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94 lines
3.2 KiB
Markdown
94 lines
3.2 KiB
Markdown
## Back-testing
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Currently bbgo supports two ways to run backtests:
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1: Through csv data source (supported right now are binance, bybit and OkEx)
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2: Alternatively run backtests through [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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Let's start by adding the back-testing section to your config eg: `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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sessions:
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- binance
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# feeMode is optional
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# valid values are: quote, native, token
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# quote: always deduct fee from the quote balance
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# native: the crypto exchange fee deduction, base fee for buy order, quote fee for sell order.
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# token: count fee as crypto exchange fee token
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# feeMode: quote
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accounts:
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# the initial account balance you want to start with
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binance: # exchange name
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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 through csv data source:
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```sh
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bbgo backtest -v --csv --verify --config config/grid.yaml
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```
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or use the sql data source like so:
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```sh
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bbgo backtest -v --sync --config config/grid.yaml
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```
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To customize the sync data range, add `--sync-from`:
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```sh
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bbgo backtest -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 --base-asset-baseline --config config/grid.yaml
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```
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or through csv data source
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```sh
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bbgo backtest -v --csv --base-asset-baseline --config config/grid.yaml --output data/backtest
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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 --config config/grid.yaml --base-asset-baseline
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```
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## See Also
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* [apps/backtest-report](../../apps/backtest-report) - BBGO's built-in backtest report viewer
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* [MDD](https://www.investopedia.com/terms/m/maximum-drawdown-mdd.asp) - 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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