def trial(toPerform, curr):
global pair
global chart
global prevPair
global now
global mcl
global trained_mcl
global chartData
now += 1
num = "_".join(map(str, ("-".join(map(str, a)) for a in toPerform)))
strategyDetails = {}
for z in toPerform:
if z[0] == "currency":
pair = tradeCurrencies[z[1] - 1]
strategyDetails[z[0]] = z[1]
print("{} | {}/{} | {}".format(str(num), now, total,
str(datetime.datetime.now())[:10]))
if strat in ["4"]:
if ('lookback-mc' in strategyDetails or 'advance' in strategyDetails
or 'learnProgTotal' in strategyDetails) or mcl == "":
mcl = MachineStrat(strat, strategyDetails)
if not mcl.trained:
learnProgTotal = 1400 if not 'learnProgTotal' in strategyDetails else strategyDetails[
'learnProgTotal']
chart = BotChart(functions, pair)
chart.getHistorical(period,
startTime - period * (learnProgTotal + 30),
endTime)
totalChartData = chart.getPoints()
trainingSet = totalChartData["weightedAverage"][:learnProgTotal]
chartData = totalChartData[learnProgTotal:]
trained_mcl = mcl.train(trainingSet)
else:
if pair != prevPair:
chart = BotChart(functions, pair)
chart.getHistorical(period, startTime, endTime)
chartData = chart.getPoints()
prevPair = pair
strategy = BotStrategy(period, functions, totalBalance, num,
strategyDetails, strat, trained_mcl)
for index, candlestick in chartData.iterrows():
strategy.tick(candlestick)
strategy.closeAllTrades()
totalAssets, totalFees, totalTime, marketProf = strategy.calculateCurrentPosition(
)
totalProfit = strategy.balance
global trialResults
timeEf = totalTime / (int(strategy.currentDateOrig) -
int(strategy.startDate))
trialResults.append([
num,
toPerform.copy(), totalProfit, (marketProf) * totalBalance, totalTime,
timeEf
])
def main(argv):
global period
global pair
global startTime
global endTime
global totalBalance
global liveTrading
global environment
global chart
global strat
global cont
global trained_mcl
output.log("------------STARTING BACKTESTER------------")
# Handle all the incoming arguments
try:
opts, args = getopt.getopt(argv, "hp:c:s:e:b:v:u:l:",
["period=", "currency="])
except getopt.GetoptError:
try:
opts, args = getopt.getopt(argv, "r")
except:
print(
'backtest.py -p <period length> -c <currency pair> -s <start time> -e <end time> -u <strategy> -b <balance> -v <environment> -l <live>'
)
sys.exit(2)
for opt, arg in opts:
if opt == '-h':
print(
'backtest.py -p <period length> -c <currency pair> -s <start time> -e <end time> -u <strategy> -b <balance> -v <environment> -l <live>'
)
sys.exit()
elif opt in ("-p", "--period"):
if (int(arg) in [30, 300, 900, 1800, 7200, 14400, 86400]):
period = int(arg)
else:
print(
'Poloniex requires periods in 300 (5mins),900 (15),1800 (30),7200 (2hr),14400(4hr), or 86400(24hr) second increments'
)
sys.exit(2)
elif opt in ("-s"):
startTime = DateHelper.ut(
datetime.datetime.strptime(arg,
'%d/%m/%Y')) if "/" in arg else arg
elif opt in ("-r"):
cont = True
elif opt in ("-v"):
environment = arg
elif opt in ("-e"):
endTime = DateHelper.ut(datetime.datetime.strptime(
arg, '%d/%m/%Y')) if "/" in arg else arg
elif opt in ("-b"):
totalBalance = int(arg)
elif opt in ("-l"):
liveTrading = True if int(arg) == 1 else False
elif opt in ("-c"):
if arg in currencies:
pair = arg
else:
print("incorrect pair")
sys.exit()
elif opt in ("-u"):
if len(
list(
set([str(i + 1) for i in range(numberOfStrats)])
& set(str(arg).split(',')))) > 0:
strat = arg
else:
print("Bad strat params")
sys.exit()
# Instanstiate GUI for results
createIndex = CreateIndex(environment)
if not liveTrading and cont == False:
#==============================================================================
# [factor, lower limit, higher limit, step] is the format
#==============================================================================
# trialDetails = [['trailingstop',0,0.3,0.15],['maFactor',1,1.05,0.025],['lowMA',15,17,1],['highMA',35,55,10]]
# trialDetails= [['stoplossDayCount', 0*86400/period, 30*86400/period, 5*86400/period],['stoploss', 0, 0.25, 0.05]]
trialDetails = [['howSimReq', 0.87, 0.87, 0.01],
['lookback-mc', 9, 9, 1]]
# trialDetails = [['highRSI',60,80,2],['lowRSI',20,40,2],['stoploss',0,0.4,0.04],['rsiperiod',10,20,2]]
# trialDetails = [['upfactor',1,1.1,0.02],['downfactor',1,1.1,0.02],['lookback',28,40,1]]
global total
total = 1
for i in trialDetails:
add = ((i[2] - i[1]) / i[3])
if isclose(add, round(add)): # fix this
total *= (add + 1)
else:
print("bad params")
sys.exit(2)
performTrial(trialDetails, len(trialDetails),
np.zeros(len(trialDetails)))
output.logTrials(trialDetails, trialResults)
# N dimensional views
botgrapher.heatmap(trialResults)
# 2 dimensional views
if len(trialDetails) == 2:
botgrapher.graph(trialResults)
createIndex.CreatePages()
else:
trades = []
if cont == False:
strategyDetails = {'howSimReq': 0.9, "lookback-mc": 7}
param_to_store = strategyDetails
param_to_store['strategy'] = strat
param_to_store['pair'] = pair
param_to_store['period'] = period
functions.mysql_conn.storeAllParameters(param_to_store)
else:
strategyDetails = functions.mysql_conn.getAllParameters()
stats = functions.mysql_conn.getStatistics()
totalBalance = stats['balance']
trades = functions.mysql_conn.getAllOpenTrades()
strat = strategyDetails['strategy']
pair = strategyDetails['pair']
period = int(strategyDetails['period'])
del strategyDetails['strategy']
del strategyDetails['pair']
del strategyDetails['period']
if 'running_time' in stats:
strategyDetails['running_time'] = stats['running_time']
print(strategyDetails)
chart = BotChart(functions, pair)
if (strat == "4"):
print("Pretraining STARTED")
learnProgTotal = 1400 if not 'learnProgTotal' in strategyDetails else strategyDetails[
'learnProgTotal']
if (endTime == ""):
endTime = DateHelper.ut(datetime.datetime.now())
if (startTime == ""):
startTime = endTime - period * (learnProgTotal + 100)
print("training from ~{} to {}".format(DateHelper.dt(startTime),
DateHelper.dt(endTime)))
chart.getHistorical(period, startTime, endTime)
trainingSet = chart.getPoints()
mcl = MachineStrat(strat, strategyDetails)
trained_mcl = mcl.train(
trainingSet["weightedAverage"][:learnProgTotal + 30])
lookback = 7 if not 'lookback-mc' in strategyDetails else int(
strategyDetails['lookback-mc'])
print("Pretraining finished")
strategy = BotStrategy(period, functions, totalBalance, 0,
strategyDetails, strat, trained_mcl, trades)
if strat == "4":
for index, candlestick in trainingSet[-lookback - 1:].iterrows():
strategy.tick(candlestick, True)
while True:
date = datetime.datetime.now()
while ((date.hour % 4 == 0 and date.minute > 30)
or (date.hour % 4 == 1 and date.minute < 25)) == False:
date = datetime.datetime.now()
print('checking for appropriate start time', date)
time.sleep(60 * 5)
start = time.time()
currTick = dict(chart.getNext())
currTick['date'] = str(DateHelper.ut(datetime.datetime.now()))
strategy.tick(currTick)
createIndex.CreatePages()
print('{}: Sleeping ...'.format(currTick['date']))
end = time.time()
if int(period) - (end - start) > 0:
time.sleep(int(period) - (end - start))
else:
print("Calculation took too long. Continuing to next tick...")
