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add fixes for new gekko version #4

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add fixes for new gekko version #4

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97b0dd2
add fixes for new gekko version
max246 Sep 9, 2018
70414ee
update file due to failure when run npm install
max246 Sep 10, 2018
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113 changes: 41 additions & 72 deletions bruteforce.js
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Original file line number Diff line number Diff line change
Expand Up @@ -19,7 +19,7 @@ var count=0;
//where are your gekko strategies?
var strategiesFolder = '../gekko/strategies/';
//where is your config?
var configFile = '../gekko/config-backtester.js';
var configFile = '../gekko/config.js';
//where is your api server? (default is port 3000)
//to run the server type node gekko --ui in to the console
var apiUrl= "http://localhost:3000";
Expand All @@ -42,24 +42,24 @@ var parallelqueries = 2;
//setup params for backtesting
//fuck json, this is pure arrays as god intended us pony coders to use
//throw in the candle sizes here
var candleSizes = [240,480,960];
var candleSizes = [10];
//list different history sizes here
var historySizes = [10,20];
//ooo this looks fun - this is where you set up the trading pairs and back testing exchange data
//you can load up as many sets as you like
var tradingPairs = [["poloniex","btc","eth"],["binance","btc","omg"]];
var tradingPairs = [["poloniex","BTC","DOGE"]];
//so this is the number of configs that will be generated with different strategy settings
//if you multiply this by the number of candle sizes and history sizes and trading pairs you'll get the total number of backtests this sucker will run
//Note: if you wanna test candle sizes, against the same config setup then just set this to 1. Cute right???
var numberofruns = 1000;
var numberofruns = 10;

let dirCont = fs.readdirSync( strategiesFolder );

//oh wait, there's more....

//so there is another version of this script that will run every single strategy in your strategy file that has an entry in the config but while useful...it was a bit crap when it came to brute forcing shit. So now you have to enter in your strategy name.
//make sure the strategy has a config entry in the config below
let strategies = ["SchaffTrendCycle"];
let strategies = ["RSI"];



Expand All @@ -76,61 +76,29 @@ for (var a = 0, len4 = tradingPairs.length; a < len4; a++) {
config.watch.currency = tradingPairs[a][1];
config.watch.asset = tradingPairs[a][2];

this.baseConfig = {
gekkoConfig: {
debug: config.debug,
watch: {
exchange: config.watch.exchange,
currency: config.watch.currency,
asset: config.watch.asset,
},
SchaffTrendCycle: {
"stcLength": randomExt.integer(12,1),
"fastLength": randomExt.integer(20,1),
"slowLength": randomExt.integer(80,20),
"factor": 0.5,
"threshold_high": 80,
"threshold_low": 20,
"enable_stop_loss": true,
"stoploss_threshold": 5,
"adjust_false_signal": true,
"threshold_adjustment": 5
},
paperTrader: {
slippage: config.paperTrader.slippage,
feeTaker: config.paperTrader.feeTaker,
feeMaker: config.paperTrader.feeMaker,
feeUsing: config.paperTrader.feeUsing,
simulationBalance: config.paperTrader.simulationBalance,
reportRoundtrips: true,
enabled: true
},
tradingAdvisor: {
enabled: true,
method: config.tradingAdvisor.method,
candleSize: config.tradingAdvisor.candleSize ,
historySize: config.tradingAdvisor.historySize ,
},
trader: {
enabled: false,
},
backtest: {
daterange: config.backtest.daterange
},
performanceAnalyzer: {
'riskFreeReturn': 5,
'enabled': true
},
valid: true,
},
data: {
candleProps: ['close', 'start', 'open', 'high', 'volume','vwp'],
indicatorResults: false,
report: true,
roundtrips: false,
trades: false
}
};
this.baseConfig = {"watch":
{"exchange":config.watch.exchange,"currency":config.watch.currency,"asset":config.watch.asset,},
"paperTrader":{
"feeMaker":config.paperTrader.feeMaker,
"feeTaker":config.paperTrader.feeTaker,
"feeUsing":config.paperTrader.feeUsing,
"slippage":config.paperTrader.slippage,
"simulationBalance":config.paperTrader.simulationBalance,
"reportRoundtrips":true,
"enabled":true},
"tradingAdvisor":{
"enabled":true,
"method":config.tradingAdvisor.method,
"candleSize":config.tradingAdvisor.candleSize,
"historySize":config.tradingAdvisor.historySize
},
"RSI":{"interval":randomExt.integer(40,12),"thresholds":{"low":randomExt.integer(50,10),"high":randomExt.integer(200,10),"persistence":1}},
"backtest":{"daterange":{"from":"2018-06-09T15:49:00Z","to":"2018-08-29T23:45:00Z"}},
"backtestResultExporter":{"enabled":true,"writeToDisk":false,
"data":{"stratUpdates":false,"roundtrips":true,"stratCandles":true,"stratCandleProps":['close', 'start', 'open', 'high', 'volume','vwp'],"trades":true}},
"performanceAnalyzer":{"riskFreeReturn":2,"enabled":true},
"valid":true};

configs.push(this.baseConfig);
}
}
Expand All @@ -146,8 +114,7 @@ hitApi(configs);
//this might look familiar...that's cos it's ripped from Gekkoga <3
async function hitApi(configs){
const results = await queue(configs, parallelqueries, async (data) => {

console.log("Running strategy - "+data.gekkoConfig.tradingAdvisor.method +" on "+data.gekkoConfig.tradingAdvisor.candleSize +" minute(s) candle size on "+ data.gekkoConfig.watch.exchange +" for "+ data.gekkoConfig.watch.currency + data.gekkoConfig.watch.asset);
console.log("Running strategy - "+data.tradingAdvisor.method +" on "+data.tradingAdvisor.candleSize +" minute(s) candle size on "+ data.watch.exchange +" for "+ data.watch.currency + data.watch.asset);
const body = await rp.post({
url: `${apiUrl}/api/backtest`,
json: true,
Expand All @@ -159,8 +126,10 @@ async function hitApi(configs){
// These properties will be outputted every epoch, remove property if not needed
const properties = ['balance', 'profit', 'sharpe', 'market', 'relativeProfit', 'yearlyProfit', 'relativeYearlyProfit', 'startPrice', 'endPrice', 'trades'];

if (!body.performanceReport) return null;

const report = body.performanceReport;

const report = body.report;
let result = { profit: 0, metrics: false };

if (report) {
Expand All @@ -173,22 +142,22 @@ async function hitApi(configs){

}, {});

result = { strat: data.gekkoConfig.tradingAdvisor.method, startdate: data.gekkoConfig.backtest.daterange.from, todate: data.gekkoConfig.backtest.daterange.to, profit: body.report.profit, sharpe: body.report.sharpe, metrics: picked };
result = { strat: data.tradingAdvisor.method, startdate: data.backtest.daterange.from, todate: data.backtest.daterange.to, profit: body.performanceReport.profit, sharpe: body.performanceReport.sharpe, metrics: picked };
}

//now we write the backtest results to file:
if(writecsv===true){
let runDate = humanize.date('d-m-Y');
let runTime = humanize.date('H:i:s');
var sharpe = 0;
if(report.sharpe){
sharpe = report.sharpe;
}
let currencyPair = report.currency+report.asset;
let configCsvTmp1 = JSON.stringify(data.gekkoConfig[data.gekkoConfig.tradingAdvisor.method]);
//if(report.performanceReport.sharpe){
// sharpe = report.performanceReport.sharpe;
//}
let currencyPair = "currency dunno";//report.currency+report.asset;
let configCsvTmp1 = JSON.stringify(data[data.tradingAdvisor.method]);
let configCsv = replaceall(",", "|", configCsvTmp1)
headertxt = "Strategy, Market performance(%),Strat performance (%),Profit,Run date, Run time, Start date, End date,Currency pair, Candle size, History size,Currency, Asset, Timespan,Yearly profit, Yearly profit (%), Start price, End price, Trades, Start balance, Sharpe, Alpha, Config\n";
outtxt = data.gekkoConfig.tradingAdvisor.method+","+ report.market+","+ report.relativeProfit+","+ report.profit+","+runDate+","+runTime+","+ data.gekkoConfig.backtest.daterange.from+","+ data.gekkoConfig.backtest.daterange.to+","+ currencyPair+","+ data.gekkoConfig.tradingAdvisor.candleSize+","+ data.gekkoConfig.tradingAdvisor.historySize+","+ report.currency+","+ report.asset+","+ report.timespan+","+ report.yearlyProfit+","+ report.relativeYearlyProfit+","+ report.startPrice+","+ report.endPrice+","+ report.trades+","+ report.startBalance+","+ sharpe+","+ report.alpha+","+ configCsv+"\n";
outtxt = data.tradingAdvisor.method+","+ report.market+","+ report.relativeProfit+","+ report.profit+","+runDate+","+runTime+","+ data.backtest.daterange.from+","+ data.backtest.daterange.to+","+ currencyPair+","+ data.tradingAdvisor.candleSize+","+ data.tradingAdvisor.historySize+","+ report.currency+","+ report.asset+","+ report.timespan+","+ report.yearlyProfit+","+ report.relativeYearlyProfit+","+ report.startPrice+","+ report.endPrice+","+ report.trades+","+ report.startBalance+","+ sharpe+","+ report.alpha+","+ configCsv+"\n";

if (fs.existsSync(resultCsv)){
fs.appendFileSync(resultCsv, outtxt, encoding = 'utf8');
Expand All @@ -203,12 +172,12 @@ async function hitApi(configs){

}


console.log(result);
return result;

})
.catch((err)=>{
//console.log(err)
console.log(err)
throw err
});
return results;
Expand Down
2 changes: 1 addition & 1 deletion package.json
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@@ -1,5 +1,5 @@
{
"name": "Gekko Warez Bruteforce Backtester",
"name": "Gekko",
"version": "1.0.0",
"description": "A swiss army nodejs brute force backtester for Gekko trading bot. Saves time so you can spend more time looking good. ",
"main": "bruteforce.js",
Expand Down