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68 lines
2.5 KiB
Markdown
68 lines
2.5 KiB
Markdown
## Back-testing
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*Before you start back-testing, you need to setup [MySQL](../../README.md#configure-mysql-database) or [SQLite3
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](../../README.md#configure-sqlite3-database). Using MySQL is highly recommended.*
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First, you need to add the back-testing config to your `bbgo.yaml`:
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```yaml
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backtest:
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# your back-test will start at the 2021-01-10, be sure to sync the data before 2021-01-10
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# because some indicator like EMA needs more data to calculate the current EMA value.
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startTime: "2021-01-10"
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# your back-test will end at the 2021-01-10
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endTime: "2021-01-21"
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# the symbol data that you want to sync and back-test
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symbols:
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- BTCUSDT
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account:
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makerCommission: 15 # Commission rate of maker trade, in ‱, i.e., 1 means 0.01%
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takerCommission: 15 # Commission rate of taker trade, in ‱ i.e., 1 means 0.01%
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# the initial account balance you want to start with
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balances:
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BTC: 0.0
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USDT: 10000.0
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```
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Note on date formats, the following date formats are supported:
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* RFC3339, which looks like `2006-01-02T15:04:05Z07:00`
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* RFC822, which looks like `02 Jan 06 15:04 MST`
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* You can also use `2021-11-26T15:04:56`
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And then, you can sync remote exchange k-lines (candle bars) data for back-testing:
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```sh
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bbgo backtest --exchange binance -v --sync --sync-only --sync-from 2020-11-01 --config config/grid.yaml
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```
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Note that, you should sync from an earlier date before your startTime because some indicator like EMA needs more data to calculate the current EMA value.
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Here we sync one month before `2021-01-10`.
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- `--sync` - sync the data to the latest data point before we start the back-test.
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- `--sync-only` - only the back-test data syncing will be executed. do not run back-test.
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- `--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.
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- `-v` - verbose message output
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- `--config config/grid.yaml` - use a specific config file instead of the default config file `./bbgo.yaml`
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Run back-test:
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```sh
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bbgo backtest --exchange binance --base-asset-baseline --config config/grid.yaml
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```
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If you're developing a strategy, you might want to start with a command like this:
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```shell
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godotenv -f .env.local -- go run ./cmd/bbgo backtest --exchange binance --config config/grid.yaml --base-asset-baseline
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```
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## See Also
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If you want to test the max draw down (MDD) you can adjust the start date to somewhere near 2020-03-12
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See <https://www.investopedia.com/terms/m/maximum-drawdown-mdd.asp>
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