mirror of https://github.com/d0zingcat/gocryptotrader.git synced 2026-05-13 23:16:45 +00:00

Files

Scott f929b4d51e backtester: Futures handling & FTX Cash and Carry example strategy (#930 )

* implements futures functions and GRPC functions on new branch

* lint and test fixes

* Fix uneven split pnl. Adds collateral weight test. docs. New clear func

* Test protection if someone has zero collateral

* Uses string instead of double for accuracy

* Fixes old code panic

* context, match, docs

* Addresses Shazniterinos, var names, expanded tests

* Returns subaccount name, provides USD values when offlinecalc

* Fixes oopsie

* Fixes cool bug which allowed made up subaccount results

* Subaccount override on FTX, subaccount results for collateral

* Strenghten collateral account info checks. Improve FTX test

* English is my first language

* Fixes oopsies

* Adds some conceptual futures order details to track PNL

* Initial design of future order processing in the backtester

* Introduces futures concept for collateral and spot/futures config diffs

* Fixes most tests

* Simple designs for collateral funding pair concept

* Expands interface use so much it hurts

* Implements more collateral interfaces

* Adds liquidation, adds strategy, struggles with Binance

* Attempts at getting FTX to work

* Adds calculatePNL as a wrapper function and adds an `IsFutures` asset check

* Successfully loads backtester with collateral currency

* Fails to really get much going for supporting futures

* Merges master changes

* Fleshes out how FTX processes collateral

* Further FTX collateral workings

* hooks up more ftx collateral and pnl calculations

* more funcs to flesh out handling

* Adds more links, just can't fit the pieces together :(

* Greatly expands futures order processing

* Fleshes out position tracker to also handle asset and exchange +testing

* RM linkedOrderID. rn positioncontroller, unexport

* Successfully tracks futures order positions

* Fails to calculate PNL

* Calculates pnl from orders accurately with exception to flipping orders

* Calculates PNL from orders

* Adds another controller layer to make it ez from orderstore

* Backtester now compiles. Adds test coverage

* labels things add scaling collateral test

* Calculates pnl in line with fees

* Mostly accurate PNL, with exception to appending with diff prices

* Adds locks, adds rpc function

* grpc implementations

* Gracefully handles rpc function

* beautiful tests!

* rejiggles tests to polish

* Finishes FTX testing, adds comments

* Exposes collateral calculations to rpc

* Adds commands and testing for rpcserver.go functions

* Increase testing and fix up backtester code

* Returns cool changes to original branch

* end of day fixes

* Fixing some tests

* Fixing tests 🎉

* Fixes all the tests

* Splits the backtester setup and running into different files

* Merge, minor fixes

* Messing with some strategy updates

* Failed understanding at collateral usage

* Begins the creation of cash and carry strategy

* Adds underlying pair, adds filldependentevent for futures

* Completes fill prerequsite event implementation. Can't short though

* Some bug fixes

* investigating funds

* CAN NOW CREATE A SHORT ORDER

* Minor change in short size

* Fixes for unrealised PNL & collateral rendering

* Fixes lint and tests

* Adds some verbosity

* Updates to pnl calc

* Tracks pnl for short orders, minor update to strategy

* Close and open event based on conditions

* Adds pnl data for currency statistics

* Working through PNL calculation automatically. Now panics

* Adds tracking, is blocked from design

* Work to flesh out closing a position

* vain attempts at tracking zeroing out bugs

* woww, super fun new subloggers 🎉

* Begins attempt at automatically handling contracts and collateral based on direction

* Merge master + fixes

* Investigating issues with pnl and holdings

* Minor pnl fixes

* Fixes future position sizing, needs contract sizing

* Can render pnl results, focussing on funding statistics

* tracking candles for futures, but why not btc

* Improves funding statistics

* Colours and stats

* Fixes collateral and snapshot bugs

* Completes test

* Fixes totals bug

* Fix double buy, expand stats, fixes usd totals, introduce interface

* Begins report formatting and calculations

* Appends pnl to receiving curr. Fixes map[time]. accurate USD

* Improves report output rendering

* PNL stats in report. New tests for futures

* Fixes existing tests before adding new coverage

* Test coverage

* Completes portfolio coverage

* Increase coverage exchange, portfolio. fix size bug. NEW CHART

* WHAT IS GOING ON WITH PNL

* Fixes PNL calculation. Adds ability to skip om futures tracking

* minor commit before merge

* Adds basic liquidation to backtester

* Changes liquidation to order based

* Liquidationnnnnn

* Further fleshes out liquidations

* Completes liquidations in a honorable manner. Adds AppendReasonf

* Beginnings of spot futures gap chart. Needs to link currencies to render difference

* Removes fake liquidation. Adds cool new chart

* Fixes somet tests,allows for zero fee value v nil distinction,New tests

* Some annoying test fixes that took too long

* portfolio coverage

* holding coverage, privatisation funding

* Testwork

* boring tests

* engine coverage

* More backtesting coverage

* Funding, strategy, report test coverage

* Completes coverage of report package

* Documentation, fixes some assumptions on asset errors

* Changes before master merge

* Lint and Tests

* defaults to non-coloured rendering

* Chart rendering

* Fixes surprise non-local-lints

* Niterinos to the extremeos

* Fixes merge problems

* The linter splintered across the glinting plinths

* Many nits addressed. Now sells spot position on final candle

* Adds forgotten coverage

* Adds ability to size futures contracts to match spot positions.

* fixes order sell sizing

* Adds tests to sizing. Fixes charting issue

* clint splintered the linters with flint

* Improves stats, stat rendering

* minifix

* Fixes tests and fee bug

* Merge fixeroos

* Microfixes

* Updates orderPNL on first Correctly utilises fees. Adds committed funds

* New base funcs. New order summary

* Fun test updates

* Fix logo colouring

* Fixes niteroonies

* Fix report

* BAD COMMIT

* Fixes funding issues.Updates default fee rates.Combines cashcarry case

* doc regen

* Now returns err

* Fixes sizing bug issue introduced in PR

* Fixes fun fee/total US value bug

* Fix chart bug. Show log charts with disclaimer

* sellside fee

* fixes fee and slippage view

* Fixed slippage price issue

* Fixes calculation and removes rendering

* Fixes stats and some rendering

* Merge fix

* Fixes merge issues

* go mod tidy, lint updates

* New linter attempt

* Version bump in appveyor and makefile

* Regex filename, config fixes, template h2 fixes

* Removes bad stats.

* neatens config builder. Moves filename generator

* Fixes issue where linter wants to fix my spelling

* Fixes pointers and starts

2022-06-30 15:43:41 +10:00

9.0 KiB

Raw Blame History

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
Shopspring decimal implementation to track stats more accurately
Can run strategies against multiple cryptocurrencies
Can run strategies that can assess multiple currencies simultaneously to make complex decisions
Dollar cost strategy example strategies
RSI example strategy
MFI example strategy
Rules customisation via config .strat files
Strategy config builder application
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
Exchange level funding allows funding to be shared across multiple currency pairs and to allow for complex strategy design
Fund transfer. At a strategy level, transfer funds between exchanges to allow for complex strategy design
Backtesting support for futures asset types
Example cash and carry spot futures strategy

Planned Features

We welcome pull requests on any feature for the Backtester! We will be especially appreciative of any contribution towards the following planned features:

Feature	Description
Long-running application	Transform the Backtester to run a GRPC server, where commands can be sent to run Backtesting operations. Allowing for many strategies to be run, analysed and tweaked in a more efficient manner
Leverage support	Leverage is a good way to enhance profit and loss and is important to include in strategies
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
Save Backtester results to database	This will allow for easier comparison of results over time
Backtester result comparison report	Providing an executive summary of Backtester database results
Currency correlation	Compare multiple exchange, asset, currencies for a candle interval against indicators to highlight correlated pairs for use in pairs trading
Improve live trading functionality	Live trading is currently only a proof Of concept. Adding live support for running multiple currencies and running off orderbook data will allow for esteemed traders to use their backtested strategies

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, 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, SELL or DONOTHING (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 master branch.

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

9.0 KiB Raw Blame History