private static RangeBarModel[] LoadBars(BacktestConfig config, string file)
{
CsvReader csv = null;
if (file.Contains(".gz", StringComparison.OrdinalIgnoreCase))
{
var fStream = new FileStream(file, FileMode.Open);
var gzStream = new GZipStream(fStream, CompressionMode.Decompress);
var reader = new StreamReader(gzStream);
csv = new CsvReader(reader, CultureInfo.InvariantCulture);
}
else
{
var reader = new StreamReader(file);
csv = new CsvReader(reader, CultureInfo.InvariantCulture);
}
csv.Configuration.PrepareHeaderForMatch = (header, index) => header.ToLower();
csv.Configuration.HeaderValidated = null;
csv.Configuration.MissingFieldFound = null;
var bars = csv.GetRecords <RangeBarModel>().ToArray();
FixTimestamp(config, bars);
var ordered = bars.OrderBy(x => x.TimestampDate).ToArray();
csv.Dispose();
return(ordered);
}
private static void FixTimestamp(BacktestConfig config, RangeBarModel[] bars)
{
if (string.IsNullOrWhiteSpace(config.TimestampType) ||
config.TimestampType == "unix-sec" ||
config.TimestampType == "date")
{
// default valid timestamp format, do nothing
return;
}
foreach (var bar in bars)
{
var t = bar.TimestampUnix;
var d = config.TimestampDecimals ?? 0;
var converted = t;
switch (config.TimestampType)
{
case "unix-ms":
case "ms":
converted = t / (Math.Pow(10, d));
break;
}
bar.TimestampUnix = converted;
}
}
public ProfitComputer(IStrategy strategy, BacktestConfig config, int?maxLimitInventory)
{
_orderSize = config.Amount ?? 1;
_strategy = strategy;
_feePercentage = config.FeePercentage ?? 0;
_quoteSymbol = config.QuoteSymbol;
_baseSymbol = config.BaseSymbol;
_config = config;
_maxLimitInventory = maxLimitInventory;
}
private static void SaveTextReport(string report, BacktestConfig backtest, IStrategy strategy)
{
var filename = Path.GetFileName(backtest.DirectoryPath);
var strategyName = strategy.GetType().Name;
var pattern = ExtractFromPattern(backtest);
pattern = string.IsNullOrWhiteSpace(pattern) ? filename : pattern;
var targetFile = Path.Combine(GetPathToReportDir(backtest), $"{pattern}__{strategyName}.txt");
File.WriteAllText(targetFile, report);
}
private static RangeBarModel[] LoadBars(BacktestConfig config, string file)
{
using var reader = new StreamReader(file);
using var csv = new CsvReader(reader, CultureInfo.InvariantCulture);
csv.Configuration.PrepareHeaderForMatch = (header, index) => header.ToLower();
csv.Configuration.HeaderValidated = null;
csv.Configuration.MissingFieldFound = null;
var bars = csv.GetRecords <RangeBarModel>().ToArray();
FixTimestamp(config, bars);
var ordered = bars.OrderBy(x => x.TimestampDate).ToArray();
return(ordered);
}
private static string ExtractFromPattern(BacktestConfig backtest)
{
var pattern = backtest.FilePattern ?? string.Empty;
var split = pattern.Split("*");
if (split.Length > 1)
{
return(split[0]
.Trim('_')
.Trim('_')
.Trim('/')
.Trim('\\')
.Trim());
}
return(pattern);
}
private static void Visualize(BacktestConfig backtest, ProfitComputer computer, IStrategy strategy,
int maxInv, ProfitInfo report, ProfitInfo[] days, ProfitInfo[] months)
{
if (computer == null || backtest.Visualize == null || !backtest.Visualize.Value)
{
return;
}
PrepareWebVisualization(backtest, computer, strategy, maxInv, report, report, days, months);
var chart = new ChartVisualizer();
var filename = Path.GetFileName(backtest.DirectoryPath);
var strategyName = strategy.GetType().Name.ToLower();
var pnl = report.Pnl;
var name = $"{pnl:#.00} {backtest.QuoteSymbol} (max inv: {maxInv}) ";
var nameWithFee = $"{report.PnlWithFee:#.00} {backtest.QuoteSymbol} (max inv: {maxInv}) ";
var dir = GetPathToReportDir(backtest);
var pattern = ExtractFromPattern(backtest);
var targetFile = Path.Combine(dir, $"{pattern}__{strategyName}__{maxInv}__{pnl:0}");
if (!Directory.Exists(dir))
{
Directory.CreateDirectory(dir);
}
var bars = computer.Bars;
var totalBars = bars.Length;
if (backtest.VisualizeSkipBars.HasValue)
{
bars = bars.Skip(backtest.VisualizeSkipBars.Value).ToArray();
}
if (backtest.VisualizeLimitBars.HasValue)
{
bars = bars.Take(backtest.VisualizeLimitBars.Value).ToArray();
}
var minIndex = bars.Min(x => x.Index);
var maxIndex = bars.Max(x => x.Index);
var trades = computer.Trades
.Where(x => x.BarIndex >= minIndex && x.BarIndex <= maxIndex)
.ToArray();
chart.Plot(name, nameWithFee, targetFile, totalBars, bars, trades, days, months);
}
private static void PrepareWebVisualization(BacktestConfig backtest, ProfitComputer computer, IStrategy strategy, in int maxInv,
private static void RunBacktest(BacktestConfig backtest, Func <IStrategy> strategyFactory)
{
var files = LoadAllFiles(backtest.DirectoryPath, backtest.FilePattern);
if (backtest.SkipFiles.HasValue)
{
files = files.Skip(backtest.SkipFiles.Value).ToArray();
}
if (backtest.LimitFiles.HasValue)
{
files = files.Take(backtest.LimitFiles.Value).ToArray();
}
if (!files.Any())
{
return;
}
Console.WriteLine();
Console.WriteLine("=====================================================================");
Console.WriteLine($" Running for {files.Length} files from dir '{backtest.DirectoryPath}' and pattern: '{backtest.FilePattern}'");
var builderTop = new StringBuilder();
var builder = new StringBuilder();
foreach (var maxInventory in backtest.MaxInventory)
{
RangeBarModel lastBar = null;
var strategy = strategyFactory();
var computer = new ProfitComputer(strategy, backtest, maxInventory);
foreach (var file in files)
{
var bars = LoadBars(backtest, file);
computer.ProcessBars(bars);
lastBar = bars.LastOrDefault();
}
if (lastBar != null)
{
computer.ProcessLastBar(lastBar);
}
var report = computer.GetReport();
builderTop.AppendLine(report.ToString());
builder.AppendLine(
$"==== MAX INV: {maxInventory} {new string('=', 133)}");
builder.AppendLine();
builder.AppendLine(report.ToString());
Console.WriteLine($" {report}");
var reportDays = new List <ProfitInfo>();
var perMonth = computer.GetReportByMonth();
foreach (var month in perMonth)
{
builder.AppendLine($" {month.Report}");
if (month.Month == null)
{
builderTop.AppendLine($"{month.Report}");
continue;
}
var perDay = computer.GetReportPerDays(month.Year.Value, month.Month.Value);
reportDays.AddRange(perDay.Where(x => x.Day != null));
foreach (var day in perDay)
{
builder.AppendLine($" {day.Report}");
}
}
//var totalReportAllDays = computer.GetTotalReport(reportDays.ToArray());
//builderTop.AppendLine($"{totalReportAllDays.Report}");
//builderTop.AppendLine();
builder.AppendLine();
builder.AppendLine();
Visualize(backtest, computer, strategy, maxInventory, report,
reportDays.ToArray(),
perMonth.Where(x => x.Month.HasValue).ToArray());
}
var mergedReport = $"{builderTop}{Environment.NewLine}{builder}";
SaveTextReport(mergedReport, backtest, strategyFactory());
Console.WriteLine();
}
private static string GetPathToReportDir(BacktestConfig backtest)
{
return(Path.Combine(Path.GetDirectoryName(backtest.DirectoryPath), "reports"));
}
private static void RunBacktest(BacktestConfig backtest, Func <IStrategy> strategyFactory)
{
var files = LoadAllFiles(backtest.DirectoryPath, backtest.FilePattern);
if (backtest.SkipFiles.HasValue)
{
files = files.Skip(backtest.SkipFiles.Value).ToArray();
}
if (backtest.LimitFiles.HasValue)
{
files = files.Take(backtest.LimitFiles.Value).ToArray();
}
if (!files.Any())
{
return;
}
Console.WriteLine();
Console.WriteLine("=====================================================================");
Console.WriteLine($" Running for {files.Length} files from dir '{backtest.DirectoryPath}' and pattern: '{backtest.FilePattern}'");
var builderTop = new StringBuilder();
var builder = new StringBuilder();
foreach (var maxInventory in backtest.MaxInventory)
{
RangeBarModel lastBar = null;
var strategy = strategyFactory();
var computer = new ProfitComputer(strategy, backtest, maxInventory);
foreach (var file in files)
{
var bars = LoadBars(backtest, file);
computer.ProcessBars(bars);
lastBar = bars.LastOrDefault();
}
if (lastBar != null)
{
computer.ProcessLastBar(lastBar);
}
var primaryReport = computer.GetReport();
var perMonth = computer.GetReportByMonth();
var reportDays = new List <ProfitInfo>();
var maxTotalPnl = maxInventory * computer.InitialPrice;
var minTotalPnl = maxTotalPnl;
var totalPnl = maxTotalPnl;
foreach (var month in perMonth)
{
if (month.Month == null)
{
continue;
}
var perDay = computer.GetReportPerDays(month.Year.Value, month.Month.Value, ref maxTotalPnl, ref minTotalPnl, ref totalPnl);
reportDays.AddRange(perDay.Where(x => x.Day != null));
month.MaxDrawdownPercentage = perDay.Min(x => x.MaxDrawdownPercentage);
month.SubProfits = perDay;
}
primaryReport.MaxDrawdownPercentage = perMonth.Min(x => x.MaxDrawdownPercentage);
builderTop.AppendLine(primaryReport.ToString());
builder.AppendLine(
$"==== MAX INV: {maxInventory} {new string('=', 133)}");
builder.AppendLine();
builder.AppendLine(primaryReport.ToString());
var consoleDefaultColor = Console.ForegroundColor;
var reportColor = Console.ForegroundColor;
var pnl = backtest.DisplayFee != null && backtest.DisplayFee.Value ? primaryReport.PnlWithFee : primaryReport.Pnl;
if (pnl < 0)
{
reportColor = ConsoleColor.DarkRed;
}
else if (pnl > 0 && primaryReport.MaxDrawdownPercentage >= -0.03)
{
reportColor = ConsoleColor.Green;
}
else if (pnl > 0)
{
reportColor = ConsoleColor.DarkGreen;
}
Console.ForegroundColor = reportColor;
Console.WriteLine($" {primaryReport}");
Console.ForegroundColor = consoleDefaultColor;
foreach (var month in perMonth)
{
if (month.Month == null)
{
builder.AppendLine($" {month.Report}");
builderTop.AppendLine($"{month.Report}");
continue;
}
builder.AppendLine($" {month.Report}");
foreach (var day in month.SubProfits)
{
builder.AppendLine($" {day.Report}");
}
}
//var totalReportAllDays = computer.GetTotalReport(reportDays.ToArray());
//builderTop.AppendLine($"{totalReportAllDays.Report}");
//builderTop.AppendLine();
builder.AppendLine();
builder.AppendLine();
Visualize(backtest, computer, strategy, maxInventory, primaryReport,
reportDays.ToArray(),
perMonth.Where(x => x.Month.HasValue).ToArray());
}
var mergedReport = $"{builderTop}{Environment.NewLine}{builder}";
SaveTextReport(mergedReport, backtest, strategyFactory());
Console.WriteLine();
}
