mirror of
https://github.com/d0zingcat/gocryptotrader.git
synced 2026-05-20 15:10:10 +00:00
6eaa2e4073
* 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
467 lines
13 KiB
Go
467 lines
13 KiB
Go
package report
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import (
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"errors"
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"io/ioutil"
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"os"
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"path/filepath"
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"testing"
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"time"
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"github.com/shopspring/decimal"
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"github.com/thrasher-corp/gocryptotrader/backtester/config"
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"github.com/thrasher-corp/gocryptotrader/backtester/eventhandlers/portfolio/compliance"
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"github.com/thrasher-corp/gocryptotrader/backtester/eventhandlers/portfolio/holdings"
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"github.com/thrasher-corp/gocryptotrader/backtester/eventhandlers/statistics"
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"github.com/thrasher-corp/gocryptotrader/backtester/funding"
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"github.com/thrasher-corp/gocryptotrader/currency"
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"github.com/thrasher-corp/gocryptotrader/exchanges/asset"
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gctkline "github.com/thrasher-corp/gocryptotrader/exchanges/kline"
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gctorder "github.com/thrasher-corp/gocryptotrader/exchanges/order"
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)
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const testExchange = "binance"
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func TestGenerateReport(t *testing.T) {
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t.Parallel()
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e := testExchange
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a := asset.Spot
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p := currency.NewPair(currency.BTC, currency.USDT)
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tempDir, err := ioutil.TempDir("", "")
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if err != nil {
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t.Fatalf("Problem creating temp dir at %s: %s\n", tempDir, err)
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}
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defer func(path string) {
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err = os.RemoveAll(path)
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if err != nil {
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t.Error(err)
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}
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}(tempDir)
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d := Data{
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Config: &config.Config{},
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OutputPath: filepath.Join("..", "results"),
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TemplatePath: filepath.Join("tpl.gohtml"),
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OriginalCandles: []*gctkline.Item{
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{
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Candles: []gctkline.Candle{
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{
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Time: time.Now(),
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Open: 1337,
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High: 1337,
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Low: 1337,
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Close: 1337,
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Volume: 1337,
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ValidationIssues: "hello world!",
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},
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},
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},
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},
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EnhancedCandles: []DetailedKline{
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{
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Exchange: e,
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Asset: a,
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Pair: p,
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Interval: gctkline.OneHour,
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Watermark: "Binance - SPOT - BTC-USDT",
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Candles: []DetailedCandle{
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{
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UnixMilli: time.Date(2020, 12, 12, 0, 0, 0, 0, time.UTC).UnixMilli(),
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Open: 1337,
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High: 1339,
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Low: 1336,
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Close: 1338,
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Volume: 3,
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VolumeColour: "rgba(47, 194, 27, 0.8)",
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MadeOrder: true,
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OrderDirection: gctorder.Buy,
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OrderAmount: decimal.NewFromInt(1337),
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Shape: "arrowUp",
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Text: "hi",
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Position: "aboveBar",
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Colour: "green",
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PurchasePrice: 50,
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},
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{
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UnixMilli: time.Date(2020, 12, 12, 1, 0, 0, 0, time.UTC).UnixMilli(),
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Open: 1332,
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High: 1332,
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Low: 1330,
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Close: 1331,
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Volume: 2,
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MadeOrder: true,
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OrderDirection: gctorder.Buy,
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OrderAmount: decimal.NewFromInt(1337),
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Shape: "arrowUp",
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Text: "hi",
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Position: "aboveBar",
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Colour: "green",
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PurchasePrice: 50,
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VolumeColour: "rgba(252, 3, 3, 0.8)",
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},
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{
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UnixMilli: time.Date(2020, 12, 12, 2, 0, 0, 0, time.UTC).UnixMilli(),
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Open: 1337,
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High: 1339,
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Low: 1336,
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Close: 1338,
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Volume: 3,
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MadeOrder: true,
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OrderDirection: gctorder.Buy,
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OrderAmount: decimal.NewFromInt(1337),
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Shape: "arrowUp",
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Text: "hi",
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Position: "aboveBar",
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Colour: "green",
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PurchasePrice: 50,
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VolumeColour: "rgba(47, 194, 27, 0.8)",
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},
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{
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UnixMilli: time.Date(2020, 12, 12, 3, 0, 0, 0, time.UTC).UnixMilli(),
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Open: 1337,
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High: 1339,
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Low: 1336,
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Close: 1338,
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Volume: 3,
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MadeOrder: true,
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OrderDirection: gctorder.Buy,
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OrderAmount: decimal.NewFromInt(1337),
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Shape: "arrowUp",
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Text: "hi",
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Position: "aboveBar",
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Colour: "green",
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PurchasePrice: 50,
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VolumeColour: "rgba(252, 3, 3, 0.8)",
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},
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{
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UnixMilli: time.Date(2020, 12, 12, 4, 0, 0, 0, time.UTC).UnixMilli(),
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Open: 1337,
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High: 1339,
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Low: 1336,
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Close: 1338,
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Volume: 3,
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VolumeColour: "rgba(47, 194, 27, 0.8)",
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},
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},
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},
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{
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Exchange: "Bittrex",
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Asset: a,
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Pair: currency.NewPair(currency.BTC, currency.USD),
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Interval: gctkline.OneDay,
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Watermark: "BITTREX - SPOT - BTC-USD - 1d",
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Candles: []DetailedCandle{
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{
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UnixMilli: time.Date(2020, 12, 12, 0, 0, 0, 0, time.UTC).UnixMilli(),
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Open: 1337,
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High: 1339,
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Low: 1336,
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Close: 1338,
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Volume: 3,
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MadeOrder: true,
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OrderDirection: gctorder.Buy,
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OrderAmount: decimal.NewFromInt(1337),
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Shape: "arrowUp",
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Text: "hi",
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Position: "aboveBar",
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Colour: "green",
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PurchasePrice: 50,
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VolumeColour: "rgba(47, 194, 27, 0.8)",
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},
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{
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UnixMilli: time.Date(2020, 12, 12, 1, 0, 0, 0, time.UTC).UnixMilli(),
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Open: 1332,
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High: 1332,
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Low: 1330,
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Close: 1331,
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Volume: 2,
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MadeOrder: true,
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OrderDirection: gctorder.Buy,
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OrderAmount: decimal.NewFromInt(1337),
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Shape: "arrowUp",
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Text: "hi",
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Position: "aboveBar",
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Colour: "green",
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PurchasePrice: 50,
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VolumeColour: "rgba(252, 3, 3, 0.8)",
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},
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{
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UnixMilli: time.Date(2020, 12, 12, 2, 0, 0, 0, time.UTC).UnixMilli(),
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Open: 1337,
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High: 1339,
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Low: 1336,
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Close: 1338,
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Volume: 3,
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MadeOrder: true,
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OrderDirection: gctorder.Buy,
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OrderAmount: decimal.NewFromInt(1337),
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Shape: "arrowUp",
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Text: "hi",
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Position: "aboveBar",
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Colour: "green",
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PurchasePrice: 50,
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VolumeColour: "rgba(47, 194, 27, 0.8)",
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},
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{
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UnixMilli: time.Date(2020, 12, 12, 3, 0, 0, 0, time.UTC).UnixMilli(),
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Open: 1337,
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High: 1339,
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Low: 1336,
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Close: 1338,
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Volume: 3,
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MadeOrder: true,
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OrderDirection: gctorder.Buy,
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OrderAmount: decimal.NewFromInt(1337),
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Shape: "arrowUp",
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Text: "hi",
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Position: "aboveBar",
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Colour: "green",
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PurchasePrice: 50,
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VolumeColour: "rgba(252, 3, 3, 0.8)",
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},
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{
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UnixMilli: time.Date(2020, 12, 12, 4, 0, 0, 0, time.UTC).UnixMilli(),
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Open: 1337,
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High: 1339,
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Low: 1336,
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Close: 1338,
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Volume: 3,
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VolumeColour: "rgba(47, 194, 27, 0.8)",
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},
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},
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},
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},
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Statistics: &statistics.Statistic{
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StrategyName: "testStrat",
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RiskFreeRate: decimal.NewFromFloat(0.03),
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ExchangeAssetPairStatistics: map[string]map[asset.Item]map[currency.Pair]*statistics.CurrencyPairStatistic{
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e: {
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a: {
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p: &statistics.CurrencyPairStatistic{
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MaxDrawdown: statistics.Swing{},
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LowestClosePrice: decimal.NewFromInt(100),
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HighestClosePrice: decimal.NewFromInt(200),
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MarketMovement: decimal.NewFromInt(100),
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StrategyMovement: decimal.NewFromInt(100),
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CompoundAnnualGrowthRate: decimal.NewFromInt(1),
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BuyOrders: 1,
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SellOrders: 1,
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FinalHoldings: holdings.Holding{},
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FinalOrders: compliance.Snapshot{},
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ArithmeticRatios: &statistics.Ratios{},
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GeometricRatios: &statistics.Ratios{},
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},
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},
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},
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},
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TotalBuyOrders: 1337,
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TotalSellOrders: 1330,
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TotalOrders: 200,
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BiggestDrawdown: &statistics.FinalResultsHolder{
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Exchange: e,
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Asset: a,
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Pair: p,
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MaxDrawdown: statistics.Swing{
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Highest: statistics.ValueAtTime{
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Time: time.Now(),
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Value: decimal.NewFromInt(1337),
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},
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Lowest: statistics.ValueAtTime{
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Time: time.Now(),
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Value: decimal.NewFromInt(137),
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},
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DrawdownPercent: decimal.NewFromInt(100),
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},
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MarketMovement: decimal.NewFromInt(1377),
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StrategyMovement: decimal.NewFromInt(1377),
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},
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BestStrategyResults: &statistics.FinalResultsHolder{
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Exchange: e,
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Asset: a,
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Pair: p,
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MaxDrawdown: statistics.Swing{
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Highest: statistics.ValueAtTime{
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Time: time.Now(),
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Value: decimal.NewFromInt(1337),
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},
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Lowest: statistics.ValueAtTime{
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Time: time.Now(),
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Value: decimal.NewFromInt(137),
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},
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DrawdownPercent: decimal.NewFromInt(100),
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},
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MarketMovement: decimal.NewFromInt(1337),
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StrategyMovement: decimal.NewFromInt(1337),
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},
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BestMarketMovement: &statistics.FinalResultsHolder{
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Exchange: e,
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Asset: a,
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Pair: p,
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MaxDrawdown: statistics.Swing{
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Highest: statistics.ValueAtTime{
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Time: time.Now(),
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Value: decimal.NewFromInt(1337),
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},
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Lowest: statistics.ValueAtTime{
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Time: time.Now(),
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Value: decimal.NewFromInt(137),
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},
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DrawdownPercent: decimal.NewFromInt(100),
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},
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MarketMovement: decimal.NewFromInt(1337),
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StrategyMovement: decimal.NewFromInt(1337),
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},
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CurrencyPairStatistics: nil,
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WasAnyDataMissing: false,
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FundingStatistics: nil,
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},
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}
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d.OutputPath = tempDir
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d.Config.StrategySettings.DisableUSDTracking = true
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d.Statistics.FundingStatistics = &statistics.FundingStatistics{
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Report: &funding.Report{
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DisableUSDTracking: true,
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},
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}
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err = d.GenerateReport()
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if err != nil {
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t.Error(err)
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}
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}
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func TestEnhanceCandles(t *testing.T) {
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t.Parallel()
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tt := time.Now()
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var d Data
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err := d.enhanceCandles()
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if !errors.Is(err, errNoCandles) {
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t.Errorf("received: %v, expected: %v", err, errNoCandles)
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}
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d.AddKlineItem(&gctkline.Item{})
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err = d.enhanceCandles()
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if !errors.Is(err, errStatisticsUnset) {
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t.Errorf("received: %v, expected: %v", err, errStatisticsUnset)
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}
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d.Statistics = &statistics.Statistic{}
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err = d.enhanceCandles()
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if err != nil {
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t.Error(err)
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}
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d.Statistics.ExchangeAssetPairStatistics = make(map[string]map[asset.Item]map[currency.Pair]*statistics.CurrencyPairStatistic)
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d.Statistics.ExchangeAssetPairStatistics[testExchange] = make(map[asset.Item]map[currency.Pair]*statistics.CurrencyPairStatistic)
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d.Statistics.ExchangeAssetPairStatistics[testExchange][asset.Spot] = make(map[currency.Pair]*statistics.CurrencyPairStatistic)
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d.Statistics.ExchangeAssetPairStatistics[testExchange][asset.Spot][currency.NewPair(currency.BTC, currency.USDT)] = &statistics.CurrencyPairStatistic{}
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d.AddKlineItem(&gctkline.Item{
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Exchange: testExchange,
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Pair: currency.NewPair(currency.BTC, currency.USDT),
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Asset: asset.Spot,
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Interval: gctkline.OneDay,
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Candles: []gctkline.Candle{
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{
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Time: tt,
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Open: 1336,
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High: 1338,
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Low: 1336,
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Close: 1337,
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Volume: 1337,
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},
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},
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})
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err = d.enhanceCandles()
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if err != nil {
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t.Error(err)
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}
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d.AddKlineItem(&gctkline.Item{
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Exchange: testExchange,
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Pair: currency.NewPair(currency.BTC, currency.USDT),
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Asset: asset.Spot,
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Interval: gctkline.OneDay,
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Candles: []gctkline.Candle{
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{
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Time: tt,
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Open: 1336,
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High: 1338,
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Low: 1336,
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Close: 1336,
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Volume: 1337,
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},
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{
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Time: tt,
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Open: 1336,
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High: 1338,
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Low: 1336,
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Close: 1335,
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Volume: 1337,
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},
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},
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})
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err = d.enhanceCandles()
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if err != nil {
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t.Error(err)
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}
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d.Statistics.ExchangeAssetPairStatistics[testExchange][asset.Spot][currency.NewPair(currency.BTC, currency.USDT)].FinalOrders = compliance.Snapshot{
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Orders: []compliance.SnapshotOrder{
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{
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ClosePrice: decimal.NewFromInt(1335),
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VolumeAdjustedPrice: decimal.NewFromInt(1337),
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SlippageRate: decimal.NewFromInt(1),
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CostBasis: decimal.NewFromInt(1337),
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Detail: nil,
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},
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},
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Timestamp: tt,
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}
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err = d.enhanceCandles()
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if err != nil {
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t.Error(err)
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}
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d.Statistics.ExchangeAssetPairStatistics[testExchange][asset.Spot][currency.NewPair(currency.BTC, currency.USDT)].FinalOrders = compliance.Snapshot{
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Orders: []compliance.SnapshotOrder{
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{
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ClosePrice: decimal.NewFromInt(1335),
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VolumeAdjustedPrice: decimal.NewFromInt(1337),
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SlippageRate: decimal.NewFromInt(1),
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CostBasis: decimal.NewFromInt(1337),
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Detail: &gctorder.Detail{
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Date: tt,
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Side: gctorder.Buy,
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},
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},
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},
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Timestamp: tt,
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}
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err = d.enhanceCandles()
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if err != nil {
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t.Error(err)
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}
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d.Statistics.ExchangeAssetPairStatistics[testExchange][asset.Spot][currency.NewPair(currency.BTC, currency.USDT)].FinalOrders = compliance.Snapshot{
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Orders: []compliance.SnapshotOrder{
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{
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ClosePrice: decimal.NewFromInt(1335),
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VolumeAdjustedPrice: decimal.NewFromInt(1337),
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SlippageRate: decimal.NewFromInt(1),
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CostBasis: decimal.NewFromInt(1337),
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Detail: &gctorder.Detail{
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Date: tt,
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Side: gctorder.Sell,
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},
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},
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},
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Timestamp: tt,
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}
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err = d.enhanceCandles()
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if err != nil {
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t.Error(err)
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}
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if len(d.EnhancedCandles) == 0 {
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t.Error("expected enhanced candles")
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}
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}
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