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017cdf1384
* Modifications for a smoother live run * Fixes data appending * Successfully allows multi-currency live trading. Adds multiple currencies to live DCA strategy * Attempting to get cash and carry working * Poor attempts at sorting out data and appending it properly with USD in mind * =designs new live data handler * Updates cash and carry strat to work * adds test coverage. begins closeallpositions function * Updates cash and carry to work live * New kline.Event type. Cancels orders on close. Rn types * =Fixes USD funding issue * =fixes tests * fixes tests AGAIN * adds coverage to close all orders * crummy tests, should override * more tests * more tests * more coverage * removes scourge of currency.Pair maps. More tests * missed currency stuff * Fixes USD data issue & collateral issue. Needs to close ALL orders * Now triggers updates on the very first data entry * All my problems are solved now???? * fixes tests, extends coverage * there is some really funky candle stuff going on * my brain is melting * better shutdown management, fixes freezing bug * fixes data duplication issues, adds retries to requests * reduces logging, adds verbose options * expands coverage over all new functionality * fixes fun bug from curr == curr to curr.Equal(curr) * fixes setup issues and tests * starts adding external wallet amounts for funding * more setup for assets * setup live fund calcs and placing orders * successfully performs automated cash and carry * merge fixes * funding properly set at all times * fixes some bugs, need to address currencystatistics still * adds 'appeneded' trait, attempts to fix some stats * fixes stat bugs, adds cool new fetchfees feature * fixes terrible processing bugs * tightens realorder stats, sadly loses some live stats * this actually sets everything correctly for bothcd ..cd ..cd ..cd ..cd ..! * fix tests * coverage * beautiful new test coverage * docs * adds new fee getter delayer * commits from the correct directory * Lint * adds verbose to fund manager * Fix bug in t2b2 strat. Update dca live config. Docs * go mod tidy * update buf * buf + test improvement * Post merge fixes * fixes surprise offset bug * fix sizing restrictions for cash and carry * fix server lints * merge fixes * test fixesss * lintle fixles * slowloris * rn run to task, bug fixes, close all on close * rpc lint and fixes * bugfix: order manager not processing orders properly * somewhat addresses nits * absolutely broken end of day commit * absolutely massive knockon effects from nits * massive knockon effects continue * fixes things * address remaining nits * jk now fixes things * addresses the easier nits * more nit fixers * more niterinos addressederinos * refactors holdings and does some nits * so buf * addresses some nits, fixes holdings bugs * cleanup * attempts to fix alert chans to prevent many chans waiting? * terrible code, will revert * to be reviewed in detail tomorrow * Fixes up channel system * smashes those nits * fixes extra candles, fixes collateral bug, tests * fixes data races, introduces reflection * more checks n tests * Fixes cash and carry issues. Fixes more cool bugs * fixes ~typer~ typo * replace spot strats from ftx to binance * fixes all the tests I just destroyed * removes example path, rm verbose * 1) what 2) removes FTX references from the Backtester * renamed, non-working strategies * Removes FTX references almost as fast as sbf removes funds * regen docs, add contrib names,sort contrib names * fixes merge renamings * Addresses nits. Fixes setting API credentials. Fixes Binance limit retrieval * Fixes live order bugs with real orders and without * Apply suggestions from code review Co-authored-by: Adrian Gallagher <adrian.gallagher@thrasher.io> * Update backtester/engine/live.go Co-authored-by: Adrian Gallagher <adrian.gallagher@thrasher.io> * Update backtester/engine/live.go Co-authored-by: Adrian Gallagher <adrian.gallagher@thrasher.io> * Update backtester/config/strategyconfigbuilder/main.go Co-authored-by: Adrian Gallagher <adrian.gallagher@thrasher.io> * updates docs * even better docs Co-authored-by: Adrian Gallagher <adrian.gallagher@thrasher.io>
132 lines
9.1 KiB
Markdown
132 lines
9.1 KiB
Markdown
# GoCryptoTrader Backtester: Backtester package
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<img src="/backtester/common/backtester.png?raw=true" width="350px" height="350px" hspace="70">
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[](https://github.com/thrasher-corp/gocryptotrader/actions/workflows/tests.yml)
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[](https://github.com/thrasher-corp/gocryptotrader/blob/master/LICENSE)
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[](https://godoc.org/github.com/thrasher-corp/gocryptotrader/backtester)
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[](http://codecov.io/github/thrasher-corp/gocryptotrader?branch=master)
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[](https://goreportcard.com/report/github.com/thrasher-corp/gocryptotrader)
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This backtester package is part of the GoCryptoTrader codebase.
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## This is still in active development
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You can track ideas, planned features and what's in progress on this Trello board: [https://trello.com/b/ZAhMhpOy/gocryptotrader](https://trello.com/b/ZAhMhpOy/gocryptotrader).
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Join our slack to discuss all things related to GoCryptoTrader! [GoCryptoTrader Slack](https://join.slack.com/t/gocryptotrader/shared_invite/enQtNTQ5NDAxMjA2Mjc5LTc5ZDE1ZTNiOGM3ZGMyMmY1NTAxYWZhODE0MWM5N2JlZDk1NDU0YTViYzk4NTk3OTRiMDQzNGQ1YTc4YmRlMTk)
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# GoCryptoTrader Backtester
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An event-driven backtesting tool to test and iterate trading strategies using historical or custom data.
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## Features
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- Works with all GoCryptoTrader exchanges that support trade/candle retrieval. See [candle readme](/docs/OHLCV.md) and [trade readme](/exchanges/trade/README.md) for supported exchanges
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- CSV data import
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- Database data import
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- Proof of concept live data running
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- Shopspring decimal implementation to track stats more accurately
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- Can run strategies against multiple cryptocurrencies
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- Can run strategies that can assess multiple currencies simultaneously to make complex decisions
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- Dollar cost strategy example strategies
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- RSI example strategy
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- MFI example strategy
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- Rules customisation via config `.strat` files
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- Strategy config builder application
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- Strategy customisation without requiring recompilation. For example, customising RSI high, low and length values via config `.strat` files.
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- Report generation
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- Portfolio manager to help size orders based on config rules, risk and candle volume
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- Order manager to place orders with customisable slippage estimator
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- Helpful statistics to help determine whether a strategy was effective
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- Compliance manager to keep snapshots of every transaction and their changes at every interval
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- Exchange level funding allows funding to be shared across multiple currency pairs and to allow for complex strategy design
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- Fund transfer. At a strategy level, transfer funds between exchanges to allow for complex strategy design
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- Backtesting support for futures asset types
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- Example cash and carry spot futures strategy
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- Long-running application as a GRPC server
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- Custom strategy plugins
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- Live data source trading. Traders can move their back tested strategies and use them against current live data
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## Planned Features
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We welcome pull requests on any feature for the Backtester! We will be especially appreciative of any contribution towards the following planned features:
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| Feature | Description |
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|---------|-------------|
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| Perpetual futures support | Accounting for hourly funding rates in user's overall positions allows for much greater strategic depth |
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| Margin borrowing support | Allowing strategies to utilise margin borrowing to have larger positions and handling borrow rate payments |
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| Leverage support | Leverage is a good way to enhance profit and loss and is important to include in strategies |
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| Live ticker data | A potential feature as live trading works off candle data which is only processed at intervals. Adding ticker data as a strategic source allows for faster decision making |
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| Live orderbook data | Processing orders based off the latest orderbook data allows for much more accurate order placement and reduces surprise slippage |
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| Enhance config-builder | Create an application that can create strategy configs in a more visual manner and execute them via GRPC to allow for faster customisation of strategies |
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| Save Backtester results to database | This will allow for easier comparison of results over time |
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| Backtester result comparison report | Providing an executive summary of Backtester database results |
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## How does it work?
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- The application will load a `.strat` config file as specified at runtime
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- The `.strat` config file will contain
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- Start & end dates
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- The strategy to run
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- The candle interval
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- Where the data is to be sourced ([API](/backtester/data/kline/api/README.md), [CSV](/backtester/data/kline/csv/README.md), [database](/backtester/data/kline/database/README.md), [live](/backtester/data/kline/live/README.md))
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- Whether to use trade or candle data ([readme](/backtester/data/kline/README.md))
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- A nickname for the strategy (to help differentiate between runs/configs using the same strategy)
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- The currency/currencies to use
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- The exchange(s) to run against
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- See [readme](/backtester/config/README.md) for a breakdown of all config features
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- The GoCryptoTrader Backtester will retrieve the data specified in the config ([readme](/backtester/backtest/README.md))
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- The data is converted into candles and each candle is streamed as a data event.
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- The data event is analysed by the strategy which will output a purchasing signal such as `BUY`, `SELL` or `DONOTHING` ([readme](/backtester/eventtypes/signal/README.md))
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- The purchase signal is then processed by the portfolio manager ([readme](/backtester/eventhandlers/portfolio/README.md)) which will size the order ([readme](/backtester/eventhandlers/portfolio/size/README.md)) and assess risk ([readme](/backtester/eventhandlers/portfolio/risk/README.md)) before sending it to the exchange
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- The exchange order event handler will size to the candle data and run a slippage estimator ([readme](/backtester/eventhandlers/exchange/slippage/README.md)) and place the order ([readme](/backtester/eventhandlers/exchange/README.md))
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- Upon an order being placed, the order is snapshot for analysis in both the statistics package ([readme](/backtester/eventhandlers/statistics/README.md)) and the report package ([readme](/backtester/report/README.md))
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# Cool story, how do I use it?
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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.
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# How do I create my own config?
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There is a config generating helper application under `/backtester/config/configbuilder` to help you create a `.strat` file. Read more about it [here](/backtester/config/configbuilder/README.md). 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.
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# How do I create my own strategy?
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Creating strategies requires programming skills. [Here](/backtester/eventhandlers/strategies/README.md) is a readme on the subject. After reading the readmes, please review the strategies [here](/backtester/eventhandlers/strategies/) to gain an understanding on how to write your own.
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# How does it work technically?
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- The readmes linked in the "How does it work" covers the main parts of the application.
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- If you are still unsure, please raise an issue, ask a question in our Slack or open a pull request
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- Here is an overview
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# Important notes
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- This application is not considered production ready and you may experience issues
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- If you encounter any issues, you can raise them in our Slack channel or via Github issues
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- **Past performance is no guarantee of future results**
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- While an experimental feature, it is **not** recommended to **ever** use live trading and real orders
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- **Past performance is no guarantee of future results**
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### Please click GoDocs chevron above to view current GoDoc information for this package
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## Contribution
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Please feel free to submit any pull requests or suggest any desired features to be added.
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When submitting a PR, please abide by our coding guidelines:
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+ Code must adhere to the official Go [formatting](https://golang.org/doc/effective_go.html#formatting) guidelines (i.e. uses [gofmt](https://golang.org/cmd/gofmt/)).
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+ Code must be documented adhering to the official Go [commentary](https://golang.org/doc/effective_go.html#commentary) guidelines.
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+ Code must adhere to our [coding style](https://github.com/thrasher-corp/gocryptotrader/blob/master/doc/coding_style.md).
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+ Pull requests need to be based on and opened against the `master` branch.
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## Donations
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<img src="https://github.com/thrasher-corp/gocryptotrader/blob/master/web/src/assets/donate.png?raw=true" hspace="70">
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If this framework helped you in any way, or you would like to support the developers working on it, please donate Bitcoin to:
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***bc1qk0jareu4jytc0cfrhr5wgshsq8282awpavfahc***
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