def calculation():
platos = MacdDict().getAll();
rateData = RateLoader().fetchLast(platos);
for key in platos:
plato = platos[key];
stockData = rateData.getSdf(plato.pair, plato.period)
plato.calculateLast(stockData)
del rateData
return getAllPlatos()
def test():
end = int(time()) - DAY
begin = end - 3 * DAY
rates = RateLoader().fetchPeriods(DEFAULT_PAIR, begin, end,
[1]).getSdf(DEFAULT_PAIR, 1)
rates = RTBacktest.prepareRates(rates)
penter = Plato(DEFAULT_PAIR, 12, 26, 9, 60)
pexit = Plato(DEFAULT_PAIR, 12, 26, 9, 60)
def add_d(rates: StockDataFrame):
rates['d'] = to_datetime(rates.index, unit='s', utc=True)
rates.d = rates.d.dt.strftime('%Y-%m-%d %H:%M:%S')
return rates
def gen():
maxp = max(penter.period, pexit.period)
for i in range(len(rates) - 40 * maxp):
yield rates[i:i + 40 * maxp]
ts = time()
deals = RTBacktest.calculateDeals(gen(), penter, pexit)
print(deals)
print(f'Total: {round(time()-ts, 3)}')
def calculationSingle(key):
plato = MacdDict().get(key)
if plato is None:
return jsonpify({'message': 'No plato found', 'status': '1'})
stockData = RateLoader()\
.fetchLast({0: plato})\
.getSdf(plato.pair, plato.period)
plato.calculateLast(stockData)
return jsonpify(plato.json())
def runBacktestById(id):
bt = Backtest.find(int(id))
if bt is None:
return jsonpify(dict(
result=0,
message=f'There is no backtest #{id} found'
))
penter = Plato('btc_usd', bt.buy_fast, bt.buy_slow, bt.buy_signal, bt.buy_period)
pexit = Plato('btc_usd', bt.sell_fast, bt.sell_slow, bt.sell_signal, bt.sell_period)
tsFrom = bt.ts_start
tsTo = bt.ts_end
if bt.is_rt:
offset = max(penter.period, pexit.period) * 60 * 40
rates = RateLoader().fetchPeriods('btc_usd', tsFrom - offset, tsTo, [1]).getSdf('btc_usd', 1)
statistics = RTBacktest(penter, pexit, rates, tsFrom, tsTo).run()
else:
rates = RateLoader().fetch(dict(enter=penter, exit=pexit), tsFrom, tsTo)
calculation = BacktestHelper.calculate(
penter=penter, pexit=pexit,
denter=rates.getSdf(penter.pair, penter.period),
dexit=rates.getSdf(pexit.pair, pexit.period),
begin=tsFrom, end=tsTo, force=True
)
_, _, _, _, statistics, _ = calculation
bt.status = 3
bt.data = f'{dumps(dict(statistics=statistics))}'
bt.total_month6 = round(float(statistics['4']['profit']), 2)
bt.total_month3 = round(float(statistics['3']['profit']), 2)
bt.total_month1 = round(float(statistics['2']['profit']), 2)
bt.total_week = round(float(statistics['1']['profit']), 2)
bt.save()
return jsonpify(dict(
result=1,
message='Backtest successfully calculated'
))
fname = join(basedir, 'btrun', str(bt.id))
touch(fname)
penter = Plato('btc_usd', bt.buy_fast, bt.buy_slow, bt.buy_signal,
bt.buy_period)
pexit = Plato('btc_usd', bt.sell_fast, bt.sell_slow, bt.sell_signal,
bt.sell_period)
tsFrom = bt.ts_start
tsTo = bt.ts_end
if bt.is_rt:
offset = max(penter.period, pexit.period) * 60 * 40
rates = RateLoader().fetchPeriods('btc_usd', tsFrom - offset, tsTo,
[1]).getSdf('btc_usd', 1)
statistics = RTBacktest(penter, pexit, rates, tsFrom, tsTo).run()
else:
rates = RateLoader().fetch(dict(enter=penter, exit=pexit), tsFrom,
tsTo)
calculation = BacktestHelper.calculate(
penter=penter,
pexit=pexit,
denter=rates.getSdf(penter.pair, penter.period),
dexit=rates.getSdf(pexit.pair, pexit.period),
begin=tsFrom,
end=tsTo,
force=True)
def runBacktest():
params = request.args
for key in ['pair', 'from', 'to', 'coeffs[0]', 'coeffs[1]']:
if params.get(key) is None:
return jsonpify({'result': False, 'message': f'Param "{key}" is required'})
pair = params['pair']
tsFrom = int(params['from'])
tsTo = int(params['to'])
enter_params = list(map(int, params['coeffs[0]'].split('_')))
penter = Plato(pair, *enter_params)
exit_params = list(map(int, params['coeffs[1]'].split('_')))
pexit = Plato(pair, *exit_params)
rateData = RateLoader().fetch(dict(enter=penter, exit=pexit), tsFrom, tsTo)
calculation = BacktestHelper.calculate(
penter=penter, pexit=pexit,
denter=rateData.getSdf(penter.pair, penter.period),
dexit=rateData.getSdf(pexit.pair, pexit.period),
begin=tsFrom, end=tsTo, force=True
)
_, _, _, _, statistics, _ = calculation
bt = Backtest(
buy_fast=penter.fast,
buy_slow=penter.slow,
buy_signal=penter.signal,
buy_period=penter.period,
sell_fast=pexit.fast,
sell_slow=pexit.slow,
sell_signal=pexit.signal,
sell_period=pexit.period,
status='3',
type='1',
data=f'{dumps(dict(statistics=statistics))}',
extend='|main.backtest|',
name=f'Buy: {penter.key(":")}, Sell: {pexit.key(":")}',
total_month6=round(float(statistics['4']['profit']), 2),
total_month3=round(float(statistics['3']['profit']), 2),
total_month1=round(float(statistics['2']['profit']), 2),
total_week=round(float(statistics['1']['profit']), 2),
ts_start=tsFrom,
ts_end=tsTo,
is_rt=0,
active=1
)
bt.save()
return jsonpify(dict(
result=1,
message='Backtest successfully calculated',
backtest=dict(
id=bt.id
)
))
end = int(time())
if args.till is not None:
end = int(args.till)
end -= end % 60
begin = end - INTERVALS[args.goback]
begin_with_offset = begin - 1440 * 60 * 40
print(f'Start RT backtest')
print(
f'Period: {tsToTime(begin)} -> {tsToTime(end)}, wOffset: {tsToTime(begin_with_offset)}'
)
ts = time()
rates = RateLoader().fetchPeriods(args.pair, begin_with_offset, end,
[1]).getSdf(args.pair, 1)
print(f'Rates loaded (~{len(rates)}) in {round(time()-ts, 3)}s')
generator = GenCustom('btc_usd', rates, begin, end, params)
backtests = []
ts = time()
pool = Pool(processes=8, maxtasksperchild=10)
backtests = pool.starmap(calculate, generator.getItems())
pool.close()
pool.join()
#for item in generator.getItems():
# backtests.append(calculate(*item))