def main(args):
load_config(args.config)
fiat = config.read_string('trading.fiat')
strategy = strategies[args.strategy](
fiat,
config.read_int('trading.interval'),
)
adapter = LiveMarketAdapter(MarketHistory(), fiat)
fund = Fund(strategy, adapter)
fund.run_live()
def backtests(
fund: Fund,
start_times: List[str]
) -> Iterable[List[float]]:
for i, start_time in enumerate(start_times[:-1]):
end_time = start_times[i + 1]
logger.info(f'Testing from {start_time} to {end_time}')
yield list(fund.run_backtest(start_time, end_time))
def test_strategy_step():
"""Strategies can step forward.
"""
fiat = 'BTC'
today = Timestamp('2017-05-01')
initial_balances = {fiat: 1.0}
strategy = BuffedCoinStrategy(fiat, 86400)
adapter = BacktestMarketAdapter(
fiat,
MarketHistoryMock(),
initial_balances,
)
fund = Fund(strategy, adapter)
new_value = fund.step(today)
assert new_value == 1318.21
def test_strategies_mixed_initial_balance(strategy_cls, expected):
"""Strategies should produce their expected values when starting with a
mixed portfolio.
"""
fiat = 'BTC'
start = '2017-05-01'
end = '2017-06-01'
initial_balances = {fiat: 1.0, 'ETH': 12.3, 'XRP': 5.3, 'LTC': 0.5}
strategy = strategy_cls(fiat, 86400)
adapter = BacktestMarketAdapter(
fiat,
MarketHistoryMock(),
initial_balances,
)
fund = Fund(strategy, adapter)
results = list(fund.run_backtest(start, end))
assert results == expected
def test_strategies(expected_results):
'''
Strategies should produce their expected values
'''
# The start and end of our test period
start = '2017-05-01'
end = '2017-06-01'
fiat = config.read_string('trading.fiat')
interval = config.read_int('trading.interval')
for expected in expected_results:
strategy = expected['strategy'](fiat, interval)
adapter = BacktestMarketAdapter(
MarketHistoryMock(),
{'BTC': 1.0},
fiat,
)
fund = Fund(strategy, adapter)
res = list(fund.begin_backtest(start, end))
# print(res)
assert res == expected['values']
def main(args):
load_config(args.config)
fiat = config.read_string('trading.fiat')
strategy = strategies[args.strategy](
fiat,
config.read_int('trading.interval'),
)
# TODO: Shouldn't be necessary to provide initial balances for live trading
adapter = PoloniexMarketAdapter(
fiat,
MarketHistory(),
{}, # Actual balances will be fetched from Poloniex
)
fund = Fund(strategy, adapter)
if args.force_rebalance is True:
confirm = input('Are you sure you want to rebalance your fund? [y/N] ')
if confirm.strip().lower() == 'y':
fund.force_rebalance_next_step = True
fund.run_live()
def test_strategy_force_rebalance():
"""Strategies can force a rebalance by passing `force_rebalance=True` into
`Fund::step`.
"""
fiat = 'BTC'
start = '2017-05-01'
end = '2017-05-20'
initial_balances = {fiat: 100, 'ETH': 3141.5926, 'XRP': 500}
strategy = BuffedCoinStrategy(fiat, 86400)
adapter_a = BacktestMarketAdapter(
fiat,
MarketHistoryMock(),
initial_balances.copy(),
)
fund_a = Fund(strategy, adapter_a)
adapter_b = BacktestMarketAdapter(
fiat,
MarketHistoryMock(),
initial_balances.copy(),
)
fund_b = Fund(strategy, adapter_b)
# First we'll run a backtest on *both* funds, and see that the final values
# are what we expect
results_a = list(fund_a.run_backtest(start, end))
results_b = list(fund_b.run_backtest(start, end))
assert results_a[-1] == 945757.92
assert results_b[-1] == 945757.92
ts = Timestamp('2017-06-01')
# Fund A steps without a rebalance, while B *does* rebalance
value_without_rebalance = fund_a.step(ts, force_rebalance=False)
value_with_rebalance = fund_b.step(ts, force_rebalance=True)
assert value_without_rebalance != value_with_rebalance
def main(args):
load_config(args.config)
fiat = config.read_string('trading.fiat')
strategy = strategies[args.strategy](
fiat,
config.read_int('trading.interval'),
)
adapter = BacktestMarketAdapter(
fiat,
MarketHistory(),
{'BTC': 1.0},
)
fund = Fund(strategy, adapter)
summary = evaluate(
fund,
'2017-01-01',
'2017-06-29',
duration_days=30,
window_distance_days=14,
)
print(summary)