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improve backtest cmd

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This commit is contained in:
c9s 2020-11-10 14:19:11 +08:00
parent 941c93794c
commit 923fea0d94
1 changed files with 59 additions and 10 deletions
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67
pkg/cmd/backtest.go
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@ -30,18 +30,11 @@ var BacktestCmd = &cobra.Command{
Short: "backtest your strategies",
SilenceUsage: true,
RunE: func(cmd *cobra.Command, args []string) error {
log.SetLevel(log.ErrorLevel)
verboseCnt, err := cmd.Flags().GetCount("verbose")
if err != nil {
return err
}
if verboseCnt == 2 {
log.SetLevel(log.DebugLevel)
} else if verboseCnt > 0 {
log.SetLevel(log.InfoLevel)
}
configFile, err := cmd.Flags().GetString("config")
if err != nil {
return err
@ -51,7 +44,6 @@ var BacktestCmd = &cobra.Command{
return errors.New("--config option is required")
}
wantSync, err := cmd.Flags().GetBool("sync")
if err != nil {
return err
@ -96,7 +88,6 @@ var BacktestCmd = &cobra.Command{
}
backtestService := &service.BacktestService{DB: db}
backtestExchange := backtest.NewExchange(exchangeName, backtestService, userConfig.Backtest)
if wantSync {
@ -108,6 +99,7 @@ var BacktestCmd = &cobra.Command{
}
environ := bbgo.NewEnvironment()
environ.SetStartTime(startTime)
environ.AddExchange(exchangeName.String(), backtestExchange)
environ.Notifiability = bbgo.Notifiability{
@ -117,9 +109,19 @@ var BacktestCmd = &cobra.Command{
}
trader := bbgo.NewTrader(environ)
if verboseCnt == 2 {
log.SetLevel(log.DebugLevel)
} else if verboseCnt > 0 {
log.SetLevel(log.InfoLevel)
} else {
// default mode, disable strategy logging and order executor logging
log.SetLevel(log.ErrorLevel)
trader.DisableLogging()
}
if userConfig.RiskControls != nil {
log.Infof("setting risk controls: %+v", userConfig.RiskControls)
trader.SetRiskControls(userConfig.RiskControls)
}
@ -138,11 +140,35 @@ var BacktestCmd = &cobra.Command{
<-backtestExchange.Done()
// put the logger back to print the pnl
log.SetLevel(log.InfoLevel)
for _, session := range environ.Sessions() {
calculator := &pnl.AverageCostCalculator{
TradingFeeCurrency: backtestExchange.PlatformFeeCurrency(),
}
for symbol, trades := range session.Trades {
market, ok := session.Market(symbol)
if !ok {
return fmt.Errorf("market not found: %s", symbol)
}
marketDataStore, ok := session.MarketDataStore(symbol)
if !ok {
return fmt.Errorf("market data store not found: %s", symbol)
}
klines, ok := marketDataStore.KLinesOfInterval(types.Interval1d)
if !ok {
return fmt.Errorf("klines not found: %s", types.Interval1d)
}
firstKLine := klines[0]
startPrice := firstKLine.Open
log.Infof("%s PROFIT AND LOSS REPORT", symbol)
log.Infof("===============================================")
lastPrice, ok := session.LastPrice(symbol)
if !ok {
return fmt.Errorf("last price not found: %s", symbol)
@ -150,9 +176,32 @@ var BacktestCmd = &cobra.Command{
report := calculator.Calculate(symbol, trades, lastPrice)
report.Print()
initBalances := userConfig.Backtest.Account.Balances.BalanceMap()
finalBalances := session.Account.Balances()
log.Infof("INITIAL BALANCES:")
initBalances.Print()
log.Infof("FINAL BALANCES:")
finalBalances.Print()
initBaseAsset := InBaseAsset(initBalances, market, startPrice)
finalBaseAsset := InBaseAsset(finalBalances, market, lastPrice)
log.Infof("INITIAL ASSET ~= %s %s (1 %s = %f)", market.FormatQuantity(initBaseAsset), market.BaseCurrency, market.BaseCurrency, startPrice)
log.Infof("FINAL ASSET ~= %s %s (1 %s = %f)", market.FormatQuantity(finalBaseAsset), market.BaseCurrency, market.BaseCurrency, lastPrice)
log.Infof("%s BASE ASSET PERFORMANCE: %.2f%% (= (%.2f - %.2f) / %.2f)", symbol, (finalBaseAsset-initBaseAsset)/initBaseAsset*100.0, finalBaseAsset, initBaseAsset, initBaseAsset)
log.Infof("%s PERFORMANCE: %.2f%% (= (%.2f - %.2f) / %.2f)", symbol, (lastPrice-startPrice)/startPrice*100.0, lastPrice, startPrice, startPrice)
}
}
return nil
},
}
func InBaseAsset(balances types.BalanceMap, market types.Market, price float64) float64 {
quote := balances[market.QuoteCurrency]
base := balances[market.BaseCurrency]
return (base.Locked.Float64() + base.Available.Float64()) + ((quote.Locked.Float64() + quote.Available.Float64()) / price)
}