def set_up():
reset_config()
config['app']['trading_exchanges'] = [
exchanges.SANDBOX, exchanges.BITFINEX
]
config['app']['trading_symbols'] = ['BTCUSD', 'ETHUSD']
store.reset()
def test_backtesting_three_routes():
reset_config()
router.set_routes([
(exchanges.SANDBOX, 'BTCUSD', timeframes.MINUTE_5, 'Test19'),
(exchanges.SANDBOX, 'ETHUSD', timeframes.MINUTE_5, 'Test19'),
(exchanges.SANDBOX, 'XRPUSD', timeframes.MINUTE_15, 'Test19'),
])
store.reset(True)
candles = {}
routes = router.routes
for r in routes:
key = jh.key(r.exchange, r.symbol)
candles[key] = {
'exchange': r.exchange,
'symbol': r.symbol,
'candles': fake_range_candle(5 * 3 * 20)
}
# assert that strategy hasn't been initiated before running backtest_mode()
assert r.strategy is None
# run backtest (dates are fake just to pass)
backtest_mode.run('2019-04-01', '2019-04-02', candles)
# there must be three positions present with the updated current_price
assert len(store.positions.storage) == 3
for r in routes:
# r3's '15m' timeframe makes r1 and r2 to support
# '15' timeframe as well. r1 and r2 also make r3
# to support '5m' timeframe also.
r_one_min = store.candles.get_candles(r.exchange, r.symbol, '1m')
r_five_min = store.candles.get_candles(r.exchange, r.symbol, '5m')
r_fifteen_min = store.candles.get_candles(r.exchange, r.symbol, '15m')
# assert the count of present candles
assert len(r_one_min) == (5 * 3) * 20
assert len(r_five_min) == 20 * 3
assert len(r_fifteen_min) == 20
r_first_1 = r_one_min[0]
r_last_1 = r_one_min[-1]
r_first_5 = r_five_min[0]
r_last_5 = r_five_min[-1]
r_first_15 = r_fifteen_min[0]
r_last_15 = r_fifteen_min[-1]
# assert timestamps
assert r_first_1[0] == r_first_5[0]
assert r_last_1[0] == (r_last_5[0] + 60000 * 4)
assert r_last_5[0] == (r_last_15[0] + 60000 * 10)
# assert positions
p = selectors.get_position(r.exchange, r.symbol)
assert p.is_close is True
last_candle = store.candles.get_candles(r.exchange, r.symbol, '1m')[-1]
assert p.current_price == last_candle[2]
# assert that the strategy has been initiated
assert r.strategy is not None
def set_up(count=2):
reset_config()
config['app']['considering_timeframes'] = ['1m', '5m']
config['app']['considering_symbols'] = ['BTCUSD']
config['app']['considering_exchanges'] = ['Sandbox']
store.reset()
store.candles.init_storage(count)
def test_forming_candles():
reset_config()
router.set_routes([(exchanges.SANDBOX, 'BTC-USDT', timeframes.MINUTE_5,
'Test19')])
router.set_extra_candles([(exchanges.SANDBOX, 'BTC-USDT',
timeframes.MINUTE_15)])
store.reset(True)
candles = {}
key = jh.key(exchanges.SANDBOX, 'BTC-USDT')
candles[key] = {
'exchange': exchanges.SANDBOX,
'symbol': 'BTC-USDT',
'candles': test_candles_0
}
backtest_mode.run('2019-04-01', '2019-04-02', candles)
# use math.ceil because it must include forming candle too
assert len(
store.candles.get_candles(exchanges.SANDBOX, 'BTC-USDT',
timeframes.MINUTE_5)) == math.ceil(1382 / 5)
assert len(
store.candles.get_candles(exchanges.SANDBOX, 'BTC-USDT',
timeframes.MINUTE_15)) == math.ceil(1382 /
15)
def set_up():
reset_config()
config['app']['considering_exchanges'] = [exchanges.SANDBOX]
config['app']['trading_exchanges'] = [exchanges.SANDBOX]
config['app']['trading_symbols'] = ['BTC-USD']
config['app']['trading_timeframes'] = ['5m']
store.reset()
def set_up_without_fee(is_margin_trading=False):
reset_config()
config['env']['exchanges'][exchanges.SANDBOX]['type'] = 'margin'
config['env']['exchanges'][exchanges.SANDBOX]['fee'] = 0
config['env']['exchanges'][exchanges.SANDBOX]['assets'] = [
{
'asset': 'USDT',
'balance': 1000
},
{
'asset': 'BTC',
'balance': 0
},
]
if is_margin_trading:
# used only in margin trading
config['env']['exchanges'][exchanges.SANDBOX]['type'] = 'margin'
config['env']['exchanges'][
exchanges.SANDBOX]['settlement_currency'] = 'USDT'
config['app']['trading_mode'] = 'backtest'
config['app']['considering_exchanges'] = ['Sandbox']
router.set_routes([(exchanges.SANDBOX, 'BTC-USDT', '5m', 'Test19')])
store.reset(True)
global position
global exchange
position = selectors.get_position(exchanges.SANDBOX, 'BTC-USDT')
position.current_price = 50
exchange = selectors.get_exchange(exchanges.SANDBOX)
def set_up_with_fee(is_futures_trading=False):
reset_config()
config['env']['exchanges'][exchanges.SANDBOX]['fee'] = 0.002
config['env']['exchanges'][exchanges.SANDBOX]['assets'] = [
{
'asset': 'USDT',
'balance': 1000
},
{
'asset': 'BTC',
'balance': 0
},
]
if is_futures_trading:
# used only in futures trading
config['env']['exchanges'][exchanges.SANDBOX]['type'] = 'futures'
else:
config['env']['exchanges'][exchanges.SANDBOX]['type'] = 'spot'
config['env']['exchanges'][
exchanges.SANDBOX]['settlement_currency'] = 'USDT'
config['app']['trading_mode'] = 'backtest'
config['app']['considering_exchanges'] = ['Sandbox']
router.set_routes([(exchanges.SANDBOX, 'BTC-USDT', '5m', 'Test19')])
store.reset(True)
global position
global exchange
global broker
position = selectors.get_position(exchanges.SANDBOX, 'BTC-USDT')
position.current_price = 50
exchange = selectors.get_exchange(exchanges.SANDBOX)
broker = Broker(position, exchanges.SANDBOX, 'BTC-USDT',
timeframes.MINUTE_5)
def set_up(routes, fee=0):
reset_config()
config['env']['exchanges'][exchanges.SANDBOX]['starting_balance'] = 10000
config['env']['exchanges'][exchanges.SANDBOX]['fee'] = fee
router.set_routes(routes)
router.set_extra_candles([])
store.reset(True)
def test_forming_candles():
reset_config()
routes = [{
'exchange': exchanges.SANDBOX,
'symbol': 'BTC-USDT',
'timeframe': timeframes.MINUTE_5,
'strategy': 'Test19'
}]
extra_routes = [{
'exchange': exchanges.SANDBOX,
'symbol': 'BTC-USDT',
'timeframe': timeframes.MINUTE_15
}]
candles = {}
key = jh.key(exchanges.SANDBOX, 'BTC-USDT')
candles[key] = {
'exchange': exchanges.SANDBOX,
'symbol': 'BTC-USDT',
'candles': test_candles_0
}
backtest_mode.run(False, {}, routes, extra_routes, '2019-04-01',
'2019-04-02', candles)
# use math.ceil because it must include forming candle too
assert len(
store.candles.get_candles(exchanges.SANDBOX, 'BTC-USDT',
timeframes.MINUTE_5)) == math.ceil(1382 / 5)
assert len(
store.candles.get_candles(exchanges.SANDBOX, 'BTC-USDT',
timeframes.MINUTE_15)) == math.ceil(1382 /
15)
def set_up(is_futures_trading=True,
leverage=1,
leverage_mode='cross',
zero_fee=False):
reset_config()
config['env']['exchanges'][exchanges.SANDBOX]['assets'] = [
{
'asset': 'USDT',
'balance': 10_000
},
{
'asset': 'BTC',
'balance': 0
},
{
'asset': 'ETH',
'balance': 0
},
]
if zero_fee:
config['env']['exchanges']['Sandbox']['fee'] = 0
if is_futures_trading:
# used only in futures trading
config['env']['exchanges'][exchanges.SANDBOX]['type'] = 'futures'
config['env']['exchanges'][
exchanges.SANDBOX]['futures_leverage_mode'] = leverage_mode
config['env']['exchanges'][
exchanges.SANDBOX]['futures_leverage'] = leverage
else:
config['env']['exchanges'][exchanges.SANDBOX]['type'] = 'spot'
def set_up(routes=None,
is_futures_trading=True,
leverage=1,
leverage_mode='cross'):
reset_config()
config['env']['exchanges'][exchanges.SANDBOX]['assets'] = [
{
'asset': 'USDT',
'balance': 10_000
},
{
'asset': 'BTC',
'balance': 0
},
{
'asset': 'ETH',
'balance': 0
},
]
if is_futures_trading:
# used only in futures trading
config['env']['exchanges'][exchanges.SANDBOX]['type'] = 'futures'
config['env']['exchanges'][
exchanges.SANDBOX]['futures_leverage_mode'] = leverage_mode
config['env']['exchanges'][
exchanges.SANDBOX]['futures_leverage'] = leverage
else:
config['env']['exchanges'][exchanges.SANDBOX]['type'] = 'spot'
if routes:
router.set_routes(routes)
store.reset(True)
def set_up():
"""
"""
reset_config()
config['app']['considering_candles'] = [('Sandbox', 'BTCUSD')]
store.reset()
store.trades.init_storage()
def set_up(routes):
"""
:param routes:
"""
reset_config()
router.set_routes(routes)
store.reset(True)
def set_up(routes, is_margin_trading=True):
reset_config()
if is_margin_trading:
# used only in margin trading
config['env']['exchanges'][exchanges.SANDBOX]['type'] = 'margin'
else:
config['env']['exchanges'][exchanges.SANDBOX]['type'] = 'spot'
router.set_routes(routes)
store.reset(True)
def set_up():
"""
"""
reset_config()
config['app']['considering_exchanges'] = [exchanges.SANDBOX]
config['app']['trading_exchanges'] = [exchanges.SANDBOX]
config['env']['exchanges'][exchanges.SANDBOX]['starting_balance'] = 2000
store.reset()
def set_up():
reset_config()
config['app']['considering_exchanges'] = [exchanges.SANDBOX]
config['env']['exchanges'][exchanges.SANDBOX]['fee'] = 0
config['env']['exchanges'][exchanges.SANDBOX]['starting_balance'] = 1000
config['app']['trading_exchanges'] = [exchanges.SANDBOX]
config['app']['trading_symbols'] = ['BTCUSD']
config['app']['trading_timeframes'] = ['5m']
store.reset()
def test_backtesting_one_route():
reset_config()
router.set_routes([
(exchanges.SANDBOX, 'BTC-USDT', timeframes.MINUTE_5, 'Test19')
])
config['env']['exchanges'][exchanges.SANDBOX]['type'] = 'margin'
store.reset(True)
candles = {}
key = jh.key(exchanges.SANDBOX, 'BTC-USDT')
candles[key] = {
'exchange': exchanges.SANDBOX,
'symbol': 'BTC-USDT',
'candles': fake_range_candle(5 * 20)
}
routes = router.routes
# assert that strategy hasn't been initiated before running backtest_mode()
assert routes[0].strategy is None
# run backtest (dates are fake just to pass)
backtest_mode.run('2019-04-01', '2019-04-02', candles)
one_min = store.candles.get_candles(exchanges.SANDBOX, 'BTC-USDT', '1m')
five_min = store.candles.get_candles(exchanges.SANDBOX, 'BTC-USDT', '5m')
# assert the count of present candles
assert len(five_min) == 20
assert len(one_min) == 20 * 5
first_1 = one_min[0]
last_1 = one_min[-1]
first_5 = five_min[0]
last_5 = five_min[-1]
# assert time in store
assert store.app.time == last_1[0] + 60000
# assert timestamps
assert first_1[0] == first_5[0]
assert last_1[0] == (last_5[0] + 60000 * 4)
# there must be only one positions present
assert len(store.positions.storage) == 1
p = selectors.get_position(exchanges.SANDBOX, 'BTC-USDT')
assert p.is_close
assert p.current_price == last_1[2]
assert p.current_price == last_5[2]
# assert routes
assert len(routes) == 1
assert routes[0].exchange == exchanges.SANDBOX
assert routes[0].symbol == 'BTC-USDT'
assert routes[0].timeframe == '5m'
assert routes[0].strategy_name == 'Test19'
# assert that the strategy has been initiated
assert routes[0].strategy is not None
def set_up():
reset_config()
config['app']['considering_exchanges'] = [exchanges.SANDBOX]
config['app']['trading_exchanges'] = [exchanges.SANDBOX]
config['env']['exchanges'][exchanges.SANDBOX]['assets'] = [{
'asset': 'USDT',
'balance': 2000
}]
store.reset()
def test_must_not_be_able_to_set_two_similar_routes():
reset_config()
router.set_routes([
(exchanges.SANDBOX, 'ETH-USDT', timeframes.MINUTE_5, 'Test01'),
(exchanges.SANDBOX, 'ETH-USDT', timeframes.MINUTE_30, 'Test02'),
])
with pytest.raises(Exception) as err:
store.reset(True)
assert str(err.value).startswith(
'each exchange-symbol pair can be traded only once')
def set_up(routes, fee=0):
reset_config()
config['env']['exchanges'][exchanges.SANDBOX]['assets'] = [
{'asset': 'USDT', 'balance': 1000},
{'asset': 'BTC', 'balance': 0},
]
config['env']['exchanges'][exchanges.SANDBOX]['type'] = 'margin'
config['env']['exchanges'][exchanges.SANDBOX]['fee'] = fee
router.set_routes(routes)
router.set_extra_candles([])
store.reset(True)
def set_up(routes, is_margin_trading=True):
reset_config()
config['env']['exchanges'][exchanges.SANDBOX]['assets'] = [
{'asset': 'USDT', 'balance': 10000},
{'asset': 'BTC', 'balance': 0},
{'asset': 'ETH', 'balance': 0},
]
if is_margin_trading:
# used only in margin trading
config['env']['exchanges'][exchanges.SANDBOX]['type'] = 'margin'
else:
config['env']['exchanges'][exchanges.SANDBOX]['type'] = 'spot'
router.set_routes(routes)
store.reset(True)
def set_up_with_fee():
reset_config()
config['env']['exchanges'][exchanges.SANDBOX]['fee'] = 0.002
config['env']['exchanges'][exchanges.SANDBOX]['starting_balance'] = 1000
config['app']['trading_mode'] = 'backtest'
config['app']['considering_exchanges'] = ['Sandbox']
router.set_routes([(exchanges.SANDBOX, 'BTCUSD', '5m', 'Test19')])
store.reset(True)
global position
global exchange
global broker
position = selectors.get_position(exchanges.SANDBOX, 'BTCUSD')
position.current_price = 50
exchange = selectors.get_exchange(exchanges.SANDBOX)
broker = Broker(position, exchanges.SANDBOX, 'BTCUSD', timeframes.MINUTE_5)
def set_up():
reset_config()
from jesse.routes import router
router.set_routes([{
'exchange': 'Sandbox',
'symbol': 'BTC-USD',
'timeframe': '1m',
'strategy': 'Test01'
}])
router.set_extra_candles([{
'exchange': 'Sandbox',
'symbol': 'BTC-USD',
'timeframe': '5m'
}])
config['app']['considering_timeframes'] = ['1m', '5m']
config['app']['considering_symbols'] = ['BTC-USD']
config['app']['considering_exchanges'] = ['Sandbox']
store.reset(True)
store.candles.init_storage()
def set_up(routes):
reset_config()
router.set_routes(routes)
store.reset(True)
def _isolated_backtest(config: dict,
routes: List[Dict[str, str]],
extra_routes: List[Dict[str, str]],
candles: dict,
run_silently: bool = True,
hyperparameters: dict = None) -> dict:
from jesse.services.validators import validate_routes
from jesse.modes.backtest_mode import simulator
from jesse.config import config as jesse_config, reset_config
from jesse.routes import router
from jesse.store import store
from jesse.config import set_config
from jesse.services import metrics
from jesse.services import required_candles
import jesse.helpers as jh
jesse_config['app']['trading_mode'] = 'backtest'
# inject (formatted) configuration values
set_config(_format_config(config))
# set routes
router.initiate(routes, extra_routes)
# register_custom_exception_handler()
validate_routes(router)
# TODO: further validate routes and allow only one exchange
# TODO: validate the name of the exchange in the config and the route? or maybe to make sure it's a supported exchange
# initiate candle store
store.candles.init_storage(5000)
# divide candles into warm_up_candles and trading_candles and then inject warm_up_candles
max_timeframe = jh.max_timeframe(
jesse_config['app']['considering_timeframes'])
warm_up_num = config['warm_up_candles'] * jh.timeframe_to_one_minutes(
max_timeframe)
trading_candles = candles
if warm_up_num != 0:
for c in jesse_config['app']['considering_candles']:
key = jh.key(c[0], c[1])
# update trading_candles
trading_candles[key]['candles'] = candles[key]['candles'][
warm_up_num:]
# inject warm-up candles
required_candles.inject_required_candles_to_store(
candles[key]['candles'][:warm_up_num], c[0], c[1])
# run backtest simulation
simulator(trading_candles, run_silently, hyperparameters)
result = {
'metrics': {
'total': 0,
'win_rate': 0,
'net_profit_percentage': 0
},
'charts': None,
'logs': None,
}
if store.completed_trades.count > 0:
# add metrics
result['metrics'] = metrics.trades(store.completed_trades.trades,
store.app.daily_balance)
# add charts
result['charts'] = charts.portfolio_vs_asset_returns()
# add logs
result['logs'] = store.logs.info
# reset store and config so rerunning would be flawlessly possible
reset_config()
store.reset()
return result
def set_up():
"""
"""
reset_config()
store.reset(True)
def set_up():
reset_config()
config['app']['considering_candles'] = [('Sandbox', 'BTC-USD')]
store.reset()
store.tickers.init_storage()
def test_backtesting_three_routes():
reset_config()
routes = [{
'exchange': exchanges.SANDBOX,
'symbol': 'BTC-USDT',
'timeframe': timeframes.MINUTE_5,
'strategy': 'Test19'
}, {
'exchange': exchanges.SANDBOX,
'symbol': 'ETH-USDT',
'timeframe': timeframes.MINUTE_5,
'strategy': 'Test19'
}, {
'exchange': exchanges.SANDBOX,
'symbol': 'XRP-USDT',
'timeframe': timeframes.MINUTE_15,
'strategy': 'Test19'
}]
config['env']['exchanges'][exchanges.SANDBOX]['type'] = 'futures'
candles = {}
for r in routes:
key = jh.key(r['exchange'], r['symbol'])
candles[key] = {
'exchange': r['exchange'],
'symbol': r['symbol'],
'candles': range_candles(5 * 3 * 20)
}
# run backtest (dates are fake just to pass)
backtest_mode.run(False, {}, routes, [], '2019-04-01', '2019-04-02',
candles)
# there must be three positions present with the updated current_price
assert len(store.positions.storage) == 3
for r in router.routes:
# r3's '15m' timeframe makes r1 and r2 to support
# '15' timeframe as well. r1 and r2 also make r3
# to support '5m' timeframe also.
r_one_min = store.candles.get_candles(r.exchange, r.symbol, '1m')
r_five_min = store.candles.get_candles(r.exchange, r.symbol, '5m')
r_fifteen_min = store.candles.get_candles(r.exchange, r.symbol, '15m')
# assert the count of present candles
assert len(r_one_min) == (5 * 3) * 20
assert len(r_five_min) == 20 * 3
assert len(r_fifteen_min) == 20
r_first_1 = r_one_min[0]
r_last_1 = r_one_min[-1]
r_first_5 = r_five_min[0]
r_last_5 = r_five_min[-1]
r_last_15 = r_fifteen_min[-1]
# assert timestamps
assert r_first_1[0] == r_first_5[0]
assert r_last_1[0] == (r_last_5[0] + 60000 * 4)
assert r_last_5[0] == (r_last_15[0] + 60000 * 10)
# assert positions
p = selectors.get_position(r.exchange, r.symbol)
assert p.is_close is True
last_candle = store.candles.get_candles(r.exchange, r.symbol, '1m')[-1]
assert p.current_price == last_candle[2]
# assert that the strategy has been initiated
assert r.strategy is not None
