backtest

package module
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 Go to latest Published: Dec 26, 2017 License: MIT Imports: 13 Imported by: 0

README

backtest-go

Based off of https://github.com/dirkolbrich/gobacktest

Still a WIP.

Documentation

Index

Constants

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const DP = 4 // DP

DP sets the the precision of rounded floating numbers used after calculations to format

Variables

This section is empty.

Functions

This section is empty.

Types

type Bar 

type Bar struct {
	Event
	// BarEvent
	BarData // Should this be treated as pointer ?? *

}

Bar declares an event for an OHLCV bar (Open, High, Low, Close, Volume).

func (Bar) IsBar 

func (b Bar) IsBar() bool

IsBar declares a Bar event

func (Bar) IsDataEvent 

func (b Bar) IsDataEvent() bool

func (Bar) LatestPrice 

func (b Bar) LatestPrice() float64

LatestPrice returns the close proce of the bar event.

type BarData 

type BarData struct {
	Time   int     `json:"time"`
	Open   float64 `json:"open"`
	Close  float64 `json:"close"`
	Low    float64 `json:"low"`
	High   float64 `json:"high"`
	Volume float64 `json:"volume"`
}

type BarEvent 

type BarEvent interface {
	DataEventHandler
	IsBar() bool
}

BarEvent declares a bar event interface.

type Casher 

type Casher interface {
	SetInitialCash(float64)
	InitialCash() float64
	SetCash(float64)
	Cash() float64
}

Casher handles basic portolio info

type Data 

type Data struct {
	// contains filtered or unexported fields
}

Data is a basic data struct

func (*Data) History 

func (d *Data) History() []DataEventHandler

History returns the historic data stream

func (*Data) Latest 

func (d *Data) Latest(symbol string) DataEventHandler

Latest returns the last known data event for a symbol.

func (*Data) List 

func (d *Data) List(symbol string) []DataEventHandler

List returns the data event list for a symbol.

func (*Data) Load 

func (d *Data) Load(exchange string, currPair, start string, end string) error

Load loads data endpoints into a stream. This method satisfies the DataLoeder interface, but should be overwritten by the specific data loading implamentation.

func (*Data) Next 

func (d *Data) Next() (dh DataEventHandler, ok bool)

Next returns the first element of the data stream deletes it from the stream and appends it to history

func (*Data) Reset 

func (d *Data) Reset()

Reset implements the Reseter interface and rests the data struct to a clean state with loaded data points

func (*Data) SetStream 

func (d *Data) SetStream(stream []DataEventHandler)

SetStream sets the data stream

func (*Data) SortStream 

func (d *Data) SortStream()

SortStream sorts the dataStream

func (*Data) Stream 

func (d *Data) Stream() []DataEventHandler

Stream returns the data stream

type DataEvent 

type DataEvent struct {
	Metrics map[string]float64
}

DataEvent is the basic implementation of a data event handler.

func (DataEvent) IsDataEvent 

func (d DataEvent) IsDataEvent() bool

IsDataEvent declares a data event

type DataEventHandler 

type DataEventHandler interface {
	EventHandler
	IsDataEvent() bool
	LatestPrice() float64
}

DataEventHandler declares a data event interface

type DataHandler 

type DataHandler interface {
	DataLoader
	DataStreamer
	Reseter
}

DataHandler is the combined data interface

type DataLoader 

type DataLoader interface {
	Load(string, string, string, string) error
}

DataLoader is the interface loading the data into the data stream

type DataStreamer 

type DataStreamer interface {
	Next() (DataEventHandler, bool)
	Stream() []DataEventHandler
	History() []DataEventHandler
	Latest(string) DataEventHandler
	List(string) []DataEventHandler
}

DataStreamer is the interface returning the data streams

type Directioner 

type Directioner interface {
	SetDirection(string)
	GetDirection() string
}

Directioner defines a direction interface

type Event 

type Event struct {
	Time   time.Time
	Symbol string
}

Event is the implementation of the basic event interface.

func (Event) GetSymbol 

func (e Event) GetSymbol() string

GetSymbol returns the symbol string of the event

func (Event) GetTime 

func (e Event) GetTime() time.Time

GetTime returns the Time of an event

func (Event) IsEvent 

func (e Event) IsEvent() bool

IsEvent declares an event interface implementation.

type EventHandler 

type EventHandler interface {
	IsEvent() bool
	Timer
	Symboler
}

EventHandler declares the basic event interface

type EventTracker 

type EventTracker interface {
	TrackEvent(EventHandler)
	Events() []EventHandler
}

EventTracker is responsible for all event tracking during a backtest

type Exchange 

type Exchange struct {
	Symbol         string
	ExchangeFee    float64
	CommissionRate float64
}

Exchange is a basic execution handler implementation

func (*Exchange) ExecuteOrder 

func (e *Exchange) ExecuteOrder(order OrderEvent, data DataHandler) (*Fill, error)

ExecuteOrder executes an order event

type ExecutionHandler 

type ExecutionHandler interface {
	ExecuteOrder(OrderEvent, DataHandler) (*Fill, error)
}

ExecutionHandler is the basic interface for executing orders

type Fill 

type Fill struct {
	Event
	Exchange    string // exchange symbol
	Direction   string // BOT for buy or SLD for sell
	Qty         float64
	Price       float64
	Commission  float64
	ExchangeFee float64
	Cost        float64 // the total cost of the filled order incl commission and fees
}

Fill declares a basic fill event

func (Fill) GetCommission 

func (f Fill) GetCommission() float64

GetCommission returns the Commission field of a fill.

func (Fill) GetCost 

func (f Fill) GetCost() float64

GetCost returns the Cost field of a Fill

func (Fill) GetDirection 

func (f Fill) GetDirection() string

GetDirection returns the direction of a Fill

func (Fill) GetExchangeFee 

func (f Fill) GetExchangeFee() float64

GetExchangeFee returns the ExchangeFee Field of a fill

func (Fill) GetPrice 

func (f Fill) GetPrice() float64

GetPrice returns the Price field of a fill

func (Fill) GetQty 

func (f Fill) GetQty() float64

GetQty returns the qty field of a fill

func (Fill) IsFill 

func (f Fill) IsFill() bool

IsFill declares a fill event.

func (Fill) NetValue 

func (f Fill) NetValue() float64

NetValue returns the net value including cost.

func (*Fill) SetDirection 

func (f *Fill) SetDirection(s string)

SetDirection sets the Directions field of a Fill

func (*Fill) SetQty 

func (f *Fill) SetQty(i float64)

SetQty sets the Qty field of a Fill

func (Fill) Value 

func (f Fill) Value() float64

Value returns the value without cost.

type FillEvent 

type FillEvent interface {
	EventHandler
	Directioner
	Quantifier
	IsFill() bool
	GetPrice() float64
	GetCommission() float64
	GetExchangeFee() float64
	GetCost() float64
	Value() float64
	NetValue() float64
}

FillEvent declares the fill event interface.

type OnFiller 

type OnFiller interface {
	OnFill(FillEvent, DataHandler) (*Fill, error)
}

OnFiller as an intercafe for the OnFill method

type OnSignaler 

type OnSignaler interface {
	OnSignal(SignalEvent, DataHandler) (*Order, error)
}

OnSignaler as an intercafe for the OnSignal method

type Order 

type Order struct {
	Event
	Direction string  // buy or sell
	Qty       float64 // quantity of the order
	OrderType string  // market or limit
	Limit     float64 // limit for the order
}

Order declares a basic order event

func (Order) GetDirection 

func (o Order) GetDirection() string

GetDirection returns the Direction of an Order

func (Order) GetQty 

func (o Order) GetQty() float64

GetQty returns the Qty field of an Order

func (Order) IsOrder 

func (o Order) IsOrder() bool

IsOrder declares an order event.

func (*Order) SetDirection 

func (o *Order) SetDirection(s string)

SetDirection sets the Directions field of an Order

func (*Order) SetQty 

func (o *Order) SetQty(i float64)

SetQty sets the Qty field of an Order

type OrderEvent 

type OrderEvent interface {
	EventHandler
	Directioner
	Quantifier
	IsOrder() bool
}

OrderEvent declares the order event interface.

type Portfolio 

type Portfolio struct {
	// contains filtered or unexported fields
}

Portfolio represent a simple portfolio struct.

func (Portfolio) Cash 

func (p Portfolio) Cash() float64

Cash returns the current cash value of the portfolio

func (Portfolio) InitialCash 

func (p Portfolio) InitialCash() float64

InitialCash returns the initial cash value of the portfolio

func (Portfolio) IsInvested 

func (p Portfolio) IsInvested(symbol string) (pos position, ok bool)

IsInvested checks if the portfolio has an open position on the given symbol

func (*Portfolio) OnFill 

func (p *Portfolio) OnFill(fill FillEvent, data DataHandler) (*Fill, error)

OnFill handles an incomming fill event

func (*Portfolio) OnSignal 

func (p *Portfolio) OnSignal(signal SignalEvent, data DataHandler) (*Order, error)

OnSignal handles an incomming signal event

func (*Portfolio) Reset 

func (p *Portfolio) Reset()

Reset the portfolio into a clean state with set initial cash.

func (*Portfolio) SetCash 

func (p *Portfolio) SetCash(cash float64)

SetCash sets the current cash value of the portfolio

func (*Portfolio) SetInitialCash 

func (p *Portfolio) SetInitialCash(initial float64)

SetInitialCash sets the initial cash value of the portfolio

func (*Portfolio) Update 

func (p *Portfolio) Update(d DataEventHandler)

Update updates the holding on a data event

func (Portfolio) Value 

func (p Portfolio) Value() float64

Value return the current total value of the portfolio

func (Portfolio) ViewHoldings 

func (p Portfolio) ViewHoldings()

type PortfolioHandler 

type PortfolioHandler interface {
	OnSignaler
	OnFiller
	// Investor - Intended to check if portfolio holds a given asset
	Updater
	Casher
	Valuer
	Reseter
}

PortfolioHandler is the combined interface building block for a portfolio. Events - fill, order

type Quantifier 

type Quantifier interface {
	SetQty(float64)
	GetQty() float64
}

Quantifier defines a qty interface

type Reseter 

type Reseter interface {
	Reset()
}

Reseter provides a resting interface.

type Resulter 

type Resulter interface {
	TotalEquityReturn() (float64, error)
	MaxDrawdown() float64
	MaxDrawdownTime() time.Time
	MaxDrawdownDuration() time.Duration
	SharpRatio(float64) float64
	SortinoRatio(float64) float64
}

Resulter bundles all methods which return the results of the backtest

type Signal 

type Signal struct {
	Event
	Direction string // long or short
}

Signal declares a basic signal event

func (Signal) GetDirection 

func (s Signal) GetDirection() string

GetDirection returns the Direction of a Signal

func (Signal) IsSignal 

func (s Signal) IsSignal() bool

IsSignal implements the Signal interface.

func (*Signal) SetDirection 

func (s *Signal) SetDirection(st string)

SetDirection sets the Directions field of a Signal

type SignalEvent 

type SignalEvent interface {
	EventHandler
	Directioner
	IsSignal() bool
}

SignalEvent declares the signal event interface.

type Statistic 

type Statistic struct {
	// contains filtered or unexported fields
}

Statistic is a basic test statistic, which holds simple lists of historic events

func (Statistic) Events 

func (s Statistic) Events() []EventHandler

Events returns the complete events history

func (*Statistic) GraphResult 

func (s *Statistic) GraphResult(res http.ResponseWriter, req *http.Request)

func (Statistic) MaxDrawdown 

func (s Statistic) MaxDrawdown() float64

MaxDrawdown returns the maximum draw down value in percent.

func (Statistic) MaxDrawdownDuration 

func (s Statistic) MaxDrawdownDuration() (d time.Duration)

MaxDrawdownDuration returns the maximum draw down value in percent

func (Statistic) MaxDrawdownTime 

func (s Statistic) MaxDrawdownTime() time.Time

MaxDrawdownTime returns the time of the maximum draw down value.

func (Statistic) PrintResult 

func (s Statistic) PrintResult()

PrintResult prints the backtest statistics to the screen

func (*Statistic) Reset 

func (s *Statistic) Reset()

Reset the statistic to a clean state

func (*Statistic) SharpRatio 

func (s *Statistic) SharpRatio(riskfree float64) float64

SharpRatio returns the Sharp ratio compared to a risk free benchmark return.

func (*Statistic) SortinoRatio 

func (s *Statistic) SortinoRatio(riskfree float64) float64

SortinoRatio returns the Sortino ratio compared to a risk free benchmark return.

func (Statistic) TotalEquityReturn 

func (s Statistic) TotalEquityReturn() (r float64, err error)

TotalEquityReturn calculates the the total return on the first and last equity point

func (*Statistic) TrackEvent 

func (s *Statistic) TrackEvent(e EventHandler)

TrackEvent tracks an event

func (*Statistic) TrackTransaction 

func (s *Statistic) TrackTransaction(f FillEvent)

TrackTransaction tracks a transaction aka a fill event

func (Statistic) Transactions 

func (s Statistic) Transactions() []FillEvent

Transactions returns the complete events history

func (*Statistic) Update 

func (s *Statistic) Update(d DataEventHandler, p PortfolioHandler)

Update the complete statistics to a given data event.

func (Statistic) ViewEquityHistory 

func (s Statistic) ViewEquityHistory()

type StatisticHandler 

type StatisticHandler interface {
	EventTracker
	TransactionTracker
	StatisticPrinter
	Reseter
	StatisticUpdater
	Resulter
}

StatisticHandler is a basic statistic interface

type StatisticPrinter 

type StatisticPrinter interface {
	PrintResult()
}

StatisticPrinter handles printing of the statistics to screen

type StatisticUpdater 

type StatisticUpdater interface {
	Update(DataEventHandler, PortfolioHandler)
}

StatisticUpdater handles the updateing of the statistics

type Strategy 

type Strategy struct{}

func (*Strategy) CalculateSignal 

func (s *Strategy) CalculateSignal(de DataEventHandler, d DataHandler, p PortfolioHandler) (SignalEvent, error)

type StrategyHandler 

type StrategyHandler interface {
	CalculateSignal(DataEventHandler, DataHandler, PortfolioHandler) (SignalEvent, error)
}

StrategyHandler is a basic strategy interface

type Symboler 

type Symboler interface {
	GetSymbol() string
}

Symboler declares the symboler interface

type Test 

type Test struct {
	// contains filtered or unexported fields
}

Test is a basic back test struct

func New 

func New() *Test

New creates a default test backtest value for use.

func (*Test) Reset 

func (t *Test) Reset()

Reset rests the backtest into a clean state with loaded data

func (*Test) Run 

func (t *Test) Run() error

Run starts the test.

func (*Test) SetData 

func (t *Test) SetData(data DataHandler)

SetData sets the data provider to to be used within the test

func (*Test) SetExchange 

func (t *Test) SetExchange(exchange ExecutionHandler)

SetExchange sets the execution provider to to be used within the test

func (*Test) SetPortfolio 

func (t *Test) SetPortfolio(portfolio PortfolioHandler)

SetPortfolio sets the portfolio provider to to be used within the test

func (*Test) SetStatistic 

func (t *Test) SetStatistic(statistic StatisticHandler)

SetStatistic sets the statistic provider to to be used within the test

func (*Test) SetStrategy 

func (t *Test) SetStrategy(strategy StrategyHandler)

SetStrategy sets the strategy provider to to be used within the test

func (*Test) SetSymbols 

func (t *Test) SetSymbols(symbols []string)

SetSymbols sets the symbols to include into the test

func (*Test) Stats 

func (t *Test) Stats() StatisticHandler

Stats returns the statistic handler of the backtest

type Tick 

type Tick struct {
	Event
	DataEvent
	Bid float64
	Ask float64
}

Tick declares an tick event

func (Tick) IsTick 

func (t Tick) IsTick() bool

IsTick declares a tick event

func (Tick) LatestPrice 

func (t Tick) LatestPrice() float64

LatestPrice returns the middle of Bid and Ask.

type TickEvent 

type TickEvent interface {
	DataEventHandler
	IsTick() bool
}

TickEvent declares a tick event interface.

type Timer 

type Timer interface {
	GetTime() time.Time
}

Timer declares the timer interface

type TransactionTracker 

type TransactionTracker interface {
	TrackTransaction(FillEvent)
	Transactions() []FillEvent
}

TransactionTracker is responsible for all transaction tracking during a backtest

type Updater 

type Updater interface {
	Update(DataEventHandler)
}

Updater handles the updating of the portfolio on data events

type Valuer 

type Valuer interface {
	Value() float64
	ViewHoldings()
}

Valuer returns the values of the portfolio

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