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* Adds lovely initial concept for historical data doer
* Adds ability to save tasks. Adds config. Adds startStop to engine
* Has a database microservice without use of globals! Further infrastructure design. Adds readme
* Commentary to help design
* Adds migrations for database
* readme and adds database models
* Some modelling that doesn't work end of day
* Completes datahistoryjob sql.Begins datahistoryjobresult
* Adds datahistoryjob functions to retreive job results. Adapts subsystem
* Adds process for upserting jobs and job results to the database
* Broken end of day weird sqlboiler crap
* Fixes issue with SQL generation.
* RPC generation and addition of basic upsert command
* Renames types
* Adds rpc functions
* quick commit before context swithc. Exchanges aren't being populated
* Begin the tests!
* complete sql tests. stop failed jobs. CLI command creation
* Defines rpc commands
* Fleshes out RPC implementation
* Expands testing
* Expands testing, removes double remove
* Adds coverage of data history subsystem, expands errors and nil checks
* Minor logic improvement
* streamlines datahistory test setup
* End of day minor linting
* Lint, convert simplify, rpc expansion, type expansion, readme expansion
* Documentation update
* Renames for consistency
* Completes RPC server commands
* Fixes tests
* Speeds up testing by reducing unnecessary actions. Adds maxjobspercycle config
* Comments for everything
* Adds missing result string. checks interval supported. default start end cli
* Fixes ID problem. Improves binance trade fetch. job ranges are processed
* adds dbservice coverage. adds rpcserver coverage
* docs regen, uses dbcon interface, reverts binance, fixes races, toggle manager
* Speed up tests, remove bad global usage, fix uuid check
* Adds verbose. Updates docs. Fixes postgres
* Minor changes to logging and start stop
* Fixes postgres db tests, fixes postgres column typo
* Fixes old string typo,removes constraint,error parsing for nonreaders
* prevents dhm running when table doesn't exist. Adds prereq documentation
* Adds parallel, rmlines, err fix, comment fix, minor param fixes
* doc regen, common time range check and test updating
* Fixes job validation issues. Updates candle range checker.
* Ensures test cannot fail due to time.Now() shenanigans
* Fixes oopsie, adds documentation and a warn
* Fixes another time test, adjusts copy
* Drastically speeds up data history manager tests via function overrides
* Fixes summary bug and better logs
* Fixes local time test, fixes websocket tests
* removes defaults and comment,updates error messages,sets cli command args
* Fixes FTX trade processing
* Fixes issue where jobs got stuck if data wasn't returned but retrieval was successful
* Improves test speed. Simplifies trade verification SQL. Adds command help
* Fixes the oopsies
* Fixes use of query within transaction. Fixes trade err
* oopsie, not needed
* Adds missing data status. Properly ends job even when data is missing
* errors are more verbose and so have more words to describe them
* Doc regen for new status
* tiny test tinkering
* str := string("Removes .String()").String()
* Merge fixups
* Fixes a data race discovered during github actions
* Allows websocket test to pass consistently
* Fixes merge issue preventing datahistorymanager from starting via config
* Niterinos cmd defaults and explanations
* fixes default oopsie
* Fixes lack of nil protection
* Additional oopsie
* More detailed error for validating job exchange
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
- Can run strategies against multiple cryptocurrencies
- Can run strategies that can assess multiple currencies simultaneously to make complex decisions
- Dollar cost strategy implementation
- RSI strategy implementation
- Rules customisation via config
.stratfiles - 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
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