mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-22 23:05:15 +00:00
70 lines
2.3 KiB
Markdown
70 lines
2.3 KiB
Markdown
## Back-testing
|
|
|
|
*Before you start back-testing, you need to setup [MySQL](../../README.md#configure-mysql-database) or [SQLite3
|
|
](../../README.md#configure-sqlite3-database). Using MySQL is highly recommended.*
|
|
|
|
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
|
|
|
|
sessions:
|
|
- binance
|
|
|
|
accounts:
|
|
# the initial account balance you want to start with
|
|
binance: # exchange name
|
|
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 -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 because some indicator like EMA needs more data to calculate the current EMA value.
|
|
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 --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 --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>
|
|
|