def test_validate_backtest_base_balance():
mock_backtest = {"base_balance": 1000}
backtest_mirror = validate_backtest(mock_backtest)
assert backtest_mirror["base_balance"] is None
mock_backtest = {"base_balance": "1000"}
backtest_mirror = validate_backtest(mock_backtest)
assert backtest_mirror["base_balance"] is None
mock_backtest = {"base_balance": "1000.0"}
backtest_mirror = validate_backtest(mock_backtest)
assert backtest_mirror["base_balance"] is None
mock_backtest = {"base_balance": 1000.0}
backtest_mirror = validate_backtest(mock_backtest)
assert backtest_mirror["base_balance"] is None
def test_validate_backtest_empty_1():
mock_backtest = {}
backtest_mirror = validate_backtest(mock_backtest)
assert backtest_mirror["datapoints"]["error"] is True
assert backtest_mirror["exit"]["error"] is True
assert backtest_mirror["enter"]["error"] is True
def test_validate_basic_invalid():
mock_backtest = {
"base_balance": "c1000",
"chart_period": "1Min22",
}
backtest_mirror = validate_backtest(mock_backtest)
assert backtest_mirror["base_balance"].get("error") is True
assert backtest_mirror["chart_period"].get("error") is True
def run_backtest(backtest: dict,
ohlcv_path: str = "",
df: pd.DataFrame = None,
summary=True):
"""
Parameters
backtest: dict, required, object containing the logic to test and other details
ohlcv_path: string or list, required, where to find the csv file of the ohlcv data
df: pandas dataframe indexed by date
Returns
dict
summary dict, summary of the performace of backtest
df dataframe, object used in the backtest
trade_log, dataframe of all the rows where transactions happened
"""
try:
perf_start_time = datetime.datetime.utcnow()
new_backtest = prepare_new_backtest(backtest)
if ohlcv_path:
df = build_data_frame(backtest, ohlcv_path)
df = apply_backtest_to_df(df, new_backtest)
if summary:
summary, trade_log = build_summary(df, perf_start_time,
new_backtest)
else:
perf_stop_time = datetime.datetime.utcnow()
summary = {
"test_duration":
(perf_stop_time - perf_start_time).total_seconds()
}
trade_log = None
return {
"summary": summary,
"df": df,
"trade_df": trade_log,
"backtest": new_backtest,
}
except Exception as e:
return {
"summary": None,
"df": None,
"trade_df": None,
"backtest": None,
"error": e,
"backtest_validation": validate_backtest(backtest),
}
def test_validate_data_points_invalid_name():
mock_datapoints = [
{
"args": [30],
"transformer": "ema",
"name": ""
},
]
mock_backtest = {"datapoints": mock_datapoints}
backtest_mirror = validate_backtest(mock_backtest)
assert backtest_mirror["datapoints"].get("error") is True
def test_validate_data_points_invalid():
mock_datapoints = [
{
"args": [30],
"transformer": "fake_news_transformer",
"name": "sma_short"
},
]
mock_backtest = {"datapoints": mock_datapoints}
backtest_mirror = validate_backtest(mock_backtest)
assert backtest_mirror["datapoints"].get("error") is True
def test_validate_data_points_valid():
mock_datapoints = [
{
"args": [30],
"transformer": "sma",
"name": "sma_short"
},
]
mock_backtest = {"datapoints": mock_datapoints}
backtest_mirror = validate_backtest(mock_backtest)
assert backtest_mirror["datapoints"] is None
def test_validate_enter_logic_valid():
mock_datapoints = [
{
"args": [30],
"transformer": "sma",
"name": "sma_short"
},
]
mock_enter_logic = [["close", ">", "sma_short"]]
mock_backtest = {"datapoints": mock_datapoints, "enter": mock_enter_logic}
backtest_mirror = validate_backtest(mock_backtest)
assert backtest_mirror["datapoints"] is None
def test_validate_enter_logic_invalid_1():
mock_datapoints = [
{
"args": [30],
"transformer": "sma",
"name": "sma_short"
},
]
mock_enter_logic = [["close", ">", "sma_shortee"]]
mock_backtest = {"datapoints": mock_datapoints, "enter": mock_enter_logic}
backtest_mirror = validate_backtest(mock_backtest)
assert backtest_mirror["enter"].get("error") is True
def test_validate_any_exit_logic_invalid_1():
mock_datapoints = [
{
"args": [30],
"transformer": "sma",
"name": "wtf"
},
]
mock_exit_logic = [["close", ">", "no name here"]]
mock_backtest = {
"datapoints": mock_datapoints,
"exit": [],
"enter": [],
"any_exit": mock_exit_logic
}
backtest_mirror = validate_backtest(mock_backtest)
print(backtest_mirror)
assert backtest_mirror["any_exit"].get("error") is True
def main():
parser = argparse.ArgumentParser(
description="Fast Trade CLI",
prog="ft",
)
sub_parsers = parser.add_subparsers()
# build the argement parser downloading stuff
default_archive_path = os.path.join(os.getcwd(), "archive")
default_end_date = datetime.datetime.utcnow()
default_start_date = default_end_date - datetime.timedelta(days=30)
download_parser = sub_parsers.add_parser("download", help="download data")
download_parser.add_argument("symbol", help="symbol to download", type=str)
download_parser.add_argument(
"--archive",
help="path to directory to serve as the 'archive'",
type=str,
default=default_archive_path,
)
download_parser.add_argument(
"--start",
help=
"first date to start downloading data from. Recently Listed coins might not have a lot of data.",
type=str,
default=default_start_date.strftime("%Y-%m-%d"),
)
download_parser.add_argument(
"--end",
help="Last date to download data. Defaults to today.",
type=str,
default=default_end_date.strftime("%Y-%m-%d"),
)
download_parser.add_argument(
"--exchange",
help="Which exchange to download data from. Defaults to binance.com",
type=str,
default="binance.com",
choices=["binance.com", "binance.us"],
)
backtest_parser = sub_parsers.add_parser("backtest",
help="backtest a strategy")
backtest_parser.add_argument(
"strategy",
help="path to strategy file",
type=str,
)
backtest_parser.add_argument("data",
help="path to data file for kline data.")
backtest_parser.add_argument("--mods",
help="Modifiers for strategy/backtest",
nargs="*")
backtest_parser.add_argument(
"--save",
help="save the backtest results to a directory",
action="store_true",
default=False,
)
backtest_parser.add_argument(
"--plot",
help="plot the backtest results",
action="store_true",
default=False,
)
validate_backtest_parser = sub_parsers.add_parser(
"validate", help="validate a strategy file")
validate_backtest_parser.add_argument(
"strategy",
help="path to strategy file",
type=str,
)
validate_backtest_parser.add_argument(
"--mods", help="Modifiers for strategy/backtest", nargs="*")
args = parser.parse_args()
command = sys.argv[1]
if command == "download":
update_symbol_data(args.symbol, args.start, args.end, args.archive,
args.exchange)
if command == "backtest":
# match the mods to the kwargs
strat_obj = open_strat_file(args.strategy)
if not strat_obj:
print("Could not open strategy file: {}".format(args.strategy))
sys.exit(1)
if args.mods:
mods = {}
i = 0
while i < len(args.mods):
mods[args.mods[i]] = args.mods[i + 1]
i += 2
strat_obj = {**strat_obj, **mods}
backtest = run_backtest(strat_obj, data_path=args.data)
if args.save:
save(backtest, backtest["backtest"])
if args.plot:
create_plot(backtest["df"])
plt.show()
print(backtest)
pprint(backtest["summary"])
if command == "validate":
strat_obj = open_strat_file(args.strategy)
if args.mods:
mods = {}
i = 0
while i < len(args.mods):
mods[args.mods[i]] = args.mods[i + 1]
i += 2
strat_obj = {**strat_obj, **mods}
backtest = validate_backtest(strat_obj)
pprint(backtest)
"args": [30],
"transformer": "sma",
"name": "sma_shorst"
},
{
"args": [90],
"transformer": "sma",
"name": "sma_long"
},
],
"enter": [["close", ">", "sma_long_wrong"], ["close", ">", "sma_short"]],
"exit": [["close", "<", "sma_short"], ["close", "<", 5]],
"trailing_stop_loss":
0.05,
"exit_on_end":
False,
}
if __name__ == "__main__":
# datafile = "./BTCUSDT.csv"
datafile = "./BTCUSDT.csv"
tmp_start = datetime.datetime.utcnow()
# backtest = generate_backtest()
# print("backtest: ",json.dumps(backtest, indent=2)
# test = run_backtest(backtest, ohlcv_path=datafile, summary=True)
res = validate_backtest(backtest)
print(res)
# print(backtest["enter"])
# print(test["trade_df"]) .
# print(json.dumps(test["summary"], indent=2))
def main():
if len(sys.argv) < 2:
print(format_all_help_text())
return
command = sys.argv[1]
args = parse_args(sys.argv[2:])
if command == "backtest":
# check for help
if "help" in args.keys():
print(format_command(command))
return
strat_obj = open_strat_file(args["backtest"])
strat_obj = {**strat_obj, **args}
if args.get("data", "").endswith(".csv"):
# use a csv file
data = args["data"]
res = run_backtest(strat_obj, ohlcv_path=data)
else:
# load from the archive
archive = args.get("archive", "./archive")
archive_df = load_archive_to_df(strat_obj["symbol"], archive)
archive_df = prepare_df(archive_df, strat_obj)
res = run_backtest(strat_obj, df=archive_df)
if res["summary"]:
print(json.dumps((res["summary"]), indent=2))
else:
print("There was an error:")
print(json.dumps((res["backtest_validation"]), indent=2))
if args.get("save"):
save(res, strat_obj)
if args.get("plot"):
create_plot(res["df"])
plt.show()
return
if command == "help":
print(format_all_help_text())
return
if command == "download":
default_end = (
datetime.datetime.utcnow() + datetime.timedelta(days=1)
).strftime("%Y-%m-%d")
symbol = args.get("symbol", "BTCUSDT")
arc_path = args.get("archive", "./archive/")
start_date = args.get("start", "2017-01-01")
end_date = args.get("end", default_end)
exchange = args.get("exchange", "binance.com")
update_symbol_data(symbol, start_date, end_date, arc_path, exchange)
print("Done downloading ", symbol)
return
if command == "validate":
print("args: ",args)
backtest = open_strat_file(args["backtest"])
if not backtest:
print("backtest not found! ")
return
print("backtest: ",backtest)
backtest = {**backtest, **args}
res = validate_backtest(backtest)
print(json.dumps(res, indent=2))
return
print("Command not found")
print(format_all_help_text())
0,
"datapoints": [{
"args": [14],
"name": "er",
"transformer": "er"
}, {
"args": [13],
"name": "zlema",
"transformer": "zlema"
}],
"enter": [["zlema", ">", "close", 1]],
"exit": [["er", "<", 0, 1]],
"exit_on_end":
False,
"start":
"2021-01-01 22:30:00",
"stop":
"2021-03-11 23:30:59",
"trailing_stop_loss":
0
}
if __name__ == "__main__":
# datafile = "./BTCUSDT.csv"
datafile = "./archive/BTCUSDT_2021.csv"
# test = run_backtest(backtest, ohlcv_path=datafile, summary=True)
# print(test["summary"])
errors = validate_backtest(backtest)
print(errors)