estimator
- Helpful statistics to help determine whether a strategy was effective
- Compliance manager to keep snapshots of every transaction and their changes at every interval
- Exchange level funding allows funding to be shared across multiple currency pairs and to allow for complex strategy design
- Fund transfer. At a strategy level, transfer funds between exchanges to allow for complex strategy design
Planned Features
We welcome pull requests on any feature for the Backtester! We will be especially appreciative of any contribution towards the following planned features:
| Feature | Description |
|---|---|
| Add backtesting support for futures asset types | Spot trading is currently the only supported asset type. Futures trading greatly expands the Backtester's potential |
| Example futures pairs trading strategy | Providing a basic example will allow for esteemed traders to build and customise their own |
| Save Backtester results to database | This will allow for easier comparison of results over time |
| Backtester result comparison report | Providing an executive summary of Backtester database results |
| Currency correlation | Compare multiple exchange, asset, currencies for a candle interval against indicators to highlight correlated pairs for use in pairs trading |
| Improve live trading functionality | Live trading is currently only a proof Of concept. Adding live support for running multiple currencies and running off orderbook data will allow for esteemed traders to use their backtested strategies |
How does it work?
- The application will load a
.stratconfig file as specified at runtime - The
.stratconfig file will contain- Start & end dates
- The strategy to run
- The candle interval
- Where the data is to be sourced (API, CSV, database, live)
- Whether to use trade or candle data (readme)
- A nickname for the strategy (to help differentiate between runs/configs using the same strategy)
- The currency/currencies to use
- The exchange(s) to run against
- See readme for a breakdown of all config features
- The GoCryptoTrader Backtester will retrieve the data specified in the config (readme)
- The data is converted into candles and each candle is streamed as a data event.
- The data event is analysed by the strategy which will output a purchasing signal such as
BUY,SELLorDONOTHING(readme) - The purchase signal is then processed by the portfolio manager (readme) which will size the order (readme) and assess risk (readme) before sending it to the exchange
- The exchange order event handler will size to the candle data and run a slippage estimator (readme) and place the order (readme)
- Upon an order being placed, the order is snapshot for analysis in both the statistics package (readme) and the report package (readme)
Cool story, how do I use it?
To run the application using the provided dollar cost average strategy, simply run go run . from gocryptotrader/backtester. An output of the results will be put in the results folder.
How do I create my own config?
There is a config generating helper application under /backtester/config/configbuilder to help you create a .strat file. Read more about it here. There are also a number of tests under /config/config_test.go which generate configs into the examples folder, which if you have code knowledge, can write your own configs programmatically.
How do I create my own strategy?
Creating strategies requires programming skills. Here is a readme on the subject. After reading the readmes, please review the strategies here to gain an understanding on how to write your own.
How does it work technically?
- The readmes linked in the "How does it work" covers the main parts of the application.
- If you are still unsure, please raise an issue, ask a question in our Slack or open a pull request
- Here is an overview
Important notes
- This application is not considered production ready and you may experience issues
- If you encounter any issues, you can raise them in our Slack channel or via Github issues
- Past performance is no guarantee of future results
- While an experimental feature, it is not recommended to ever use live trading and real orders
- Past performance is no guarantee of future results
Please click GoDocs chevron above to view current GoDoc information for this package
Contribution
Please feel free to submit any pull requests or suggest any desired features to be added.
When submitting a PR, please abide by our coding guidelines:
- Code must adhere to the official Go formatting guidelines (i.e. uses gofmt).
- Code must be documented adhering to the official Go commentary guidelines.
- Code must adhere to our coding style.
- Pull requests need to be based on and opened against the
masterbranch.
Donations
If this framework helped you in any way, or you would like to support the developers working on it, please donate Bitcoin to:
bc1qk0jareu4jytc0cfrhr5wgshsq8282awpavfahc