def backtest(markets,
entry_funcs,
exit_funcs=[],
_date=[0, 0],
smas=var.default_smas,
emas=var.default_emas,
interval=var.default_interval,
plot=False,
to_file=True,
from_file=False,
exchange="bittrex",
base_market='BTC',
log_level=1,
mp_level="medium"):
'''
Backtests strategies.
Args:
markets(list): list with markets to backtest or empty to test all available markets.
entry_funcs(list): list of entry functions to test.
exit_funcs(list): list of entry functions to test.
_date(list): init and end point to backtest.
Ex: '1-1-2017 11:10'
smas(list): list of SMA values to use.
emas(list): list of EMA values to use.
interval(string): time between measures.
plot(bool): plot data.
to_file(bool): plot to file.
from_file(bool): get data from file.
base_market(string): base market to use.
log_level(int): log level - 0-2.
mp_level(string): multiprocessing level - [low, medium, high].
Returns:
bool: returns True in case of success.
log_level:
0 - Only presents total.
1 - Writes logs to file.
2 - Writes logs to file and prints on screen.
Default is 2.
'''
signal.signal(signal.SIGINT, signal_handler)
#global cached
if not from_file:
# Connects to DB.
try:
db_client = connect_db()
except Exception as e:
log(str(e), 0, log_level)
sys.exit(1)
else:
db_client = 0
# For all markets.
if not len(markets):
y = 'y' #raw_input("Want to run all markets? ")
if y == 'y':
if from_file:
markets = get_markets_on_files(interval, base=base_market)
else:
markets = get_markets_list(base_market, exchange)
else:
log("Without files to analyse.", 0, log_level)
# Prevents errors from markets and funcs as str.
if not isinstance(markets, list): markets = [markets]
if not isinstance(entry_funcs, list): entry_funcs = [entry_funcs]
if not isinstance(exit_funcs, list): exit_funcs = [exit_funcs]
# For selected markets.
if from_file:
markets = manage_files(markets, interval=interval)
log(str(len(markets)) + " files/chunks to analyse...", 1, log_level)
# Create a multiprocessing Pool
pool = Pool(num_processors(mp_level))
# Display information about pool.
total = pool.map(
partial(backtest_market, entry_funcs, exit_funcs, interval, _date,
smas, emas, from_file, to_file, plot, exchange, db_client,
log_level), markets)
pool.close()
pool.join()
log(" Total > " + str(sum(total)), 1, log_level)
for k in cached.keys():
if cached[k]['last'] < 1:
del cached[k]
else:
cached[k]['last'] = cached[k]['last'] - 1
return sum(total)
def test_num_processors(self):
self.assertEqual(aux.num_processors("low"), 1)
self.assertEqual(aux.num_processors(2), 2)
def backtest(markets,
entry_funcs,
exit_funcs=None,
_date=None,
smas=var.default_smas,
emas=var.default_emas,
interval=var.default_interval,
plot=False,
to_file=True,
from_file=False,
exchange="bittrex",
base_market='BTC',
mp_level="medium"):
"""
Backtests strategies.
Args:
markets(list): list with markets to backtest or empty to test all available markets.
entry_funcs(list): list of entry functions to test.
exit_funcs(list): list of entry functions to test.
_date(list): init and end point to backtest.
Ex: '1-1-2017 11:10'
smas(list): list of SMA values to use.
emas(list): list of EMA values to use.
interval(string): time between measures.
plot(bool): plot data.
to_file(bool): plot to file.
from_file(bool): get data from file.
exchange(string): Defines exchange.
base_market(string): base market to use.
mp_level(string): multiprocessing level - [low, medium, high].
Returns:
bool: returns True in case of success.
"""
if _date is None:
_date = [0, 0]
if exit_funcs is None:
exit_funcs = []
signal.signal(signal.SIGINT, signal_handler)
if not from_file:
# Tries connection to DB.
try:
db_client = connect_db()
except Exception as e:
log.exception(e)
sys.exit(1)
finally:
db_client.close()
# For all markets.
if not len(markets):
y = 'y' # raw_input("Want to run all markets? ")
if y == 'y':
if from_file:
markets = get_markets_on_files(interval, base=base_market)
else:
markets = get_markets_list(base_market, exchange)
else:
log.error("Without files to analyse.")
# Prevents errors from markets and funcs as str.
if not isinstance(markets, list):
markets = [markets]
if not isinstance(entry_funcs, list):
entry_funcs = [entry_funcs]
if not isinstance(exit_funcs, list):
exit_funcs = [exit_funcs]
# For selected markets.
if from_file:
markets = manage_files(markets, interval=interval)
log.debug(f"{str(len(markets))} files/chunks to analyse...")
# Create a multiprocessing Pool
pool = Pool(num_processors(mp_level))
# Display information about pool.
total = pool.map(
partial(backtest_market, entry_funcs, exit_funcs, interval, _date,
smas, emas, from_file, to_file, plot, exchange), markets)
pool.close()
pool.join()
log.info(f' Total > {sum(total)}')
if var.desktop_info:
desktop_notification({
'type': 'backtest',
'title': "Backtest completed",
'message': f'Result: {sum(total)}'
})
for k in cached.keys():
if cached[k]['last'] < 1:
del cached[k]
else:
cached[k]['last'] = cached[k]['last'] - 1
return sum(total)