refine the back-testing doc

README.md

@@ -118,24 +118,6 @@ To calculate pnl:
 bbgo pnl --exchange binance --asset BTC --since "2019-01-01"
 ```
 
-## Backtesting
-
-To sync remote exchange klines data for backtesting:
-
-```sh
-bbgo backtest --exchange binance -v --sync --sync-only --sync-from 2020-01-01
-```
-
-To run backtest:
-
-```sh
-bbgo backtest --exchange binance --base-asset-baseline
-```
-
-Note on date formats, the following date formats are supported:
-* RFC3339, which looks like `2006-01-02T15:04:05Z07:00`
-* RFC822, which looks like `02 Jan 06 15:04 MST`
-* You can also use `2021-11-26T15:04:56`
 
 ## Advanced Configuration
 
@@ -219,6 +201,10 @@ vim config/buyandhold.yaml
 bbgo run --config config/buyandhold.yaml
 ```
 
+## Back-testing
+
+See [Back-testing](./doc/topics/back-testing.md)
+
 ## Adding New Built-in Strategy
 
 Fork and clone this repository, Create a directory under `pkg/strategy/newstrategy`, write your strategy

doc/topics/back-testing.md

@@ -0,0 +1,61 @@
+## Back-testing
+
+First, you need to add the back-testing config to your `bbgo.yaml`:
+
+```yaml
+backtest:
+  # your back-test will start at the 2021-01-10, be sure to sync the data before 2021-01-10 
+  # because some indicator like EMA needs more data to calculate the current EMA value.
+  startTime: "2021-01-10"
+
+  # your back-test will end at the 2021-01-10
+  endTime: "2021-01-21"
+  
+  # the symbol data that you want to sync and back-test
+  symbols:
+  - BTCUSDT
+  
+  account:
+    # the initial account balance you want to start with
+    balances:
+      BTC: 0.0
+      USDT: 10000.0
+```
+
+Note on date formats, the following date formats are supported:
+* RFC3339, which looks like `2006-01-02T15:04:05Z07:00`
+* RFC822, which looks like `02 Jan 06 15:04 MST`
+* You can also use `2021-11-26T15:04:56`
+
+And then, you can sync remote exchange k-lines (candle bars) data for back-testing:
+
+```sh
+bbgo backtest --exchange binance -v --sync --sync-only --sync-from 2020-11-01 --config config/grid.yaml
+```
+
+Note that, you should sync from an earlier date before your startTime, here we sync one month before `2021-01-10`.
+
+- `--sync` - sync the data to the latest data point before we start the back-test.
+- `--sync-only` - only the back-test data syncing will be executed. do not run back-test.
+- `--sync-from` - sync the data from a specific endpoint. note that, once you've start the sync, you can not simply add more data before the initial date.
+- `-v` - verbose message output
+- `--config config/grid.yaml` - use a specific config file instead of the default config file `./bbgo.yaml`
+
+Run back-test:
+
+```sh
+bbgo backtest --exchange binance --base-asset-baseline --config config/grid.yaml
+```
+
+If you're developing a strategy, you might want to start with a command like this:
+
+```shell
+godotenv -f .env.local -- go run ./cmd/bbgo backtest --exchange max --sync-from 2020-11-01 --config config/grid.yaml --base-asset-baseline
+```
+
+## See Also
+
+If you want to test the max draw down (MDD) you can adjust the start date to somewhere near 2020-03-12
+
+See <https://www.investopedia.com/terms/m/maximum-drawdown-mdd.asp>
+