120 lines
3.0 KiB
Go
120 lines
3.0 KiB
Go
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package cmd
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import (
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"encoding/json"
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"fmt"
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"git.qtrade.icu/coin-quant/base/common"
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"git.qtrade.icu/coin-quant/trade/pkg/ctl"
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log "github.com/sirupsen/logrus"
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"git.qtrade.icu/coin-quant/trade/pkg/report"
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"github.com/spf13/cobra"
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"github.com/spf13/viper"
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)
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var (
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scriptFile string
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rptFile string
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startStr string
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endStr string
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binSize string
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symbol string
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exchangeName string
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balanceInit float64
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param string
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loadOnce int
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fee float64
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lever float64
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simpleReport bool
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rptDB string
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)
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// backtestCmd represents the backtest command
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var backtestCmd = &cobra.Command{
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Use: "backtest",
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Short: "backtest with script",
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Long: `backtest a script between start and end`,
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Run: runBacktest,
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}
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func init() {
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rootCmd.AddCommand(backtestCmd)
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backtestCmd.PersistentFlags().StringVar(&scriptFile, "script", "", "script file to backtest")
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backtestCmd.PersistentFlags().StringVarP(&rptFile, "report", "o", "report.html", "output report html file path")
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backtestCmd.PersistentFlags().Float64VarP(&balanceInit, "balance", "", 100000, "init total balance")
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backtestCmd.PersistentFlags().StringVar(¶m, "param", "", "param json string")
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backtestCmd.PersistentFlags().IntVarP(&loadOnce, "load", "", 50000, "load db once limit")
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backtestCmd.PersistentFlags().Float64VarP(&fee, "fee", "", 0.0001, "fee")
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backtestCmd.PersistentFlags().Float64VarP(&lever, "lever", "", 1, "lever")
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backtestCmd.PersistentFlags().BoolVarP(&simpleReport, "console", "", false, "print report to console")
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backtestCmd.PersistentFlags().StringVarP(&rptDB, "reportDB", "d", "", "save all actions to sqlite db")
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initTimerange(backtestCmd)
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}
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func runBacktest(cmd *cobra.Command, args []string) {
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if scriptFile == "" {
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log.Fatal("strategy file can't be empty")
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return
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}
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startTime, endTime, err := parseTimerange()
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if err != nil {
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log.Fatal(err.Error())
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return
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}
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cfg := viper.GetViper()
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db, err := initDB(cfg)
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if err != nil {
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log.Fatal("init db failed:", err.Error())
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}
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r := report.NewReportSimple()
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back, err := ctl.NewBacktest(db, exchangeName, symbol, param, startTime, endTime)
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if err != nil {
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log.Fatal("init backtest failed:", err.Error())
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}
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back.SetScript(scriptFile)
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back.SetReporter(r)
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back.SetBalanceInit(balanceInit, fee)
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back.SetLoadDBOnce(loadOnce)
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back.SetLever(lever)
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err = back.Run()
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if err != nil {
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fmt.Println("run backtest error", err.Error())
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log.Fatal("run backtest error", err.Error())
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}
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if simpleReport {
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result, err := r.GetResult()
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if err != nil {
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return
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}
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// for _, v := range result.Actions {
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// fmt.Println(v.Time, v.Action, v.Amount, v.Price, v.Profit, v.TotalProfit)
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// }
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buf, err := json.Marshal(result)
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if err != nil {
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return
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}
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fmt.Println(string(buf))
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return
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}
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err = r.GenRPT(rptFile)
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if err != nil {
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return
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}
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if rptDB != "" {
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err = r.ExportToDB(rptDB)
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if err != nil {
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fmt.Println("export to DB failed:", err.Error())
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return
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}
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}
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err = common.OpenURL(rptFile)
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return
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}
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