mirror of
https://github.com/d0zingcat/gocryptotrader.git
synced 2026-05-13 23:16:45 +00:00
051675255d
* Add initial workflows config * Add PSQL service * Add 32bit and frontend jobs * Add gcc-multilib and fix typo * Fix backtester test for linux/unix filesystem errors and npm commands * 32-bit Add -race to purposefully throw an error to ensure envs are set correctly (will revert) * Revert "32-bit Add -race to purposefully throw an error to ensure envs are set correctly (will revert)" This reverts commit b97e66c49fca859f8738e01107f96f9ca4040b2e. * Bump workers count for orderbook processing * Remove comments to trigger 32-bit cache hit after job success * Cancel addition plus version bump, spawn more overlords * Update build badge to Github Actions * Brach -> Branch
107 lines
7.3 KiB
Markdown
107 lines
7.3 KiB
Markdown
# GoCryptoTrader Backtester: Backtester package
|
|
|
|
<img src="/backtester/common/backtester.png?raw=true" width="350px" height="350px" hspace="70">
|
|
|
|
|
|
[](https://github.com/thrasher-corp/gocryptotrader/actions/workflows/tests.yml)
|
|
[](https://github.com/thrasher-corp/gocryptotrader/blob/master/LICENSE)
|
|
[](https://godoc.org/github.com/thrasher-corp/gocryptotrader/backtester)
|
|
[](http://codecov.io/github/thrasher-corp/gocryptotrader?branch=master)
|
|
[](https://goreportcard.com/report/github.com/thrasher-corp/gocryptotrader)
|
|
|
|
|
|
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](https://trello.com/b/ZAhMhpOy/gocryptotrader).
|
|
|
|
Join our slack to discuss all things related to GoCryptoTrader! [GoCryptoTrader Slack](https://join.slack.com/t/gocryptotrader/shared_invite/enQtNTQ5NDAxMjA2Mjc5LTc5ZDE1ZTNiOGM3ZGMyMmY1NTAxYWZhODE0MWM5N2JlZDk1NDU0YTViYzk4NTk3OTRiMDQzNGQ1YTc4YmRlMTk)
|
|
|
|
|
|
# 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](/docs/OHLCV.md) and [trade readme](/exchanges/trade/README.md) 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 `.strat` files
|
|
- Strategy customisation without requiring recompilation. For example, customising RSI high, low and length values via config `.strat` files.
|
|
- 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 `.strat` config file as specified at runtime
|
|
- The `.strat` config file will contain
|
|
- Start & end dates
|
|
- The strategy to run
|
|
- The candle interval
|
|
- 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))
|
|
- Whether to use trade or candle data ([readme](/backtester/data/kline/README.md))
|
|
- 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](/backtester/config/README.md) for a breakdown of all config features
|
|
- The GoCryptoTrader Backtester will retrieve the data specified in the config ([readme](/backtester/backtest/README.md))
|
|
- 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`, `SELL` or `DONOTHING` ([readme](/backtester/eventtypes/signal/README.md))
|
|
- 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
|
|
- 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))
|
|
- 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))
|
|
|
|
|
|
# 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](/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.
|
|
|
|
# How do I create my own strategy?
|
|
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.
|
|
|
|
# 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](https://golang.org/doc/effective_go.html#formatting) guidelines (i.e. uses [gofmt](https://golang.org/cmd/gofmt/)).
|
|
+ Code must be documented adhering to the official Go [commentary](https://golang.org/doc/effective_go.html#commentary) guidelines.
|
|
+ Code must adhere to our [coding style](https://github.com/thrasher-corp/gocryptotrader/blob/master/doc/coding_style.md).
|
|
+ Pull requests need to be based on and opened against the `master` branch.
|
|
|
|
## Donations
|
|
|
|
<img src="https://github.com/thrasher-corp/gocryptotrader/blob/master/web/src/assets/donate.png?raw=true" hspace="70">
|
|
|
|
If this framework helped you in any way, or you would like to support the developers working on it, please donate Bitcoin to:
|
|
|
|
***bc1qk0jareu4jytc0cfrhr5wgshsq8282awpavfahc***
|