gocryptotrader/backtester/config

GoCryptoTrader Backtester: Config package

This config package is part of the GoCryptoTrader codebase.

This is still in active development

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Config package overview

What does the config package do?

The config package contains a set of structs which allow for the customisation of the GoCryptoTrader Backtester when running. The GoCryptoTrader Backtester runs from reading config files (.strat files by default under /examples).

What does Simultaneous Processing mean?

GoCryptoTrader Backtester config files may contain multiple ExchangeSettings which defined exchange, asset and currency pairs to iterate through a period of time.

If there are multiple entries to ExchangeSettings and SimultaneousProcessing is disabled, then each individual exchange, asset and currency pair candle event is evaluated individually and does not know about other exchange, asset and currency pair data events. It is a way to test a singular strategy against multiple assets simultaneously. But it isn't defined as Simultaneous Processing Simultaneous Signal Processing is a setting which allows multiple ExchangeSettings data events for a candle event to be considered simultaneously. This means that you can check if the price of BTC-USDT is 5% greater on Binance than it is on Kraken and choose to make signal a BUY event for Kraken and not Binance.

It allows for complex strategical decisions to be made when you consider the scope of the entire market at a given time, rather than in a vacuum when SimultaneousSignalProcessing is disabled.

How do I customise the GoCryptoTrader Backtester?

See below for a set of tables and fields, expected values and what they can do

Config

Key	Description
Nickname	A nickname for the specific config. When running multiple variants of the same strategy, use the nickname to help differentiate between runs
Goal	A description of what you would hope the outcome to be. When verifying output, you can review and confirm whether the strategy met that goal
CurrencySettings	Currency settings is an array of settings for each individual currency you wish to run the strategy against.
StrategySettings	Select which strategy to run, what custom settings to load and whether the strategy can assess multiple currencies at once to make more in-depth decisions
PortfolioSettings	Contains a list of global rules for the portfolio manager. CurrencySettings contain their own rules on things like how big a position is allowable, the portfolio manager rules are the same, but override any individual currency's settings
StatisticSettings	Contains settings that impact statistics calculation. Such as the risk-free rate for the sharpe ratio
GoCryptoTraderConfigPath	The filepath for the location of GoCryptoTrader's config path. The Backtester utilises settings from GoCryptoTrader. If unset, will utilise the default filepath via config.DefaultFilePath, implemented here

Currency Settings

Key	Description	Example
ExchangeName	The exchange to load. See here for a list of supported exchanges	Binance
Asset	The asset type. Typically, this will be spot, however, see this package for the various asset types GoCryptoTrader supports	spot
Base	The base of a currency	BTC
Quote	The quote of a currency	USDT
InitialFunds	The funds that the GoCryptoTraderBacktester has for the specific currency	10000
Leverage	This struct defines the leverage rules that this specific currency setting must abide by	1
BuySide	This struct defines the buying side rules this specific currency setting must abide by such as maximum purchase amount	-
SellSide	This struct defines the selling side rules this specific currency setting must abide by such as maximum selling amount	-
MinimumSlippagePercent	Is the lower bounds in a random number generated that make purchases more expensive, or sell events less valuable. If this value is 90, then the most a price can be affected is 10%	90
MaximumSlippagePercent	Is the upper bounds in a random number generated that make purchases more expensive, or sell events less valuable. If this value is 99, then the least a price can be affected is 1%. Set both upper and lower to 100 to have no randomness applied to purchase events	100
MakerFee	The fee to use when sizing and purchasing currency	0.001
TakerFee	Unused fee for when an order is placed in the orderbook, rather than taken from the orderbook	0.002
MaximumHoldingsRatio	When multiple currency settings are used, you may set a maximum holdings ratio to prevent having too large a stake in a single currency	0.5

Strategy Settings

Key	Description	Example
Name	The strategy to use.	rsi
UsesSimultaneousProcessing	This denotes whether multiple currencies are processed simultaneously with the strategy function OnSimultaneousSignals. Eg If you have multiple CurrencySettings and only wish to purchase BTC-USDT when XRP-DOGE is 1337, this setting is useful as you can analyse both signal events to output a purchase call for BTC.	true
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 }

PortfolioSettings

Key	Description
Leverage	This struct defines the leverage rules that this specific currency setting must abide by
BuySide	This struct defines the buying side rules this specific currency setting must abide by such as maximum purchase amount
SellSide	This struct defines the selling side rules this specific currency setting must abide by such as maximum selling amount

StatisticsSettings

Key	Description	Example
RiskFreeRate	The risk free rate used in the calculation of sharpe and sortino ratios	0.03

APIData

Key	Description	Example
DataType	Choose whether candle or trade data is used. If trades are used, they will be converted to candles	trade
Interval	The candle interval in time.Duration format eg set as15000000000 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
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

CSVData

Key	Description	Example
DataType	Choose whether candle or trade data is used. If trades are used, they will be converted to candles	candle
Interval	The candle interval in time.Duration format eg set as15000000000 for a value of time.Second * 15	15000000000
FullPath	The file to load	/data/exchangelist.csv

DatabaseData

Key	Description	Example
DataType	Choose whether candle or trade data is used. If trades are used, they will be converted to candles	trade
Interval	The candle interval in time.Duration format eg set as15000000000 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
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

LiveData

Key	Description	Example
DataType	Choose whether candle or trade data is used. If trades are used, they will be converted to candles	candle
Interval	The candle interval in time.Duration format eg set as15000000000 for a value of time.Second * 15	15000000000
APIKeyOverride	Will set the GoCryptoTrader exchange to use the following API Key	1234
APISecretOverride	Will set the GoCryptoTrader exchange to use the following API Secret	5678
APIClientIDOverride	Will set the GoCryptoTrader exchange to use the following API Client ID	9012
API2FAOverride	Will set the GoCryptoTrader exchange to use the following 2FA seed	hello-moto
RealOrders	Whether to place real orders. You really should never consider using this. Ever ever.	true

Leverage Settings

Key	Description	Example
CanUseLeverage	Allows the use of leverage	false
MaximumOrdersWithLeverageRatio	If the ratio of leveraged orders for a currency exceeds this, the order cannot be placed	0.5
MaximumLeverageRate	Orders cannot be placed with leverage over this amount	100

Buy/Sell Settings

Key	Description	Example
MinimumSize	If the order's quantity is below this, the order cannot be placed	0.1
MaximumSize	If the order's quantity is over this amount, it cannot be placed and will be reduced to the maximum amount	10
MaximumTotal	If the order's price * amount exceeds this number, the order cannot be placed and will be reduced to this figure	1337

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Contribution

Please feel free to submit any pull requests or suggest any desired features to be added.

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• 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 master branch.

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