def do_backtest(self, arg):
paramFlag = input('Use current parameters? ([y]/n): ')
if paramFlag is 'n':
# Change parameters here
bbFunctions.choose_parameters()
numLinesLog = bbFunctions.file_len(bbCfg.logFileName)
bbCfg.logFileNameBT = bbFunctions.getLogFileNameBT()
try:
numLinesLogBT = bbFunctions.file_len(bbCfg.logFileNameBT)
except:
numLinesLogBT = 0
if numLinesLogBT != numLinesLog:
bitbot.main('-b')
d,r=bbPerformance.getReturns(bbCfg.logFileNameBT, None, '2014-01-08', None)
bbPerformance.printSummary(r)
def do_calibrate(self, arg):
reload(bbCfg)
old_walkUp = bbCfg.walkUp
old_tradeFactor = bbCfg.tradeFactor
old_allinLimit = bbCfg.allinLimit
old_backupFund = bbCfg.backupFund
m = [0.9, 1.1]
result = []
numLinesLog = bbFunctions.file_len(bbCfg.logFileName)
for i in range(len(m)**4):
sys.stdout.write('|')
sys.stdout.write('\n')
for bbCfg.walkUp in [x * old_walkUp for x in m]:
for bbCfg.tradeFactor in [x * old_tradeFactor for x in m]:
for bbCfg.allinLimit in [x * old_allinLimit for x in m]:
for bbCfg.backupFund in [x * old_backupFund for x in m]:
bbCfg.logFileNameBT = bbFunctions.getLogFileNameBT()
try:
n = bbFunctions.file_len(bbCfg.logFileNameBT)
except:
n = 0
#bbFunctions.display_config()
sys.stdout.write('|')
sys.stdout.flush()
if n != numLinesLog:
bitbot.main('-b -q')
d,r=bbPerformance.getReturns(bbCfg.logFileNameBT,
None, '2014-01-08', None)
result.append([
bbCfg.walkUp,
bbCfg.tradeFactor,
bbCfg.allinLimit,
bbCfg.backupFund,
100*bbPerformance.totalReturn(r[:,3])])
print('')
result = np.array(result)
result = result[np.argsort(result[:, len(result[0])-1])]
print(' '.join('{0:>10}'.format(x) for x in ['walkUp', 'tradeFactor', 'allinLimit', 'backupFund', 'Return']))
for row in result[-10:]:
print(' '.join('{0:10.4}'.format(x) for x in row))
def main(argv=None):
testFlag, btFlag, quiet = argParser(argv)
# Use data from exchange
if btFlag == 0:
API = apiKraken.API(keyKraken, secKraken)
t = bbClasses.trader(bbCfg.logFileName)
# Backtest: Use data from logfile
else:
API = apiBacktest.API()
with open(bbCfg.logFileNameBT, 'w') as logBT:
logBT.write('Time,Bid,Ask,EUR,BTC,Trade,minPrice,maxPrice\n')
t = bbClasses.trader(bbCfg.logFileNameBT)
p = bbClasses.portfolio(100,0)
m = bbClasses.marketData('Null', 500, 500)
if btFlag == 1 and testFlag == 0 and not quiet:
# Progress bar
for i in range(bbFunctions.progressBarLength()):
sys.stdout.write('|')
sys.stdout.write('\n')
sys.stdout.flush
while True:
mainLoop(m, p, t, API, testFlag, btFlag, quiet)
if testFlag:
break
elif btFlag == 1 and API.line == bbFunctions.file_len(bbCfg.logFileName):
break
if not btFlag:
timeNow = datetime.datetime.now()
delay = (10 - (timeNow.minute)%10) * 60 - timeNow.second
time.sleep(delay)
if not quiet:
print('\n')
