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refine the back-testing doc

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README.md
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@ -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

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doc/topics/back-testing.md Normal file
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@ -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>