def set_up(): reset_config() config['app']['trading_exchanges'] = [ exchanges.SANDBOX, exchanges.BITFINEX ] config['app']['trading_symbols'] = ['BTCUSD', 'ETHUSD'] store.reset()
def test_backtesting_three_routes(): reset_config() router.set_routes([ (exchanges.SANDBOX, 'BTCUSD', timeframes.MINUTE_5, 'Test19'), (exchanges.SANDBOX, 'ETHUSD', timeframes.MINUTE_5, 'Test19'), (exchanges.SANDBOX, 'XRPUSD', timeframes.MINUTE_15, 'Test19'), ]) store.reset(True) candles = {} routes = router.routes for r in routes: key = jh.key(r.exchange, r.symbol) candles[key] = { 'exchange': r.exchange, 'symbol': r.symbol, 'candles': fake_range_candle(5 * 3 * 20) } # assert that strategy hasn't been initiated before running backtest_mode() assert r.strategy is None # run backtest (dates are fake just to pass) backtest_mode.run('2019-04-01', '2019-04-02', candles) # there must be three positions present with the updated current_price assert len(store.positions.storage) == 3 for r in routes: # r3's '15m' timeframe makes r1 and r2 to support # '15' timeframe as well. r1 and r2 also make r3 # to support '5m' timeframe also. r_one_min = store.candles.get_candles(r.exchange, r.symbol, '1m') r_five_min = store.candles.get_candles(r.exchange, r.symbol, '5m') r_fifteen_min = store.candles.get_candles(r.exchange, r.symbol, '15m') # assert the count of present candles assert len(r_one_min) == (5 * 3) * 20 assert len(r_five_min) == 20 * 3 assert len(r_fifteen_min) == 20 r_first_1 = r_one_min[0] r_last_1 = r_one_min[-1] r_first_5 = r_five_min[0] r_last_5 = r_five_min[-1] r_first_15 = r_fifteen_min[0] r_last_15 = r_fifteen_min[-1] # assert timestamps assert r_first_1[0] == r_first_5[0] assert r_last_1[0] == (r_last_5[0] + 60000 * 4) assert r_last_5[0] == (r_last_15[0] + 60000 * 10) # assert positions p = selectors.get_position(r.exchange, r.symbol) assert p.is_close is True last_candle = store.candles.get_candles(r.exchange, r.symbol, '1m')[-1] assert p.current_price == last_candle[2] # assert that the strategy has been initiated assert r.strategy is not None
def set_up(count=2): reset_config() config['app']['considering_timeframes'] = ['1m', '5m'] config['app']['considering_symbols'] = ['BTCUSD'] config['app']['considering_exchanges'] = ['Sandbox'] store.reset() store.candles.init_storage(count)
def test_forming_candles(): reset_config() router.set_routes([(exchanges.SANDBOX, 'BTC-USDT', timeframes.MINUTE_5, 'Test19')]) router.set_extra_candles([(exchanges.SANDBOX, 'BTC-USDT', timeframes.MINUTE_15)]) store.reset(True) candles = {} key = jh.key(exchanges.SANDBOX, 'BTC-USDT') candles[key] = { 'exchange': exchanges.SANDBOX, 'symbol': 'BTC-USDT', 'candles': test_candles_0 } backtest_mode.run('2019-04-01', '2019-04-02', candles) # use math.ceil because it must include forming candle too assert len( store.candles.get_candles(exchanges.SANDBOX, 'BTC-USDT', timeframes.MINUTE_5)) == math.ceil(1382 / 5) assert len( store.candles.get_candles(exchanges.SANDBOX, 'BTC-USDT', timeframes.MINUTE_15)) == math.ceil(1382 / 15)
def set_up(): reset_config() config['app']['considering_exchanges'] = [exchanges.SANDBOX] config['app']['trading_exchanges'] = [exchanges.SANDBOX] config['app']['trading_symbols'] = ['BTC-USD'] config['app']['trading_timeframes'] = ['5m'] store.reset()
def set_up_without_fee(is_margin_trading=False): reset_config() config['env']['exchanges'][exchanges.SANDBOX]['type'] = 'margin' config['env']['exchanges'][exchanges.SANDBOX]['fee'] = 0 config['env']['exchanges'][exchanges.SANDBOX]['assets'] = [ { 'asset': 'USDT', 'balance': 1000 }, { 'asset': 'BTC', 'balance': 0 }, ] if is_margin_trading: # used only in margin trading config['env']['exchanges'][exchanges.SANDBOX]['type'] = 'margin' config['env']['exchanges'][ exchanges.SANDBOX]['settlement_currency'] = 'USDT' config['app']['trading_mode'] = 'backtest' config['app']['considering_exchanges'] = ['Sandbox'] router.set_routes([(exchanges.SANDBOX, 'BTC-USDT', '5m', 'Test19')]) store.reset(True) global position global exchange position = selectors.get_position(exchanges.SANDBOX, 'BTC-USDT') position.current_price = 50 exchange = selectors.get_exchange(exchanges.SANDBOX)
def set_up_with_fee(is_futures_trading=False): reset_config() config['env']['exchanges'][exchanges.SANDBOX]['fee'] = 0.002 config['env']['exchanges'][exchanges.SANDBOX]['assets'] = [ { 'asset': 'USDT', 'balance': 1000 }, { 'asset': 'BTC', 'balance': 0 }, ] if is_futures_trading: # used only in futures trading config['env']['exchanges'][exchanges.SANDBOX]['type'] = 'futures' else: config['env']['exchanges'][exchanges.SANDBOX]['type'] = 'spot' config['env']['exchanges'][ exchanges.SANDBOX]['settlement_currency'] = 'USDT' config['app']['trading_mode'] = 'backtest' config['app']['considering_exchanges'] = ['Sandbox'] router.set_routes([(exchanges.SANDBOX, 'BTC-USDT', '5m', 'Test19')]) store.reset(True) global position global exchange global broker position = selectors.get_position(exchanges.SANDBOX, 'BTC-USDT') position.current_price = 50 exchange = selectors.get_exchange(exchanges.SANDBOX) broker = Broker(position, exchanges.SANDBOX, 'BTC-USDT', timeframes.MINUTE_5)
def set_up(routes, fee=0): reset_config() config['env']['exchanges'][exchanges.SANDBOX]['starting_balance'] = 10000 config['env']['exchanges'][exchanges.SANDBOX]['fee'] = fee router.set_routes(routes) router.set_extra_candles([]) store.reset(True)
def test_forming_candles(): reset_config() routes = [{ 'exchange': exchanges.SANDBOX, 'symbol': 'BTC-USDT', 'timeframe': timeframes.MINUTE_5, 'strategy': 'Test19' }] extra_routes = [{ 'exchange': exchanges.SANDBOX, 'symbol': 'BTC-USDT', 'timeframe': timeframes.MINUTE_15 }] candles = {} key = jh.key(exchanges.SANDBOX, 'BTC-USDT') candles[key] = { 'exchange': exchanges.SANDBOX, 'symbol': 'BTC-USDT', 'candles': test_candles_0 } backtest_mode.run(False, {}, routes, extra_routes, '2019-04-01', '2019-04-02', candles) # use math.ceil because it must include forming candle too assert len( store.candles.get_candles(exchanges.SANDBOX, 'BTC-USDT', timeframes.MINUTE_5)) == math.ceil(1382 / 5) assert len( store.candles.get_candles(exchanges.SANDBOX, 'BTC-USDT', timeframes.MINUTE_15)) == math.ceil(1382 / 15)
def set_up(is_futures_trading=True, leverage=1, leverage_mode='cross', zero_fee=False): reset_config() config['env']['exchanges'][exchanges.SANDBOX]['assets'] = [ { 'asset': 'USDT', 'balance': 10_000 }, { 'asset': 'BTC', 'balance': 0 }, { 'asset': 'ETH', 'balance': 0 }, ] if zero_fee: config['env']['exchanges']['Sandbox']['fee'] = 0 if is_futures_trading: # used only in futures trading config['env']['exchanges'][exchanges.SANDBOX]['type'] = 'futures' config['env']['exchanges'][ exchanges.SANDBOX]['futures_leverage_mode'] = leverage_mode config['env']['exchanges'][ exchanges.SANDBOX]['futures_leverage'] = leverage else: config['env']['exchanges'][exchanges.SANDBOX]['type'] = 'spot'
def set_up(routes=None, is_futures_trading=True, leverage=1, leverage_mode='cross'): reset_config() config['env']['exchanges'][exchanges.SANDBOX]['assets'] = [ { 'asset': 'USDT', 'balance': 10_000 }, { 'asset': 'BTC', 'balance': 0 }, { 'asset': 'ETH', 'balance': 0 }, ] if is_futures_trading: # used only in futures trading config['env']['exchanges'][exchanges.SANDBOX]['type'] = 'futures' config['env']['exchanges'][ exchanges.SANDBOX]['futures_leverage_mode'] = leverage_mode config['env']['exchanges'][ exchanges.SANDBOX]['futures_leverage'] = leverage else: config['env']['exchanges'][exchanges.SANDBOX]['type'] = 'spot' if routes: router.set_routes(routes) store.reset(True)
def set_up(): """ """ reset_config() config['app']['considering_candles'] = [('Sandbox', 'BTCUSD')] store.reset() store.trades.init_storage()
def set_up(routes): """ :param routes: """ reset_config() router.set_routes(routes) store.reset(True)
def set_up(routes, is_margin_trading=True): reset_config() if is_margin_trading: # used only in margin trading config['env']['exchanges'][exchanges.SANDBOX]['type'] = 'margin' else: config['env']['exchanges'][exchanges.SANDBOX]['type'] = 'spot' router.set_routes(routes) store.reset(True)
def set_up(): """ """ reset_config() config['app']['considering_exchanges'] = [exchanges.SANDBOX] config['app']['trading_exchanges'] = [exchanges.SANDBOX] config['env']['exchanges'][exchanges.SANDBOX]['starting_balance'] = 2000 store.reset()
def set_up(): reset_config() config['app']['considering_exchanges'] = [exchanges.SANDBOX] config['env']['exchanges'][exchanges.SANDBOX]['fee'] = 0 config['env']['exchanges'][exchanges.SANDBOX]['starting_balance'] = 1000 config['app']['trading_exchanges'] = [exchanges.SANDBOX] config['app']['trading_symbols'] = ['BTCUSD'] config['app']['trading_timeframes'] = ['5m'] store.reset()
def test_backtesting_one_route(): reset_config() router.set_routes([ (exchanges.SANDBOX, 'BTC-USDT', timeframes.MINUTE_5, 'Test19') ]) config['env']['exchanges'][exchanges.SANDBOX]['type'] = 'margin' store.reset(True) candles = {} key = jh.key(exchanges.SANDBOX, 'BTC-USDT') candles[key] = { 'exchange': exchanges.SANDBOX, 'symbol': 'BTC-USDT', 'candles': fake_range_candle(5 * 20) } routes = router.routes # assert that strategy hasn't been initiated before running backtest_mode() assert routes[0].strategy is None # run backtest (dates are fake just to pass) backtest_mode.run('2019-04-01', '2019-04-02', candles) one_min = store.candles.get_candles(exchanges.SANDBOX, 'BTC-USDT', '1m') five_min = store.candles.get_candles(exchanges.SANDBOX, 'BTC-USDT', '5m') # assert the count of present candles assert len(five_min) == 20 assert len(one_min) == 20 * 5 first_1 = one_min[0] last_1 = one_min[-1] first_5 = five_min[0] last_5 = five_min[-1] # assert time in store assert store.app.time == last_1[0] + 60000 # assert timestamps assert first_1[0] == first_5[0] assert last_1[0] == (last_5[0] + 60000 * 4) # there must be only one positions present assert len(store.positions.storage) == 1 p = selectors.get_position(exchanges.SANDBOX, 'BTC-USDT') assert p.is_close assert p.current_price == last_1[2] assert p.current_price == last_5[2] # assert routes assert len(routes) == 1 assert routes[0].exchange == exchanges.SANDBOX assert routes[0].symbol == 'BTC-USDT' assert routes[0].timeframe == '5m' assert routes[0].strategy_name == 'Test19' # assert that the strategy has been initiated assert routes[0].strategy is not None
def set_up(): reset_config() config['app']['considering_exchanges'] = [exchanges.SANDBOX] config['app']['trading_exchanges'] = [exchanges.SANDBOX] config['env']['exchanges'][exchanges.SANDBOX]['assets'] = [{ 'asset': 'USDT', 'balance': 2000 }] store.reset()
def test_must_not_be_able_to_set_two_similar_routes(): reset_config() router.set_routes([ (exchanges.SANDBOX, 'ETH-USDT', timeframes.MINUTE_5, 'Test01'), (exchanges.SANDBOX, 'ETH-USDT', timeframes.MINUTE_30, 'Test02'), ]) with pytest.raises(Exception) as err: store.reset(True) assert str(err.value).startswith( 'each exchange-symbol pair can be traded only once')
def set_up(routes, fee=0): reset_config() config['env']['exchanges'][exchanges.SANDBOX]['assets'] = [ {'asset': 'USDT', 'balance': 1000}, {'asset': 'BTC', 'balance': 0}, ] config['env']['exchanges'][exchanges.SANDBOX]['type'] = 'margin' config['env']['exchanges'][exchanges.SANDBOX]['fee'] = fee router.set_routes(routes) router.set_extra_candles([]) store.reset(True)
def set_up(routes, is_margin_trading=True): reset_config() config['env']['exchanges'][exchanges.SANDBOX]['assets'] = [ {'asset': 'USDT', 'balance': 10000}, {'asset': 'BTC', 'balance': 0}, {'asset': 'ETH', 'balance': 0}, ] if is_margin_trading: # used only in margin trading config['env']['exchanges'][exchanges.SANDBOX]['type'] = 'margin' else: config['env']['exchanges'][exchanges.SANDBOX]['type'] = 'spot' router.set_routes(routes) store.reset(True)
def set_up_with_fee(): reset_config() config['env']['exchanges'][exchanges.SANDBOX]['fee'] = 0.002 config['env']['exchanges'][exchanges.SANDBOX]['starting_balance'] = 1000 config['app']['trading_mode'] = 'backtest' config['app']['considering_exchanges'] = ['Sandbox'] router.set_routes([(exchanges.SANDBOX, 'BTCUSD', '5m', 'Test19')]) store.reset(True) global position global exchange global broker position = selectors.get_position(exchanges.SANDBOX, 'BTCUSD') position.current_price = 50 exchange = selectors.get_exchange(exchanges.SANDBOX) broker = Broker(position, exchanges.SANDBOX, 'BTCUSD', timeframes.MINUTE_5)
def set_up(): reset_config() from jesse.routes import router router.set_routes([{ 'exchange': 'Sandbox', 'symbol': 'BTC-USD', 'timeframe': '1m', 'strategy': 'Test01' }]) router.set_extra_candles([{ 'exchange': 'Sandbox', 'symbol': 'BTC-USD', 'timeframe': '5m' }]) config['app']['considering_timeframes'] = ['1m', '5m'] config['app']['considering_symbols'] = ['BTC-USD'] config['app']['considering_exchanges'] = ['Sandbox'] store.reset(True) store.candles.init_storage()
def set_up(routes): reset_config() router.set_routes(routes) store.reset(True)
def _isolated_backtest(config: dict, routes: List[Dict[str, str]], extra_routes: List[Dict[str, str]], candles: dict, run_silently: bool = True, hyperparameters: dict = None) -> dict: from jesse.services.validators import validate_routes from jesse.modes.backtest_mode import simulator from jesse.config import config as jesse_config, reset_config from jesse.routes import router from jesse.store import store from jesse.config import set_config from jesse.services import metrics from jesse.services import required_candles import jesse.helpers as jh jesse_config['app']['trading_mode'] = 'backtest' # inject (formatted) configuration values set_config(_format_config(config)) # set routes router.initiate(routes, extra_routes) # register_custom_exception_handler() validate_routes(router) # TODO: further validate routes and allow only one exchange # TODO: validate the name of the exchange in the config and the route? or maybe to make sure it's a supported exchange # initiate candle store store.candles.init_storage(5000) # divide candles into warm_up_candles and trading_candles and then inject warm_up_candles max_timeframe = jh.max_timeframe( jesse_config['app']['considering_timeframes']) warm_up_num = config['warm_up_candles'] * jh.timeframe_to_one_minutes( max_timeframe) trading_candles = candles if warm_up_num != 0: for c in jesse_config['app']['considering_candles']: key = jh.key(c[0], c[1]) # update trading_candles trading_candles[key]['candles'] = candles[key]['candles'][ warm_up_num:] # inject warm-up candles required_candles.inject_required_candles_to_store( candles[key]['candles'][:warm_up_num], c[0], c[1]) # run backtest simulation simulator(trading_candles, run_silently, hyperparameters) result = { 'metrics': { 'total': 0, 'win_rate': 0, 'net_profit_percentage': 0 }, 'charts': None, 'logs': None, } if store.completed_trades.count > 0: # add metrics result['metrics'] = metrics.trades(store.completed_trades.trades, store.app.daily_balance) # add charts result['charts'] = charts.portfolio_vs_asset_returns() # add logs result['logs'] = store.logs.info # reset store and config so rerunning would be flawlessly possible reset_config() store.reset() return result
def set_up(): """ """ reset_config() store.reset(True)
def set_up(): reset_config() config['app']['considering_candles'] = [('Sandbox', 'BTC-USD')] store.reset() store.tickers.init_storage()
def test_backtesting_three_routes(): reset_config() routes = [{ 'exchange': exchanges.SANDBOX, 'symbol': 'BTC-USDT', 'timeframe': timeframes.MINUTE_5, 'strategy': 'Test19' }, { 'exchange': exchanges.SANDBOX, 'symbol': 'ETH-USDT', 'timeframe': timeframes.MINUTE_5, 'strategy': 'Test19' }, { 'exchange': exchanges.SANDBOX, 'symbol': 'XRP-USDT', 'timeframe': timeframes.MINUTE_15, 'strategy': 'Test19' }] config['env']['exchanges'][exchanges.SANDBOX]['type'] = 'futures' candles = {} for r in routes: key = jh.key(r['exchange'], r['symbol']) candles[key] = { 'exchange': r['exchange'], 'symbol': r['symbol'], 'candles': range_candles(5 * 3 * 20) } # run backtest (dates are fake just to pass) backtest_mode.run(False, {}, routes, [], '2019-04-01', '2019-04-02', candles) # there must be three positions present with the updated current_price assert len(store.positions.storage) == 3 for r in router.routes: # r3's '15m' timeframe makes r1 and r2 to support # '15' timeframe as well. r1 and r2 also make r3 # to support '5m' timeframe also. r_one_min = store.candles.get_candles(r.exchange, r.symbol, '1m') r_five_min = store.candles.get_candles(r.exchange, r.symbol, '5m') r_fifteen_min = store.candles.get_candles(r.exchange, r.symbol, '15m') # assert the count of present candles assert len(r_one_min) == (5 * 3) * 20 assert len(r_five_min) == 20 * 3 assert len(r_fifteen_min) == 20 r_first_1 = r_one_min[0] r_last_1 = r_one_min[-1] r_first_5 = r_five_min[0] r_last_5 = r_five_min[-1] r_last_15 = r_fifteen_min[-1] # assert timestamps assert r_first_1[0] == r_first_5[0] assert r_last_1[0] == (r_last_5[0] + 60000 * 4) assert r_last_5[0] == (r_last_15[0] + 60000 * 10) # assert positions p = selectors.get_position(r.exchange, r.symbol) assert p.is_close is True last_candle = store.candles.get_candles(r.exchange, r.symbol, '1m')[-1] assert p.current_price == last_candle[2] # assert that the strategy has been initiated assert r.strategy is not None