public List <BackTestResult> RunSingleStrategy(ITradingStrategy strategy, List <string> coinsToTest, decimal stakeAmount)
{
var results = new List <BackTestResult>();
// Go through our coinpairs and backtest them.
foreach (var pair in coinsToTest)
{
var candleProvider = new JsonCandleProvider("data");
// This creates a list of buy signals.
var candles = candleProvider.GetCandles(pair);
var trend = strategy.Prepare(candles);
var backTestResult = new BackTestResult {
Market = pair
};
for (int i = 0; i < trend.Count; i++)
{
if (trend[i] == TradeAdvice.Buy)
{
// Calculate win/lose forwards from buy point
for (int j = i; j < trend.Count; j++)
{
// Sell as soon as the strategy tells us to..
if (trend[j] == TradeAdvice.Sell)
{
// We ignore fees for now. Goal of the backtester is to compare strategy efficiency.
var currentProfitPercentage = ((candles[j].Close - candles[i].Close) / candles[i].Close) * 100;
var quantity = stakeAmount / candles[i].Close; // We always trade with 0.1 BTC.
var currentProfit = (candles[j].Close - candles[i].Close) * quantity;
backTestResult.Trades.Add(new BackTestTradeResult
{
Quatity = quantity,
OpenRate = candles[i].Close,
CloseRate = candles[j].Close,
ProfitPercentage = currentProfitPercentage,
Profit = currentProfit,
Duration = j - i,
StartDate = candles[i].Timestamp,
EndDate = candles[j].Timestamp
});
break;
}
}
}
}
results.Add(backTestResult);
}
return(results);
}
private static async Task <BackTestResult> GetResultForMarket(string btcMarket, BackTestResult bestEtcBacktest)
{
var backtester = new BackTester(Resource.BittrexApiKey, Resource.BittrexApiSecret);
var bestResult = await backtester.TrySettings(btcMarket, null, bestEtcBacktest.Settings);
return(bestResult);
}
public async Task <List <BackTestResult> > RunSingleStrategy(ITradingStrategy strategy, BacktestOptions backtestOptions, IDataStoreBacktest dataStore, string baseCurrency, bool saveSignals, decimal startingWallet, decimal tradeAmount)
{
var results = new List <BackTestResult>();
var allSignals = new List <TradeSignal>();
// Go through our coinpairs and backtest them.
foreach (string globalSymbol in backtestOptions.Coins)
{
var candleProvider = new DatabaseCandleProvider();
backtestOptions.Coin = globalSymbol;
// This creates a list of buy signals.
var candles = await candleProvider.GetCandles(backtestOptions, dataStore);
if (candles == null || !candles.Any())
{
continue;
}
candles = await candles.FillCandleGaps((Period)Enum.Parse(typeof(Period), backtestOptions.CandlePeriod.ToString(), true));
var backTestResult = new BackTestResult {
Market = globalSymbol
};
try
{
var trend = strategy.Prepare(candles);
var signals = new List <TradeSignal>();
for (int i = 0; i < trend.Count; i++)
{
if (trend[i] == TradeAdvice.Buy)
{
var id = Guid.NewGuid();
signals.Add(new TradeSignal
{
Id = id,
MarketName = globalSymbol,
Price = candles[i].Close,
TradeAdvice = TradeAdvice.Buy,
SignalCandle = candles[i],
Timestamp = candles[i].Timestamp,
StrategyName = strategy.Name
});
// Calculate win/lose forwards from buy point
for (int j = i; j < trend.Count; j++)
{
// Sell as soon as the strategy tells us to..
if (trend[j] == TradeAdvice.Sell ||
ShouldSell((double)candles[i].Close, (double)candles[j].Close, candles[j].Timestamp) != SellType.None
)
{
// We ignore fees for now. Goal of the backtester is to compare strategy efficiency.
var currentProfitPercentage = ((candles[j].Close - candles[i].Close) / candles[i].Close) * 100;
var quantity = tradeAmount / candles[i].Close;
var currentProfit = (candles[j].Close - candles[i].Close) * quantity;
backTestResult.Trades.Add(new BackTestTradeResult
{
Market = globalSymbol,
Quantity = quantity,
OpenRate = candles[i].Close,
CloseRate = candles[j].Close,
ProfitPercentage = currentProfitPercentage,
Profit = currentProfit,
Duration = j - i,
StartDate = candles[i].Timestamp,
EndDate = candles[j].Timestamp
});
signals.Add(new TradeSignal
{
Id = Guid.NewGuid(),
ParentId = id,
MarketName = globalSymbol,
Price = candles[j].Close,
TradeAdvice = TradeAdvice.Sell,
SignalCandle = candles[j],
Profit = currentProfit,
PercentageProfit = currentProfitPercentage,
Timestamp = candles[j].Timestamp,
StrategyName = strategy.Name
});
if (backtestOptions.OnlyStartNewTradesWhenSold)
{
i = j;
}
break;
}
}
}
}
if (saveSignals)
{
await candleProvider.SaveTradeSignals(backtestOptions, dataStore, signals);
}
allSignals.AddRange(signals);
}
catch (Exception ex)
{
ConsoleUtility.WriteColoredLine($"Error in Strategy: {strategy.Name}", ConsoleColor.Red);
ConsoleUtility.WriteColoredLine($"\t{ex.Message}", ConsoleColor.Red);
}
results.Add(backTestResult);
}
allSignals = allSignals.OrderBy(t => t != null).ThenBy(t => t.Timestamp).ToList();
#region wallet trend
var strategyTrades = new List <BackTestTradeResult>();
foreach (var marketResult in results)
{
strategyTrades.AddRange(marketResult.Trades);
}
strategyTrades = strategyTrades.OrderBy(t => t.StartDate).ToList();
decimal wallet = startingWallet;
decimal lowWallet = startingWallet;
int cct = 0;
int mct = 0;
for (int i = 0; i < allSignals.Count(); i++)
{
var signal = allSignals[i];
if (signal.TradeAdvice == TradeAdvice.Buy)
{
cct = cct + 1;
if (cct > mct)
{
mct = cct;
}
wallet = wallet - tradeAmount;
}
else if (signal.TradeAdvice == TradeAdvice.Sell)
{
cct = cct - 1;
wallet = wallet + (tradeAmount + signal.PercentageProfit * tradeAmount);
if (wallet < lowWallet)
{
lowWallet = wallet;
}
}
}
var ff = results.FirstOrDefault();
if (ff != null)
{
results.FirstOrDefault().ConcurrentTrades = mct;
results.FirstOrDefault().Wallet = wallet;
results.FirstOrDefault().LowWallet = lowWallet;
}
#endregion
return(results);
}
public async Task <List <BackTestResult> > RunSingleStrategy(ITradingStrategy strategy, BacktestOptions backtestOptions, IDataStoreBacktest dataStore)
{
var results = new List <BackTestResult>();
// Go through our coinpairs and backtest them.
foreach (string globalSymbol in backtestOptions.Coins)
{
var candleProvider = new DatabaseCandleProvider();
backtestOptions.Coin = globalSymbol;
// This creates a list of buy signals.
var candles = await candleProvider.GetCandles(backtestOptions, dataStore);
var backTestResult = new BackTestResult {
Market = globalSymbol
};
try
{
var trend = strategy.Prepare(candles);
var signals = new List <TradeSignal>();
for (int i = 0; i < trend.Count; i++)
{
if (trend[i] == TradeAdvice.Buy)
{
var id = Guid.NewGuid();
signals.Add(new TradeSignal
{
Id = id,
MarketName = globalSymbol,
Price = candles[i].Close,
TradeAdvice = TradeAdvice.Buy,
SignalCandle = candles[i],
Timestamp = candles[i].Timestamp,
StrategyName = strategy.Name
});
// Calculate win/lose forwards from buy point
for (int j = i; j < trend.Count; j++)
{
// Sell as soon as the strategy tells us to..
if (trend[j] == TradeAdvice.Sell ||
ShouldSell((double)candles[i].Close, (double)candles[j].Close, candles[j].Timestamp) != SellType.None
)
{
//if (candles[i].Close == 0 || candles[j].Close == 0)
// continue;
// We ignore fees for now. Goal of the backtester is to compare strategy efficiency.
var currentProfitPercentage = ((candles[j].Close - candles[i].Close) / candles[i].Close) * 100;
var quantity = backtestOptions.StakeAmount / candles[i].Close; // We always trade with 0.1 BTC.
var currentProfit = (candles[j].Close - candles[i].Close) * quantity;
backTestResult.Trades.Add(new BackTestTradeResult
{
Market = globalSymbol,
Quantity = quantity,
OpenRate = candles[i].Close,
CloseRate = candles[j].Close,
ProfitPercentage = currentProfitPercentage,
Profit = currentProfit,
Duration = j - i,
StartDate = candles[i].Timestamp,
EndDate = candles[j].Timestamp
});
signals.Add(new TradeSignal
{
Id = Guid.NewGuid(),
ParentId = id,
MarketName = globalSymbol,
Price = candles[j].Close,
TradeAdvice = TradeAdvice.Sell,
SignalCandle = candles[j],
Profit = currentProfit,
PercentageProfit = currentProfitPercentage,
Timestamp = candles[j].Timestamp,
StrategyName = strategy.Name
});
if (backtestOptions.OnlyStartNewTradesWhenSold)
{
i = j;
}
break;
}
}
}
}
await candleProvider.SaveTradeSignals(backtestOptions, dataStore, signals);
}
catch (Exception ex)
{
ConsoleUtility.WriteColoredLine($"Error in Strategy: {strategy.Name}", ConsoleColor.Red);
ConsoleUtility.WriteColoredLine($"\t{ex.Message}", ConsoleColor.Red);
}
results.Add(backTestResult);
}
return(results);
}