strategies

README

GoCryptoTrader Backtester: Strategies package

This strategies package is part of the GoCryptoTrader codebase.

This is still in active development

You can track ideas, planned features and what's in progress on this Trello board: https://trello.com/b/ZAhMhpOy/gocryptotrader.

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Strategies package overview

Strategies are programmed instruction sets which act upon pricing data. After data has been loaded into the GoCryptoTrader, each tick is passed through your loaded strategy and is analysed in either the OnSignal function or the OnSignals function.

Creating strategies

The level customisation allowed in a strategy is extensive. They are required to be written in Golang. The strategy must adhere to the interface strategies.Handler by implementing the function signature OnSignal(d data.Handler, _ portfolio.Handler) (signal.Event, error). The data.Handler allows you to access the current pricing information as well as all previous intervals. You can use this to feed any Technical Analysis package to create strategies based on market movements such as RSI (see ./strategies/rsi/rsi.go). Strategies can also access the portfolio manager on signal(s) which allows analysis of existing holdings value, current orders and positions of other currencies in order to make complex decisions. When outputting the signal.Event, you are not dictating the price of an order, but rather signalling to the portfolio manager what ideally should occur. These options are to buy, sell or do nothing. Additional signals are to flag missing data, handled via checking d.HasDataAtTime(d.Latest().GetTime() to prevent any issues from occurring down the line. Additionally, you can utilise the AppendWhy() function to help understand what went into make a signalling decision when reviewing the results.

What does Simultaneous Signal Processing mean?

GoCryptoTrader Backtester config files may contain multiple ExchangeSettings which defined exchange, asset and currency pairs to iterate through a period of time.

If there are multiple entries to ExchangeSettings and SimultaneousProcessing is disabled, then each individual exchange, asset and currency pair candle event is evaluated individually and does not know about other exchange, asset and currency pair data events. It is a way to test a singular strategy against multiple assets simultaneously. But it isn't defined as Simultaneous Processing Simultaneous Signal Processing is a setting which allows multiple ExchangeSettings data events for a candle event to be considered simultaneously. This means that you can check if the price of BTC-USDT is 5% greater on Binance than it is on Kraken and choose to make signal a BUY event for Kraken and not Binance.

It allows for complex strategical decisions to be made when you consider the scope of the entire market at a given time, rather than in a vacuum when SimultaneousSignalProcessing is disabled.

Loading strategies

Each strategy has a unique name and is to be added to the function getStrategies() in order to be recognised.

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Contribution

Please feel free to submit any pull requests or suggest any desired features to be added.

When submitting a PR, please abide by our coding guidelines:

• Code must adhere to the official Go formatting guidelines (i.e. uses gofmt).
• Code must be documented adhering to the official Go commentary guidelines.
• Code must adhere to our coding style.
• Pull requests need to be based on and opened against the master branch.

Donations

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Documentation

Index

• Variables
• func AddStrategy(strategy Handler) error
• type Handler
  • func LoadStrategyByName(name string, useSimultaneousProcessing bool) (Handler, error)
• type StrategyHolder
  • func GetSupportedStrategies() StrategyHolder

Variables

var ErrStrategyAlreadyExists = errors.New("strategy already exists")

ErrStrategyAlreadyExists returned when a strategy matches the same name

Functions

func AddStrategy

func AddStrategy(strategy Handler) error

AddStrategy will add a strategy to the list of strategies

Types

type Handler

type Handler interface {
	Name() string
	Description() string
	OnSignal(data.Handler, funding.IFundingTransferer, portfolio.Handler) (signal.Event, error)
	OnSimultaneousSignals([]data.Handler, funding.IFundingTransferer, portfolio.Handler) ([]signal.Event, error)
	UsingSimultaneousProcessing() bool
	SupportsSimultaneousProcessing() bool
	SetSimultaneousProcessing(bool)
	SetCustomSettings(map[string]interface{}) error
	SetDefaults()
	CloseAllPositions([]holdings.Holding, []data.Event) ([]signal.Event, error)
}

Handler defines all functions required to run strategies against data events

func LoadStrategyByName

func LoadStrategyByName(name string, useSimultaneousProcessing bool) (Handler, error)

LoadStrategyByName returns the strategy by its name

type StrategyHolder

type StrategyHolder []Handler

StrategyHolder holds strategies

func GetSupportedStrategies

func GetSupportedStrategies() StrategyHolder

GetSupportedStrategies returns a static list of set strategies they must be set in here for the backtester to recognise them